org.drip.execution.latent

Class MarketStateSystemic

java.lang.Object

org.drip.execution.latent.MarketStateSystemic

All Implemented Interfaces:

MarketState

public class MarketStateSystemic
extends java.lang.Object
implements MarketState

MarketStateSystemic holds the Single Systemic Market State that drives both the Liquidity and the Volatility Market States. 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
MarketStateSystemic(double dblCommon) MarketStateSystemic Constructor

Method Summary

Modifier and Type	Method and Description
double	common() Retrieve the Common Systemic Market State
double	liquidity() Retrieve the Realized Liquidity Market State
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

MarketStateSystemic

public MarketStateSystemic(double dblCommon)
                    throws java.lang.Exception

MarketStateSystemic Constructor

Parameters:

dblCommon - The Common Systemic Market State

Throws:

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

Method Detail

common

public double common()

Retrieve the Common Systemic Market State

Returns:

The Common Systemic Market State

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