org.drip.execution.tradingtime

Class CoordinatedMarketState

java.lang.Object

org.drip.execution.tradingtime.CoordinatedMarketState

public class CoordinatedMarketState
extends java.lang.Object

CoordinatedMarketState implements the Coordinated Variation Version of the Volatility and the Linear Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model. 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
CoordinatedMarketState(CoordinatedVariation cv) CoordinatedParticipationRateLinear Constructor

Method Summary

Modifier and Type	Method and Description
double	liquidity(double dblMarketState) Retrieve the Realized Random Liquidity
CoordinatedVariation	variationConstraint() Retrieve the Coordinated Variation Constraint
double	volatility(double dblMarketState) Retrieve the Realized Random Volatility

Methods inherited from class java.lang.Object

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

Constructor Detail

CoordinatedMarketState

public CoordinatedMarketState(CoordinatedVariation cv)
                       throws java.lang.Exception

CoordinatedParticipationRateLinear Constructor

Parameters:

cv - The Coordinated Volatility/Liquidity Variation

Throws:

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

Method Detail

variationConstraint

public CoordinatedVariation variationConstraint()

Retrieve the Coordinated Variation Constraint

Returns:

The Coordinated Variation Constraint

volatility

public double volatility(double dblMarketState)

Retrieve the Realized Random Volatility

Parameters:

dblMarketState - The Realized Market State

Returns:

The Realized Random Volatility

liquidity

public double liquidity(double dblMarketState)

Retrieve the Realized Random Liquidity

Parameters:

dblMarketState - The Realized Market State

Returns:

The Realized Random Liquidity