|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------------||
| Asset => DRI
| Average Daily Volume => 1929000
| Shares Outstanding => 168000000
| Daily Volatility => 2.26%
| Trade Size => 192900
|-------------------------------------------||
|------------------------------------------------------||
| ALMGREN, THUM, HAUPTMANN, and LI (2005) PERM. RECON ||
|------------------------------------------------------||
| Inverse Turn-over => 87.092 | 87.092 ||
| Normalized Trade Size => 00.100 | 00.100 ||
| Normalized Permanent Impact => 00.096 | 00.096 ||
| De-normalized Permanent Impact => 21.679 | 21.679 ||
|------------------------------------------------------||
|-------------------------------------------------||
| TEMPORARY IMPACT PARAMETERS RECONCILIATION ||
|-------------------------------------------------||
| L -> R: ||
| - Time ||
| - Normalized K (Computed) ||
| - Normalized K (Reconciler) ||
| - De-normalized K (Computed) ||
| - De-normalized K (Reconciler) ||
| - De-normalized J (Computed) ||
| - De-normalized J (Reconciler) ||
|-------------------------------------------------||
| 0.1 | 0.142 | 0.142 || 32 | 32 || 43 | 43 ||
| 0.2 | 0.094 | 0.094 || 21 | 21 || 32 | 32 ||
| 0.5 | 0.054 | 0.054 || 12 | 12 || 23 | 23 ||
|-------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Finish Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 4 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 4 ms
|-----------------------------------------------------------------|
|-------------------------------------------||
| Asset => IBM
| Average Daily Volume => 6561000
| Shares Outstanding => 1728000000
| Daily Volatility => 1.57%
| Trade Size => 656100
|-------------------------------------------||
|--------------------------------------------------------||
| ALMGREN, THUM, HAUPTMANN, and LI (2005) PERM. RECON ||
|--------------------------------------------------------||
| Inverse Turn-over => 263.374 | 263.374 ||
| Normalized Trade Size => 000.100 | 000.100 ||
| Normalized Permanent Impact => 000.126 | 000.126 ||
| De-normalized Permanent Impact => 019.860 | 019.860 ||
|--------------------------------------------------------||
|-------------------------------------------------||
| TEMPORARY IMPACT PARAMETERS RECONCILIATION ||
|-------------------------------------------------||
| L -> R: ||
| - Time ||
| - Normalized K (Computed) ||
| - Normalized K (Reconciler) ||
| - De-normalized K (Computed) ||
| - De-normalized K (Reconciler) ||
| - De-normalized J (Computed) ||
| - De-normalized J (Reconciler) ||
|-------------------------------------------------||
| 0.1 | 0.142 | 0.142 || 22 | 22 || 32 | 32 ||
| 0.2 | 0.094 | 0.094 || 15 | 15 || 25 | 25 ||
| 0.5 | 0.054 | 0.054 || 08 | 08 || 18 | 18 ||
|-------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Finish Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 4 ms
| Run Duration => 0 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-----------------------------------||
| DRI ATHL 2005 Optimal Trajectory ||
|-----------------------------------||
| L -> R: ||
| - Execution Time Node ||
| - Holdings Remaining ||
| - Trade List Amount ||
| - Holdings (%) ||
|-----------------------------------||
