Package org.drip.execution.profiletime

Interface BackgroundParticipationRate

All Known Subinterfaces:
BackgroundParticipationRateLinear
All Known Implementing Classes:
CoordinatedParticipationRateLinear, UniformParticipationRate, UniformParticipationRateLinear
public interface BackgroundParticipationRate
BackgroundParticipationRate exposes the Background Profile Adjusted Version of the Participation Rate Transaction Function as described in the "Trading Time" Model. The References are:

  • Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
  • Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility SIAM Journal of Financial Mathematics 3 (1) 163-181
  • Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes Mathematical Finance 11 (1) 79-96
  • Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility Review of Financial Studies 7 (4) 631-651


Author:
Lakshmi Krishnamurthy

  • Method Details

    • impactFunction

      TransactionFunction impactFunction​(double dblTime)
      Compute the Market Impact Function from the Volatility Function
      Parameters:
      dblTime - The Time Snapshot
      Returns:
      The Market Impact Function

    • epochImpactFunction

      TransactionFunction epochImpactFunction()
      Compute the Epoch Market Impact Function
      Returns:
      The Epoch Market Impact Function