org.drip.execution.tradingtime

Class CoordinatedVariation

java.lang.Object

org.drip.execution.tradingtime.CoordinatedVariation

public class CoordinatedVariation
extends java.lang.Object

CoordinatedVariation implements the Coordinated Variation of the Volatility and Liquidity 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
CoordinatedVariation(double dblReferenceVolatility, double dblReferenceLiquidity) CoordinatedVariation Constructor

Method Summary

Modifier and Type	Method and Description
double	invariant() Retrieve the Volatility/Liquidity Invariant
double	liquidity(double dblVolatility) Estimate the Liquidity given the Volatility
double	referenceLiquidity() Retrieve the Reference Liquidity
double	referenceVolatility() Retrieve the Reference Volatility
double	volatility(double dblLiquidity) Estimate the Volatility given the Liquidity
R1ToR1	volatilityFunction(R1ToR1 r1ToR1Liquidity) Compute the Volatility Function from the Liquidity Function

Methods inherited from class java.lang.Object

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

Constructor Detail

CoordinatedVariation

public CoordinatedVariation(double dblReferenceVolatility,
                            double dblReferenceLiquidity)
                     throws java.lang.Exception

CoordinatedVariation Constructor

Parameters:

dblReferenceVolatility - The Reference Volatility

dblReferenceLiquidity - The Reference Liquidity

Throws:

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

Method Detail

referenceLiquidity

public double referenceLiquidity()

Retrieve the Reference Liquidity

Returns:

The Reference Liquidity

referenceVolatility

public double referenceVolatility()

Retrieve the Reference Volatility

Returns:

The Reference Volatility

invariant

public double invariant()

Retrieve the Volatility/Liquidity Invariant

Returns:

The Volatility/Liquidity Invariant

liquidity

public double liquidity(double dblVolatility)
                 throws java.lang.Exception

Estimate the Liquidity given the Volatility

Parameters:

dblVolatility - The Volatility

Returns:

Liquidity Estimate using the Volatility

Throws:

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

volatility

public double volatility(double dblLiquidity)
                  throws java.lang.Exception

Estimate the Volatility given the Liquidity

Parameters:

dblLiquidity - The Liquidity

Returns:

Volatility Estimate using the Liquidity

Throws:

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

volatilityFunction

public R1ToR1 volatilityFunction(R1ToR1 r1ToR1Liquidity)

Compute the Volatility Function from the Liquidity Function

Parameters:

r1ToR1Liquidity - The R^1 To R^1 Liquidity Function

Returns:

The R^1 To R^1 Volatility Function