Package org.drip.execution.principal

Class OptimalMeasureDependence

java.lang.Object
org.drip.execution.principal.OptimalMeasureDependence
public class OptimalMeasureDependence
extends java.lang.Object
OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio. It also holds the Constant. 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
  • Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk Applied Mathematical Finance 10 (1) 1-18
  • Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
  • Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact Risk 18 (7) 57-62


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OptimalMeasureDependence​(double dblConstant, double dblLiquidityExponent, double dblBlockSizeExponent, double dblVolatilityExponent, double dblAdjustedPrincipalDiscountExponent)
    OptimalMeasureDependence Constructor

  • Method Summary

    Modifier and Type Method Description
    double adjustedPrincipalDiscountExponent()
    Retrieve the Adjusted Principal Discount Dependence Exponent
    double blockSizeExponent()
    Retrieve the Block Size Dependence Exponent
    double constant()
    Retrieve the Constant
    double liquidityExponent()
    Retrieve the Liquidity Dependence Exponent
    double volatilityExponent()
    Retrieve the Volatility Dependence Exponent

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • OptimalMeasureDependence

      public OptimalMeasureDependence​(double dblConstant, double dblLiquidityExponent, double dblBlockSizeExponent, double dblVolatilityExponent, double dblAdjustedPrincipalDiscountExponent) throws java.lang.Exception
      OptimalMeasureDependence Constructor
      Parameters:
      dblConstant - The Optimal Measure Constant
      dblLiquidityExponent - The Optimal Measure Liquidity Exponent
      dblBlockSizeExponent - The Optimal Measure Block Size Exponent
      dblVolatilityExponent - The Optimal Measure Volatility Exponent
      dblAdjustedPrincipalDiscountExponent - The Optimal Measure Adjusted Principal Discount Exponent
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • constant

      public double constant()
      Retrieve the Constant
      Returns:
      The Constant

    • blockSizeExponent

      public double blockSizeExponent()
      Retrieve the Block Size Dependence Exponent
      Returns:
      The Block Size Dependence Exponent

    • liquidityExponent

      public double liquidityExponent()
      Retrieve the Liquidity Dependence Exponent
      Returns:
      The Liquidity Dependence Exponent

    • volatilityExponent

      public double volatilityExponent()
      Retrieve the Volatility Dependence Exponent
      Returns:
      The Volatility Dependence Exponent

    • adjustedPrincipalDiscountExponent

      public double adjustedPrincipalDiscountExponent()
      Retrieve the Adjusted Principal Discount Dependence Exponent
      Returns:
      The Adjusted Principal Discount Dependence Exponent