Package org.drip.execution.strategy

Class DiscreteTradingTrajectoryControl

java.lang.Object
org.drip.execution.strategy.DiscreteTradingTrajectoryControl
public class DiscreteTradingTrajectoryControl
extends java.lang.Object
DiscreteTradingTrajectoryControl holds the Time Trajectory Control Settings of a Trading Block that is to be executed over a Discrete Time Sequence. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    DiscreteTradingTrajectoryControl​(double dblStartHoldings, double[] adblExecutionTimeNode)
    DiscreteTradingTrajectoryControl Constructor

  • Method Summary

    Modifier and Type Method Description
    double[] executionTimeNodes()
    Retrieve the Array containing the Execution Time Nodes
    double finishTime()
    Retrieve the Finish Time of the Trading Trajectory
    static DiscreteTradingTrajectoryControl FixedInterval​(OrderSpecification os, int iNumInterval)
    Create a DiscreteTradingTrajectoryControl from Fixed Intervals
    OrderSpecification order()
    Generate the Order Specification corresponding to the Trajectory Control
    static DiscreteTradingTrajectoryControl SingleInterval​(OrderSpecification os)
    Create a Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification
    double startHoldings()
    Retrieve the Initial Holdings, i.e., the Starting Number of Units to the Executed

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • DiscreteTradingTrajectoryControl

      public DiscreteTradingTrajectoryControl​(double dblStartHoldings, double[] adblExecutionTimeNode) throws java.lang.Exception
      DiscreteTradingTrajectoryControl Constructor
      Parameters:
      dblStartHoldings - Trajectory Start Holdings
      adblExecutionTimeNode - Array of the Trajectory Time Snapshots
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FixedInterval

      public static final DiscreteTradingTrajectoryControl FixedInterval​(OrderSpecification os, int iNumInterval)
      Create a DiscreteTradingTrajectoryControl from Fixed Intervals
      Parameters:
      os - The Order Specification
      iNumInterval - The Number of Fixed Intervals
      Returns:
      The DiscreteTradingTrajectoryControl from Fixed Intervals

    • SingleInterval

      public static final DiscreteTradingTrajectoryControl SingleInterval​(OrderSpecification os)
      Create a Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification
      Parameters:
      os - The Order Specification
      Returns:
      The Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification

    • finishTime

      public double finishTime()
      Retrieve the Finish Time of the Trading Trajectory
      Returns:
      The Finish Time of the Trading Trajectory

    • executionTimeNodes

      public double[] executionTimeNodes()
      Retrieve the Array containing the Execution Time Nodes
      Returns:
      The Array containing the Execution Time Nodes

    • startHoldings

      public double startHoldings()
      Retrieve the Initial Holdings, i.e., the Starting Number of Units to the Executed
      Returns:
      The Initial Holdings, i.e., the Starting Number of Units to the Executed

    • order

      public OrderSpecification order()
      Generate the Order Specification corresponding to the Trajectory Control
      Returns:
      The Order Specificaton Instance