HighUrgencyTrajectoryComparison.java

  1. package org.drip.sample.almgren2009;

  3. import org.drip.execution.dynamics.*;
  4. import org.drip.execution.impact.ParticipationRateLinear;
  5. import org.drip.execution.nonadaptive.*;
  6. import org.drip.execution.optimum.EfficientTradingTrajectoryContinuous;
  7. import org.drip.execution.parameters.*;
  8. import org.drip.execution.profiletime.UniformParticipationRateLinear;
  9. import org.drip.function.definition.R1ToR1;
  10. import org.drip.function.r1tor1.FlatUnivariate;
  11. import org.drip.numerical.common.FormatUtil;
  12. import org.drip.service.env.EnvManager;

  14. /*
  15.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  16.  */

  18. /*!
  19.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  24.  * 
  25.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  26.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  27.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  28.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  29.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  30.  *      and computational support.
  31.  *  
  32.  *      https://lakshmidrip.github.io/DROP/
  33.  *  
  34.  *  DROP is composed of three modules:
  35.  *  
  36.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  37.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  38.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  39.  * 
  40.  *  DROP Product Core implements libraries for the following:
  41.  *  - Fixed Income Analytics
  42.  *  - Loan Analytics
  43.  *  - Transaction Cost Analytics
  44.  * 
  45.  *  DROP Portfolio Core implements libraries for the following:
  46.  *  - Asset Allocation Analytics
  47.  *  - Asset Liability Management Analytics
  48.  *  - Capital Estimation Analytics
  49.  *  - Exposure Analytics
  50.  *  - Margin Analytics
  51.  *  - XVA Analytics
  52.  * 
  53.  *  DROP Computational Core implements libraries for the following:
  54.  *  - Algorithm Support
  55.  *  - Computation Support
  56.  *  - Function Analysis
  57.  *  - Model Validation
  58.  *  - Numerical Analysis
  59.  *  - Numerical Optimizer
  60.  *  - Spline Builder
  61.  *  - Statistical Learning
  62.  * 
  63.  *  Documentation for DROP is Spread Over:
  64.  * 
  65.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  66.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  67.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  68.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  69.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  70.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  71.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  72.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  73.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  74.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  75.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  76.  * 
  77.  *  Licensed under the Apache License, Version 2.0 (the "License");
  78.  *      you may not use this file except in compliance with the License.
  79.  *   
  80.  *  You may obtain a copy of the License at
  81.  *      http://www.apache.org/licenses/LICENSE-2.0
  82.  *  
  83.  *  Unless required by applicable law or agreed to in writing, software
  84.  *      distributed under the License is distributed on an "AS IS" BASIS,
  85.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  86.  *  
  87.  *  See the License for the specific language governing permissions and
  88.  *      limitations under the License.
  89.  */

  91. /**
  92.  * <i>HighUrgencyTrajectoryComparison</i> compares the Static Continuous Trading Trajectory generated by the
  93.  * Almgren and Chriss (2012) Scheme against the High Urgency Asymptote Version. The References are:
  94.  * 
  95.  * <br><br>
  96.  *  <ul>
  97.  *      <li>
  98.  *          Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
  99.  *              Risk</i> <b>3 (2)</b> 5-39
  100.  *      </li>
  101.  *      <li>
  102.  *          Almgren, R. F. (2009): Optimal Trading in a Dynamic Market
  103.  *              https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
  104.  *      </li>
  105.  *      <li>
  106.  *          Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility <i>SIAM Journal
  107.  *              of Financial Mathematics</i> <b>3 (1)</b> 163-181
  108.  *      </li>
  109.  *      <li>
  110.  *          Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes <i>Mathematical
  111.  *              Finance</i> <b>11 (1)</b> 79-96
  112.  *      </li>
  113.  *      <li>
  114.  *          Walia, N. (2006): Optimal Trading: Dynamic Stock Liquidation Strategies <b>Princeton
  115.  *              University</b>
  116.  *      </li>
  117.  *  </ul>
  118.  * 
  119.  * <br><br>
  120.  *  <ul>
  121.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  122.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  123.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
  124.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/almgren2009/README.md">Almgren (2009) Optimal Adaptive HJB</a></li>
  125.  *  </ul>
  126.  * <br><br>
  127.  * 
  128.  * @author Lakshmi Krishnamurthy
  129.  */

  131. public class HighUrgencyTrajectoryComparison {

  133.     public static void main (
  134.         final String[] astrArgs)
  135.         throws Exception
  136.     {
  137.         EnvManager.InitEnv (
  138.             "",
  139.             true
  140.         );

  142.         double dblS0 = 50.;
  143.         double dblX = 1000000.;
  144.         double dblT = 5.;
  145.         double dblAnnualVolatility = 1.00;
  146.         double dblAnnualReturns = 0.10;
  147.         double dblBidAsk = 0.125;
  148.         double dblDailyVolume = 5.e06;
  149.         double dblDailyVolumePermanentImpact = 0.1;
  150.         double dblDailyVolumeTemporaryImpact = 0.01;
  151.         double dblLambdaU = 1.5e-06;

  153.         int iN = 20;

  155.         double dblTime = 0.;
  156.         double dblTimeWidth = dblT / iN;

