Package org.drip.execution.profiletime

Class UniformParticipationRate

java.lang.Object

org.drip.execution.profiletime.UniformParticipationRate

All Implemented Interfaces:

BackgroundParticipationRate

public class UniformParticipationRate
extends java.lang.Object
implements BackgroundParticipationRate

UniformParticipationRate exposes the Uniform Background Profile Adjusted Version of the Uniform 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

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Participation Rate Profile Time Models

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
UniformParticipationRate(TransactionFunction tf)	UniformParticipationRate Constructor

Method Summary

Modifier and Type	Method	Description
TransactionFunction	epochImpactFunction()	Compute the Epoch Market Impact Function
TransactionFunction	impactFunction(double dblTime)	Compute the Market Impact Function from the Volatility Function

Methods inherited from class java.lang.Object

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

Constructor Details

UniformParticipationRate

public UniformParticipationRate(TransactionFunction tf)
                         throws java.lang.Exception

UniformParticipationRate Constructor

Parameters:

tf - The Participation Rate Transaction Function

Throws:

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

Method Details

impactFunction

public TransactionFunction impactFunction(double dblTime)

Description copied from interface: BackgroundParticipationRate

Compute the Market Impact Function from the Volatility Function

Specified by:

impactFunction in interface BackgroundParticipationRate

Parameters:

dblTime - The Time Snapshot

Returns:

The Market Impact Function

epochImpactFunction

public TransactionFunction epochImpactFunction()

Description copied from interface: BackgroundParticipationRate

Compute the Epoch Market Impact Function

Specified by:

epochImpactFunction in interface BackgroundParticipationRate

Returns:

The Epoch Market Impact Function