| Package | Description |
|---|---|
| org.drip.execution.adaptive |
| Modifier and Type | Class and Description |
|---|---|
class |
CoordinatedVariationDynamic
CoordinatedVariationDynamic implements the HJB-based Single Step Optimal Cost Dynamic Trajectory 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.
|
class |
CoordinatedVariationRollingHorizon
CoordinatedVariationRollingHorizon implements the "Rolling Horizon" Approximation of the Optimal Cost
Dynamic Trajectory arising from 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.
|
class |
CoordinatedVariationStatic
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.
|