Package org.drip.execution.strategy

Class MinimumImpactTradingTrajectory

java.lang.Object

org.drip.execution.strategy.DiscreteTradingTrajectory

org.drip.execution.strategy.MinimumImpactTradingTrajectory

All Implemented Interfaces:

TradingTrajectory

Direct Known Subclasses:

MinimumVarianceTradingTrajectory

public class MinimumImpactTradingTrajectory
extends DiscreteTradingTrajectory

MinimumImpactTradingTrajectory holds the Trajectory of a Trading Block that is to be executed uniformly over Equal Intervals, the Idea being to minimize the Trading Impact. 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 = Discrete/Continuous Trading Trajectory Schedule

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
static MinimumImpactTradingTrajectory	Standard(double dblStartHoldings, double dblFinishHoldings, double dblStartTime, double dblFinishTime, int iNumInterval)	Create a MinimumImpactTradingTrajectory Instance from Equal Intervals
double	tradeRate()	Retrieve the Trade Rate
double	tradeSize()	Retrieve the Trade Size
double	tradeTimeInterval()	Retrieve the Trade Time Interval

Methods inherited from class org.drip.execution.strategy.DiscreteTradingTrajectory

executedBlockSize, executionTime, executionTimeNode, holdings, innerHoldings, instantTradeRate, Linear, numberOfTrades, Standard, tradeList

Methods inherited from class java.lang.Object

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

Method Details

Standard

public static final MinimumImpactTradingTrajectory Standard(double dblStartHoldings,
double dblFinishHoldings,
double dblStartTime,
double dblFinishTime,
int iNumInterval)

Create a MinimumImpactTradingTrajectory Instance from Equal Intervals

Parameters:

dblStartHoldings - Trajectory Start Holdings

dblFinishHoldings - Trajectory Finish Holdings

dblStartTime - Trajectory Start Time

dblFinishTime - Trajectory Finish Time

iNumInterval - The Number of Fixed Intervals

Returns:

The MinimumImpactTradingTrajectory Instance from Fixed Intervals

tradeSize

public double tradeSize()

Retrieve the Trade Size

Specified by:

tradeSize in interface TradingTrajectory

Overrides:

tradeSize in class DiscreteTradingTrajectory

Returns:

The Trade Size

tradeTimeInterval

public double tradeTimeInterval()

Retrieve the Trade Time Interval

Returns:

The Trade Time Interval

tradeRate

public double tradeRate()

Retrieve the Trade Rate

Returns:

The Trade Rate