| Package | Description |
|---|---|
| org.drip.execution.adaptive | |
| org.drip.execution.hjb |
| Class and Description |
|---|
| NonDimensionalCost
NonDimensionalCost exposes the Level, the Gradient, and the Jacobian of the Realized Non Dimensional Cost
Value Function to the Market State.
|
| NonDimensionalCostEvolver
NonDimensionalCostEvolver exposes the HJB-based Single Step Optimal Trajectory Cost Step Evolver using the
Variants 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.
|
| Class and Description |
|---|
| NonDimensionalCost
NonDimensionalCost exposes the Level, the Gradient, and the Jacobian of the Realized Non Dimensional Cost
Value Function to the Market State.
|
| NonDimensionalCostCorrelated
NonDimensionalCostCorrelated contains the Level, the Gradient, and the Jacobian of the HJB Non-dimensional
Cost Value Function to the Individual Correlated Market States.
|
| NonDimensionalCostEvolver
NonDimensionalCostEvolver exposes the HJB-based Single Step Optimal Trajectory Cost Step Evolver using the
Variants 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.
|
| NonDimensionalCostEvolverSystemic
NonDimensionalCostEvolverSystemic implements the 1D HJB-based Single Step Optimal Trajectory Cost Step
Evolver using the Systemic 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.
|
| NonDimensionalCostSystemic
NonDimensionalCostSystemic contains the Level, the Gradient, and the Jacobian of the HJB Non Dimensional
Cost Value Function to the Systemic Market State.
|