CalibrationEmpirics.java

package org.drip.execution.athl;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * 
 *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
 *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
 *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
 *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
 *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
 *      and computational support.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
 * 
 *  DROP Product Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Loan Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Asset Liability Management Analytics
 *  - Capital Estimation Analytics
 *  - Exposure Analytics
 *  - Margin Analytics
 *  - XVA Analytics
 * 
 *  DROP Computational Core implements libraries for the following:
 *  - Algorithm Support
 *  - Computation Support
 *  - Function Analysis
 *  - Model Validation
 *  - Numerical Analysis
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Statistical Learning
 * 
 *  Documentation for DROP is Spread Over:
 * 
 *  - Main                     => https://lakshmidrip.github.io/DROP/
 *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
 *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
 *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
 *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
 *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
 *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
 *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *      you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *      http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *      distributed under the License is distributed on an "AS IS" BASIS,
 *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * <i>CalibrationEmpirics</i> contains the Universal Market Impact Exponent/Coefficients that have been
 * determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
 * (2003). The References are:
 * 
 * <br><br>
 *  <ul>
 *  <li>
 *      Almgren, R., and N. Chriss (1999): Value under Liquidation <i>Risk</i> <b>12 (12)</b>
 *  </li>
 *  <li>
 *      Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of Risk</i>
 *          <b>3 (2)</b> 5-39
 *  </li>
 *  <li>
 *      Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk
 *          <i>Applied Mathematical Finance</i> <b>10 (1)</b> 1-18
 *  </li>
 *  <li>
 *      Almgren, R., and N. Chriss (2003): Bidding Principles <i>Risk</i> 97-102
 *  </li>
 *  <li>
 *      Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact <i>Risk</i> <b>18 (7)</b>
 *          57-62
 *  </li>
 *  </ul>
 *
 *  <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/execution/README.md">Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/execution/athl/README.md">Almgren-Thum-Hauptmann-Li Calibration</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CalibrationEmpirics {

    /**
     * Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent
     */

    public static final double PERMANENT_IMPACT_EXPONENT_ATHL2005 = 0.891;

    /**
     * Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent One Sigma
     */

    public static final double PERMANENT_IMPACT_EXPONENT_ATHL2005_ONE_SIGMA = 0.10;

    /**
     * Quasi-Arbitrage Free Universal Permanent Impact Exponent
     */

    public static final double PERMANENT_IMPACT_EXPONENT_QUASI_ARBITRAGE_FREE = 1.00;

    /**
     * Universal Permanent Impact Exponent
     */

    public static final double PERMANENT_IMPACT_EXPONENT = PERMANENT_IMPACT_EXPONENT_QUASI_ARBITRAGE_FREE;

    /**
     * Universal Permanent Impact Coefficient
     */

    public static final double PERMANENT_IMPACT_COEFFICIENT = 0.314;

    /**
     * Universal Permanent Impact Coefficient One Sigma
     */

    public static final double PERMANENT_IMPACT_COEFFICIENT_ONE_SIGMA = 0.041;

    /**
     * The ATHL2005 Permanent Impact Inverse Turnover Coefficient
     */

    public static final double PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005 = 0.267;

    /**
     * The ATHL2005 Permanent Impact Inverse Turnover Coefficient One Sigma Error
     */

    public static final double PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005_ONE_SIGMA = 0.22;

    /**
     * The Universal Permanent Impact Inverse Turnover Coefficient
     */

    public static final double PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT = 0.25;

    /**
     * Universal Temporary Impact Exponent
     */

    public static final double TEMPORARY_IMPACT_EXPONENT = 0.600;

    /**
     * Universal Temporary Impact Exponent One Sigma
     */

    public static final double TEMPORARY_IMPACT_EXPONENT_ONE_SIGMA = 0.038;

    /**
     * Universal Temporary Impact Coefficient
     */

    public static final double TEMPORARY_IMPACT_COEFFICIENT = 0.142;

    /**
     * Universal Temporary Impact Coefficient One Sigma
     */

    public static final double TEMPORARY_IMPACT_COEFFICIENT_ONE_SIGMA = 0.0062;
}