| 0.10 | 053107 | -43001 | 27.5% ||
| 0.15 | 031686 | -21422 | 16.4% ||
| 0.20 | 020056 | -11630 | 10.4% ||
| 0.25 | 013305 | -06751 | 06.9% ||
| 0.30 | 009171 | -04135 | 04.8% ||
| 0.35 | 006524 | -02646 | 03.4% ||
| 0.40 | 004767 | -01757 | 02.5% ||
| 0.45 | 003564 | -01203 | 01.8% ||
| 0.50 | 002717 | -00847 | 01.4% ||
| 0.55 | 002108 | -00609 | 01.1% ||
| 0.60 | 001660 | -00448 | 00.9% ||
| 0.65 | 001325 | -00335 | 00.7% ||
| 0.70 | 001071 | -00255 | 00.6% ||
| 0.75 | 000874 | -00196 | 00.5% ||
| 0.80 | 000721 | -00153 | 00.4% ||
| 0.85 | 000600 | -00121 | 00.3% ||
| 0.90 | 000503 | -00097 | 00.3% ||
| 0.95 | 000425 | -00078 | 00.2% ||
| 1.00 | 000362 | -00063 | 00.2% ||
|-----------------------------------||
|---------------------------------------------------------------------||
| DRI ATHL 2005 Optimal Trajectory Transaction Cost Measures ||
|---------------------------------------------------------------------||
| Transaction Cost Expectation ( X 10^-06) : 17965.64 ||
| Transaction Cost Variance ( X 10^-09) : 007.14 ||
| Characteristic Time : 000.07 ||
| Efficient Frontier Hyperboloid Boundary Value ( X 10^-12) : 097.12 ||
|---------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Finish Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------||
| IBM ATHL 2005 Optimal Trajectory ||
|------------------------------------||
| L -> R: ||
| - Execution Time Node ||
| - Holdings Remaining ||
| - Trade List Amount ||
| - Holdings (%) ||
|------------------------------------||
| 0.10 | 211113 | -146448 | 32.2% ||
| 0.15 | 132539 | -078574 | 20.2% ||
| 0.20 | 087351 | -045188 | 13.3% ||
| 0.25 | 059882 | -027469 | 09.1% ||
| 0.30 | 042411 | -017471 | 06.5% ||
| 0.35 | 030872 | -011539 | 04.7% ||
| 0.40 | 023003 | -007868 | 03.5% ||
| 0.45 | 017490 | -005514 | 02.7% ||
| 0.50 | 013533 | -003956 | 02.1% ||
| 0.55 | 010635 | -002898 | 01.6% ||
| 0.60 | 008473 | -002162 | 01.3% ||
| 0.65 | 006833 | -001640 | 01.0% ||
| 0.70 | 005572 | -001262 | 00.8% ||
| 0.75 | 004588 | -000983 | 00.7% ||
| 0.80 | 003812 | -000776 | 00.6% ||
| 0.85 | 003194 | -000618 | 00.5% ||
| 0.90 | 002696 | -000498 | 00.4% ||
| 0.95 | 002291 | -000405 | 00.3% ||
| 1.00 | 001960 | -000331 | 00.3% ||
|------------------------------------||
|----------------------------------------------------------------------||
| IBM ATHL 2005 Optimal Trajectory Transaction Cost Measures ||
|----------------------------------------------------------------------||
| Transaction Cost Expectation ( X 10^-09) : 0273.03 ||
| Transaction Cost Variance ( X 10^-09) : 0046.25 ||
| Characteristic Time : 0000.08 ||
| Efficient Frontier Hyperboloid Boundary Value ( X 10^-12) : 1932.07 ||
|----------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Finish Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------------------------------------||
| Trade Size Dependence on the Execution Schedule ||
|------------------------------------------------------------------------------------------------------------------------------||
| L -> R : ||
| Trade Size as a Fraction of ADV ||
| Execution Time Nodes ||
| Characteristic Time ||
|------------------------------------------------------------------------------------------------------------------------------||
