| Class | Description |
|---|---|
| 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.
|
| 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.
|
| 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.
|
| CoordinatedVariationTrajectory |
CoordinatedVariationTrajectory holds the "Common" Measures generated from the HJB-based MultiStep Optimal
Cost Dynamic Trajectory Generation 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.
|
| CoordinatedVariationTrajectoryDeterminant |
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.
|
| CoordinatedVariationTrajectoryGenerator |
CoordinatedVariationTrajectoryGenerator implements the Continuous HJB-based Single Step Optimal Cost
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.
|
| CoordinatedVariationTrajectoryState |
CoordinatedVariationTrajectoryState holds the HJB-based Multi Step Optimal Trajectory State at each Step
of the Evolution 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.
|