Package org.drip.execution.tradingtime

Class CoordinatedParticipationRateLinear

java.lang.Object

org.drip.execution.tradingtime.CoordinatedParticipationRateLinear

All Implemented Interfaces:

BackgroundParticipationRate, BackgroundParticipationRateLinear

public class CoordinatedParticipationRateLinear
extends java.lang.Object
implements BackgroundParticipationRateLinear

CoordinatedParticipationRateLinear implements the Coordinated Variation Version of the Linear 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 = Coordinated Variation Trading Time Models

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CoordinatedParticipationRateLinear(CoordinatedVariation cv, R1ToR1 r1ToR1Volatility)	CoordinatedParticipationRateLinear Constructor

Method Summary

Modifier and Type	Method	Description
TransactionFunction	epochImpactFunction()	Compute the Epoch Market Impact Function
ParticipationRateLinear	epochLiquidityFunction()	Compute the Epoch Liquidity Market Impact Function
TransactionFunction	impactFunction(double dblTime)	Compute the Market Impact Function from the Volatility Function
ParticipationRateLinear	liquidityFunction(double dblTime)	Compute the Liquidity Market Impact Function from the Volatility Function
CoordinatedVariation	variationConstraint()	Retrieve the Coordinated Variation Constraint
R1ToR1	volatilityFunction()	Compute the Volatility Function from the Liquidity Function

Methods inherited from class java.lang.Object

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

Constructor Details

CoordinatedParticipationRateLinear

public CoordinatedParticipationRateLinear(CoordinatedVariation cv,
R1ToR1 r1ToR1Volatility)
                                   throws java.lang.Exception

CoordinatedParticipationRateLinear Constructor

Parameters:

cv - The Coordinated Volatility/Liquidity Variation

r1ToR1Volatility - The R^1 To R^1 Volatility Function

Throws:

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

Method Details

variationConstraint

public CoordinatedVariation variationConstraint()

Retrieve the Coordinated Variation Constraint

Returns:

The Coordinated Variation Constraint

liquidityFunction

public ParticipationRateLinear liquidityFunction(double dblTime)

Description copied from interface: BackgroundParticipationRateLinear

Compute the Liquidity Market Impact Function from the Volatility Function

Specified by:

liquidityFunction in interface BackgroundParticipationRateLinear

Parameters:

dblTime - The Time Snapshot

Returns:

The Liquidity Market Impact Function

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

epochLiquidityFunction

public ParticipationRateLinear epochLiquidityFunction()

Description copied from interface: BackgroundParticipationRateLinear

Compute the Epoch Liquidity Market Impact Function

Specified by:

epochLiquidityFunction in interface BackgroundParticipationRateLinear

Returns:

The Epoch Liquidity 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

volatilityFunction

public R1ToR1 volatilityFunction()

Compute the Volatility Function from the Liquidity Function

Returns:

The R^1 To R^1 Volatility Function