org.drip.execution.adaptive

Class CoordinatedVariationTrajectoryDeterminant

java.lang.Object

org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant

public class CoordinatedVariationTrajectoryDeterminant
extends java.lang.Object

CoordinatedVariationTrajectoryDeterminant contains the HJB-based MultiStep Optimal Cost Dynamic Trajectory Generation Metrics using 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
CoordinatedVariationTrajectoryDeterminant(double dblOrderSize, double dblTimeScale, double dblCostScale, double dblTradeRateScale, double dblMeanMarketUrgency, double dblNonDimensionalRiskAversion, double dblMarketPower) CoordinatedVariationTrajectoryDeterminant Constructor

Method Summary

Modifier and Type	Method and Description
double	costScale() Retrieve the Cost Scale
double	marketPower() Retrieve the Preference-free "Market Power" Parameter
double	meanMarketUrgency() Retrieve the Mean Market Urgency
double	nonDimensionalRiskAversion() Retrieve the Non Dimensional Risk Aversion Parameter
double	orderSize() Retrieve the Order Size
double	timeScale() Retrieve the Time Scale
double	tradeRateScale() Retrieve the Trade Rate Scale

Methods inherited from class java.lang.Object

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

Constructor Detail

CoordinatedVariationTrajectoryDeterminant

public CoordinatedVariationTrajectoryDeterminant(double dblOrderSize,
                                                 double dblTimeScale,
                                                 double dblCostScale,
                                                 double dblTradeRateScale,
                                                 double dblMeanMarketUrgency,
                                                 double dblNonDimensionalRiskAversion,
                                                 double dblMarketPower)
                                          throws java.lang.Exception

CoordinatedVariationTrajectoryDeterminant Constructor

Parameters:

dblOrderSize - The Order Size

dblTimeScale - The Time Scale

dblCostScale - The Cost Scale

dblTradeRateScale - The Trade Rate Scale

dblMeanMarketUrgency - The Mean Market Urgency

dblNonDimensionalRiskAversion - The Non Dimensional Risk Aversion Parameter

dblMarketPower - The Preference-free "Market Power" Parameter

Throws:

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

Method Detail

orderSize

public double orderSize()

Retrieve the Order Size

Returns:

The Order Size

timeScale

public double timeScale()

Retrieve the Time Scale

Returns:

The Time Scale

costScale

public double costScale()

Retrieve the Cost Scale

Returns:

The Cost Scale

tradeRateScale

public double tradeRateScale()

Retrieve the Trade Rate Scale

Returns:

The Trade Rate Scale

meanMarketUrgency

public double meanMarketUrgency()

Retrieve the Mean Market Urgency

Returns:

The Mean Market Urgency

nonDimensionalRiskAversion

public double nonDimensionalRiskAversion()

Retrieve the Non Dimensional Risk Aversion Parameter

Returns:

The Non Dimensional Risk Aversion Parameter

marketPower

public double marketPower()

Retrieve the Preference-free "Market Power" Parameter

Returns:

The Preference-free "Market Power" Parameter