| 01% | 70.29% | 50.83% | 37.67% | 28.50% | 21.96% | 17.20% | 13.65% | 10.98% | 08.93% | 07.34% | 0.136 ||
| 02% | 65.97% | 45.26% | 32.08% | 23.36% | 17.42% | 13.25% | 10.26% | 08.06% | 06.42% | 05.18% | 0.114 ||
| 03% | 63.26% | 41.95% | 28.90% | 20.56% | 15.02% | 11.22% | 08.56% | 06.64% | 05.23% | 04.17% | 0.103 ||
| 04% | 61.26% | 39.59% | 26.71% | 18.67% | 13.44% | 09.92% | 07.48% | 05.74% | 04.49% | 03.55% | 0.096 ||
| 06% | 58.34% | 36.29% | 23.74% | 16.17% | 11.40% | 08.26% | 06.13% | 04.65% | 03.59% | 02.81% | 0.087 ||
| 08% | 56.20% | 33.96% | 21.71% | 14.52% | 10.08% | 07.21% | 05.29% | 03.97% | 03.04% | 02.37% | 0.081 ||
| 10% | 54.50% | 32.18% | 20.20% | 13.31% | 09.13% | 06.46% | 04.71% | 03.51% | 02.67% | 02.06% | 0.076 ||
| 15% | 51.34% | 29.00% | 17.59% | 11.28% | 07.57% | 05.26% | 03.77% | 02.77% | 02.08% | 01.60% | 0.069 ||
| 20% | 49.06% | 26.81% | 15.86% | 09.97% | 06.58% | 04.52% | 03.20% | 02.33% | 01.74% | 01.32% | 0.064 ||
| 25% | 47.26% | 25.15% | 14.58% | 09.03% | 05.89% | 04.00% | 02.81% | 02.03% | 01.51% | 01.14% | 0.061 ||
| 30% | 45.79% | 23.83% | 13.59% | 08.31% | 05.36% | 03.61% | 02.52% | 01.81% | 01.34% | 01.01% | 0.058 ||
|------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Finish Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 3 ms
|-----------------------------------------------------------------|
|--------------------------------------------------------------------------------------------------------------------------------||
| Trade Size Dependence on the Execution Schedule ||
|--------------------------------------------------------------------------------------------------------------------------------||
| L -> R : ||
| Daily Volatility ||
| Execution Time Nodes ||
| Characteristic Time ||
|--------------------------------------------------------------------------------------------------------------------------------||
| 0.75% | 77.71% | 61.30% | 49.00% | 39.63% | 32.40% | 26.75% | 22.28% | 18.70% | 15.82% | 13.47% | 0.192 ||
| 1.00% | 70.01% | 50.46% | 37.28% | 28.14% | 21.64% | 16.91% | 13.40% | 10.76% | 08.74% | 07.17% | 0.134 ||
| 1.25% | 62.82% | 41.42% | 28.41% | 20.13% | 14.66% | 10.92% | 08.31% | 06.43% | 05.05% | 04.03% | 0.101 ||
| 1.50% | 56.23% | 34.00% | 21.75% | 14.55% | 10.10% | 07.23% | 05.31% | 03.98% | 03.05% | 02.37% | 0.081 ||
| 1.75% | 50.26% | 27.95% | 16.75% | 10.64% | 07.08% | 04.89% | 03.49% | 02.55% | 01.91% | 01.46% | 0.067 ||
| 2.00% | 44.88% | 23.03% | 13.00% | 07.89% | 05.06% | 03.39% | 02.36% | 01.69% | 01.24% | 00.93% | 0.056 ||
| 2.25% | 40.06% | 19.04% | 10.17% | 05.91% | 03.67% | 02.40% | 01.63% | 01.15% | 00.83% | 00.62% | 0.049 ||
| 2.50% | 35.76% | 15.79% | 08.02% | 04.49% | 02.71% | 01.73% | 01.15% | 00.80% | 00.57% | 00.42% | 0.043 ||
| 2.75% | 31.94% | 13.16% | 06.37% | 03.45% | 02.02% | 01.27% | 00.83% | 00.57% | 00.40% | 00.29% | 0.038 ||
| 3.00% | 28.54% | 11.00% | 05.10% | 02.68% | 01.54% | 00.94% | 00.61% | 00.41% | 00.29% | 00.21% | 0.034 ||
|--------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Finish Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 3 ms
| Run Duration => 2 ms
|-----------------------------------------------------------------|