org.drip.execution.hjb

Class NonDimensionalCostSystemic

java.lang.Object

org.drip.execution.hjb.NonDimensionalCost

org.drip.execution.hjb.NonDimensionalCostSystemic

public class NonDimensionalCostSystemic
extends NonDimensionalCost

NonDimensionalCostSystemic contains the Level, the Gradient, and the Jacobian of the HJB Non Dimensional Cost Value Function to the Systemic Market State. 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
NonDimensionalCostSystemic(double dblRealization, double dblGradient, double dblJacobian, double dblNonDimensionalTradeRate) NonDimensionalCostSystemic Constructor

Method Summary

Modifier and Type	Method and Description
static NonDimensionalCostSystemic	EulerEnhancedLinearThreshold(double dblMarketState, double dblNonDimensionalCost, double dblNonDimensionalCostCross) Generate a Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance
double	gradient() Retrieve the Realized Non Dimensional Cost Value Function Gradient to the Systemic Market State
double	jacobian() Retrieve the Realized Non Dimensional Cost Value Function Jacobian to the Systemic Market State
static NonDimensionalCostSystemic	LinearThreshold(double dblMarketStateExponentiation, double dblNonDimensionalTime) Generate a Linear Trading Systemic Non Dimensional Cost Instance
static NonDimensionalCostSystemic	Zero() Generate a Zero Sensitivity Systemic Non Dimensional Cost Instance

Methods inherited from class org.drip.execution.hjb.NonDimensionalCost

nonDimensionalTradeRate, realization

Methods inherited from class java.lang.Object

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

Constructor Detail

NonDimensionalCostSystemic

public NonDimensionalCostSystemic(double dblRealization,
                                  double dblGradient,
                                  double dblJacobian,
                                  double dblNonDimensionalTradeRate)
                           throws java.lang.Exception

NonDimensionalCostSystemic Constructor

Parameters:

dblRealization - The Non Dimensional Cost Value Function Realization

dblGradient - The Non Dimensional Cost Value Function Gradient to the Systemic Market State

dblJacobian - The Non Dimensional Cost Value Function Jacobian to the Systemic Market State

dblNonDimensionalTradeRate - The Non-dimensional Trade Rate

Throws:

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

Method Detail

Zero

public static final NonDimensionalCostSystemic Zero()

Generate a Zero Sensitivity Systemic Non Dimensional Cost Instance

Returns:

The Zero Sensitivity Systemic Non Dimensional Cost Instance

LinearThreshold

public static final NonDimensionalCostSystemic LinearThreshold(double dblMarketStateExponentiation,
                                                               double dblNonDimensionalTime)

Generate a Linear Trading Systemic Non Dimensional Cost Instance

Parameters:

dblMarketStateExponentiation - The Exponentiated Market State

dblNonDimensionalTime - The Non Dimensional Time

Returns:

The Linear Trading Systemic Non Dimensional Cost Instance

EulerEnhancedLinearThreshold

public static final NonDimensionalCostSystemic EulerEnhancedLinearThreshold(double dblMarketState,
                                                                            double dblNonDimensionalCost,
                                                                            double dblNonDimensionalCostCross)

Generate a Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance

Parameters:

dblMarketState - The Market State

dblNonDimensionalCost - The Non Dimensional Cost

dblNonDimensionalCostCross - The Non Dimensional Cost Cross Term

Returns:

The Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance

gradient

public double gradient()

Retrieve the Realized Non Dimensional Cost Value Function Gradient to the Systemic Market State

Returns:

The Realized Non Dimensional Cost Value Function Gradient to the Systemic Market State

jacobian

public double jacobian()

Retrieve the Realized Non Dimensional Cost Value Function Jacobian to the Systemic Market State

Returns:

The Realized Non Dimensional Cost Value Function Jacobian to the Systemic Market State