Package org.drip.execution.parameters

Class PriceMarketImpactLinear

java.lang.Object

org.drip.execution.parameters.PriceMarketImpact

org.drip.execution.parameters.PriceMarketImpactLinear

public class PriceMarketImpactLinear
extends PriceMarketImpact

PriceMarketImpactLinear contains the Linear Price Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme. The References are:

• Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
• Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
• Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
• Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades Journal of Finance 50 1147-1174
• Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades Journal of Financial Economics 46 265-292

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Empirical Market Impact Coefficients Calibration

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PriceMarketImpactLinear(AssetTransactionSettings ats, double dblPermanentImpactFactor, double dblTemporaryImpactFactor)	PriceMarketImpactLinear Constructor

Method Summary

Modifier and Type	Method	Description
static PriceMarketImpactLinear	AlmgrenChriss(double dblPrice, double dblDailyVolume, double dblBidAskSpread)	Construct a Standard PriceMarketImpactLinear Instance
TransactionFunction	permanentTransactionFunction()	Generate the Permanent Impact Transaction Function
TransactionFunction	temporaryTransactionFunction()	Generate the Temporary Impact Transaction Function

Methods inherited from class org.drip.execution.parameters.PriceMarketImpact

ats, permanentImpactFactor, temporaryImpactFactor

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

PriceMarketImpactLinear

public PriceMarketImpactLinear(AssetTransactionSettings ats,
double dblPermanentImpactFactor,
double dblTemporaryImpactFactor)
                        throws java.lang.Exception

PriceMarketImpactLinear Constructor

Parameters:

ats - The Asset Transaction Settings Instance

dblPermanentImpactFactor - The Fraction of the Daily Volume that triggers One Bid-Ask of Permanent Impact Cost

dblTemporaryImpactFactor - The Fraction of the Daily Volume that triggers One Bid-Ask of Temporary Impact Cost

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

AlmgrenChriss

public static final PriceMarketImpactLinear AlmgrenChriss(double dblPrice,
double dblDailyVolume,
double dblBidAskSpread)

Construct a Standard PriceMarketImpactLinear Instance

Parameters:

dblPrice - The Asset Price

dblDailyVolume - The Daily Volume

dblBidAskSpread - The Bid-Ask Spread

Returns:

The Standard PriceMarketImpactLinear Instance

permanentTransactionFunction

public TransactionFunction permanentTransactionFunction()

Generate the Permanent Impact Transaction Function

Specified by:

permanentTransactionFunction in class PriceMarketImpact

Returns:

The Permanent Impact Transaction Function

temporaryTransactionFunction

public TransactionFunction temporaryTransactionFunction()

Generate the Temporary Impact Transaction Function

Specified by:

temporaryTransactionFunction in class PriceMarketImpact

Returns:

The Temporary Impact Transaction Function