org.drip.execution.latent

Class MarketStateCorrelated

java.lang.Object

org.drip.execution.latent.MarketStateCorrelated

All Implemented Interfaces:

MarketState

public class MarketStateCorrelated
extends java.lang.Object
implements MarketState

MarketStateCorrelated holds the Correlated Market State that drives the Liquidity and the Volatility Market States separately. 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
MarketStateCorrelated(double dblLiquidity, double dblVolatility) MarketStateCorrelated Constructor

Method Summary

Modifier and Type	Method and Description
double	liquidity() Retrieve the Realized Liquidity Market State
double[]	realization() Retrieve the Liquidity/Volatility Market State Realizations
double	volatility() Retrieve the Realized Volatility Market State

Methods inherited from class java.lang.Object

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

Constructor Detail

MarketStateCorrelated

public MarketStateCorrelated(double dblLiquidity,
                             double dblVolatility)
                      throws java.lang.Exception

MarketStateCorrelated Constructor

Parameters:

dblLiquidity - The Realized Liquidity Market State Realization

dblVolatility - The Realized Volatility Market State Realization

Throws:

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

Method Detail

liquidity

public double liquidity()

Description copied from interface: MarketState

Retrieve the Realized Liquidity Market State

Specified by:

liquidity in interface MarketState

Returns:

The Realized Liquidity Market State Realization

volatility

public double volatility()

Description copied from interface: MarketState

Retrieve the Realized Volatility Market State

Specified by:

volatility in interface MarketState

Returns:

The Realized Volatility Market State Realization

realization

public double[] realization()

Retrieve the Liquidity/Volatility Market State Realizations

Returns:

The Liquidity/Volatility Market State Realizations