- All Known Implementing Classes:
- MarketStateCorrelated, MarketStateSystemic
public interface MarketState
MarketState holds the Random Market State(s) that control(s) the Cost Evolution and the Eventual Optimal
Trajectory Generation. 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