org.drip.execution.adaptive

Class CoordinatedVariationStatic

java.lang.Object

org.drip.execution.adaptive.CoordinatedVariationTrajectory

org.drip.execution.adaptive.CoordinatedVariationStatic

public class CoordinatedVariationStatic
extends CoordinatedVariationTrajectory

CoordinatedVariationStatic implements the Static Trajectory based on the "Mean Equilibrium Market State" of the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable 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.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CoordinatedVariationStatic(CoordinatedVariationTrajectoryDeterminant cvtd, EfficientTradingTrajectoryContinuous ettc) CoordinatedVariationStatic Constructor

Method Summary

Modifier and Type	Method and Description
EfficientTradingTrajectoryContinuous	trajectory() Retrieve the Static Continuous Trading Trajectory Instance

Methods inherited from class org.drip.execution.adaptive.CoordinatedVariationTrajectory

trajectoryDeterminant

Methods inherited from class java.lang.Object

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

Constructor Detail

CoordinatedVariationStatic

public CoordinatedVariationStatic(CoordinatedVariationTrajectoryDeterminant cvtd,
                                  EfficientTradingTrajectoryContinuous ettc)
                           throws java.lang.Exception

CoordinatedVariationStatic Constructor

Parameters:

cvtd - The Coordinated Variation Trajectory Determinant

ettc - The Static Continuous Trading Trajectory Instance

Throws:

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

Method Detail

trajectory

public EfficientTradingTrajectoryContinuous trajectory()

Retrieve the Static Continuous Trading Trajectory Instance

Returns:

The Static Continuous Trading Trajectory Instance