  158.         ArithmeticPriceDynamicsSettings apds = ArithmeticPriceDynamicsSettings.FromAnnualReturnsSettings (
  159.             dblAnnualReturns,
  160.             dblAnnualVolatility,
  161.             0.,
  162.             dblS0
  163.         );

  165.         double dblSigma = apds.epochVolatility();

  167.         PriceMarketImpactLinear pmil = new PriceMarketImpactLinear (
  168.             new AssetTransactionSettings (
  169.                 dblS0,
  170.                 dblDailyVolume,
  171.                 dblBidAsk
  172.             ),
  173.             dblDailyVolumePermanentImpact,
  174.             dblDailyVolumeTemporaryImpact
  175.         );

  177.         ParticipationRateLinear prlPermanent = (ParticipationRateLinear) pmil.permanentTransactionFunction();

  179.         ParticipationRateLinear prlTemporary = (ParticipationRateLinear) pmil.temporaryTransactionFunction();

  181.         LinearPermanentExpectationParameters lpep = ArithmeticPriceEvolutionParametersBuilder.LinearExpectation (
  182.             new ArithmeticPriceDynamicsSettings (
  183.                 0.,
  184.                 new FlatUnivariate (dblSigma),
  185.                 0.
  186.             ),
  187.             new UniformParticipationRateLinear (prlPermanent),
  188.             new UniformParticipationRateLinear (prlTemporary)
  189.         );

  191.         ContinuousAlmgrenChriss cac = ContinuousAlmgrenChriss.Standard (
  192.             dblX,
  193.             dblT,
  194.             lpep,
  195.             dblLambdaU
  196.         );

  198.         EfficientTradingTrajectoryContinuous ettcA2012S = (EfficientTradingTrajectoryContinuous) cac.generate();

  200.         R1ToR1 r1ToR1HoldingsA2012S = ettcA2012S.holdings();

  202.         R1ToR1 r1ToR1TradeRateA2012S = ettcA2012S.tradeRate();

  204.         R1ToR1 r1ToR1TransactionCostA2012S = ettcA2012S.transactionCostExpectationFunction();

  206.         ContinuousHighUrgencyAsymptote huas = ContinuousHighUrgencyAsymptote.Standard (
  207.             dblX,
  208.             dblT,
  209.             lpep,
  210.             dblLambdaU
  211.         );

  213.         EfficientTradingTrajectoryContinuous ettcHUAS = (EfficientTradingTrajectoryContinuous) huas.generate();

  215.         R1ToR1 r1ToR1HoldingsHUAS = ettcHUAS.holdings();

  217.         R1ToR1 r1ToR1TradeRateHUAS = ettcHUAS.tradeRate();

  219.         R1ToR1 r1ToR1TransactionCostHUAS = ettcHUAS.transactionCostExpectationFunction();

  221.         System.out.println ();

  223.         System.out.println ("\t|-------------------------------------------------------------||");

  225.         System.out.println ("\t|  HIGH URGENCY vs. ALMGREN 2012 STATIC TRAJECTORY COMPARISON ||");

  227.         System.out.println ("\t|-------------------------------------------------------------||");

  229.         System.out.println ("\t|    L -> R:                                                  ||");

  231.         System.out.println ("\t|            - Time                                           ||");

  233.         System.out.println ("\t|            - Almgren 2012 Holdings                          ||");

  235.         System.out.println ("\t|            - Almgren 2012 Trade Rate                        ||");

  237.         System.out.println ("\t|            - Almgren 2012 Transaction Cost                  ||");

  239.         System.out.println ("\t|            - High Urgency Asymptote Holdings                ||");

  241.         System.out.println ("\t|            - High Urgency Asymptote Trade Rate              ||");

  243.         System.out.println ("\t|            - High Urgency Asymptote Transaction Cost        ||");

  245.         System.out.println ("\t|-------------------------------------------------------------||");

  247.         for (int i = 1; i <= iN; ++i) {
  248.             dblTime = dblTime + dblTimeWidth;

  250.             System.out.println (
  251.                 "\t|" +
  252.                 FormatUtil.FormatDouble (dblTime, 1, 2, 1.) + " => " +
  253.                 FormatUtil.FormatDouble (r1ToR1HoldingsA2012S.evaluate (dblTime) / dblX, 1, 3, 1.) + " | " +
  254.                 FormatUtil.FormatDouble (r1ToR1TradeRateA2012S.evaluate (dblTime) * dblTimeWidth / dblX, 1, 3, 1.) + " | " +
  255.                 FormatUtil.FormatDouble (r1ToR1TransactionCostA2012S.evaluate (dblTime) / dblX, 1, 3, 1.) + " | " +
  256.                 FormatUtil.FormatDouble (r1ToR1HoldingsHUAS.evaluate (dblTime) / dblX, 1, 3, 1.) + " | " +
  257.                 FormatUtil.FormatDouble (r1ToR1TradeRateHUAS.evaluate (dblTime) * dblTimeWidth / dblX, 1, 3, 1.) + " | " +
  258.                 FormatUtil.FormatDouble (r1ToR1TransactionCostHUAS.evaluate (dblTime) / dblX, 1, 3, 1.) + " ||"
  259.             );
  260.         }

  262.         System.out.println ("\t|-------------------------------------------------------------||");

  264.         EnvManager.TerminateEnv();
  265.     }
  266. }
Created with JaCoCo 0.7.9.201702052155