Package org.drip.execution.parameters

Class PriceMarketImpactPower

java.lang.Object

org.drip.execution.parameters.PriceMarketImpact

org.drip.execution.parameters.PriceMarketImpactPower

public class PriceMarketImpactPower
extends PriceMarketImpact

PriceMarketImpactPower contains the Power Law based 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
PriceMarketImpactPower(AssetTransactionSettings ats, double dblPermanentImpactFactor, double dblTemporaryImpactFactor, double dblDailyVolumeExecutionFactor, double dblTemporaryImpactExponent)	PriceMarketImpactPower Constructor

Method Summary

Modifier and Type	Method	Description
double	dailyVolumeExecutionFactor()	Retrieve the Daily Reference Execution Rate as a Proportion of the Daily Volume
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

PriceMarketImpactPower

public PriceMarketImpactPower(AssetTransactionSettings ats,
double dblPermanentImpactFactor,
double dblTemporaryImpactFactor,
double dblDailyVolumeExecutionFactor,
double dblTemporaryImpactExponent)
                       throws java.lang.Exception

PriceMarketImpactPower 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

dblDailyVolumeExecutionFactor - The Daily Reference Execution Rate as a Proportion of the Daily Volume

dblTemporaryImpactExponent - The Temporary Impact Exponent

Throws:

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

Method Details

dailyVolumeExecutionFactor

public double dailyVolumeExecutionFactor()

Retrieve the Daily Reference Execution Rate as a Proportion of the Daily Volume

Returns:

The Daily Reference Execution Rate as a Proportion of the Daily Volume

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