org.drip.execution.tradingtime

Class VolumeTimeFrame

java.lang.Object

org.drip.quant.stochastic.GenericIncrement

org.drip.execution.tradingtime.VolumeTimeFrame

public class VolumeTimeFrame
extends GenericIncrement

VolumeTimeFrame implements the Pre- and Post-transformed Increment in the Volume Time Space as used 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
VolumeTimeFrame(double dblTemporal, double dblBrownian, double dblVolatility, double dblHoldings, double dblTradeRate) VolumeTimeFrame Constructor

Method Summary

Modifier and Type	Method and Description
double	holdings() Retrieve the Holdings
double	tradeRate() Retrieve the Trade Rate
double	transactionCostIncrement(CoordinatedVariation cv) Generate the Transaction Cost Increment

Methods inherited from class org.drip.quant.stochastic.GenericIncrement

deterministic, stochastic, wander

Methods inherited from class java.lang.Object

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

Constructor Detail

VolumeTimeFrame

public VolumeTimeFrame(double dblTemporal,
                       double dblBrownian,
                       double dblVolatility,
                       double dblHoldings,
                       double dblTradeRate)
                throws java.lang.Exception

VolumeTimeFrame Constructor

Parameters:

dblTemporal - The Temporal Increment

dblBrownian - The Brownian Increment

dblVolatility - The Volatility

dblHoldings - Current Holdings

dblTradeRate - Current Trade Rate

Throws:

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

Method Detail

holdings

public double holdings()

Retrieve the Holdings

Returns:

The Holdings

tradeRate

public double tradeRate()

Retrieve the Trade Rate

Returns:

The Trade Rate

transactionCostIncrement

public double transactionCostIncrement(CoordinatedVariation cv)
                                throws java.lang.Exception

Generate the Transaction Cost Increment

Parameters:

cv - The Coordinated Variation Parameters

Returns:

The Transaction Cost Increment

Throws:

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