Package org.drip.execution.adaptive

Class CoordinatedVariationDynamic

java.lang.Object

org.drip.execution.adaptive.CoordinatedVariationTrajectory

org.drip.execution.adaptive.CoordinatedVariationDynamic

public class CoordinatedVariationDynamic
extends CoordinatedVariationTrajectory

CoordinatedVariationDynamic implements the HJB-based Single Step Optimal Cost Dynamic Trajectory using the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model. It provides the following Functions:

• CoordinatedVariationDynamic Constructor
• Retrieve the Array of the Non Dimensional Holdings
• Retrieve the Array of the Scaled Non Dimensional Trade Rate
• Retrieve the Array of the Non Dimensional Costs

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

Module	Computational Core Module
Library	Numerical Optimizer Library
Project	Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
Package	Coordinated Variation Based Adaptive Execution

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CoordinatedVariationDynamic(CoordinatedVariationTrajectoryDeterminant trajectoryDeterminant, double[] nonDimensionalHoldingsArray, double[] scaledNonDimensionalTradeRateArray, NonDimensionalCost[] nonDimensionalCostArray)	CoordinatedVariationDynamic Constructor

Method Summary

Modifier and Type	Method	Description
NonDimensionalCost[]	nonDimensionalCost()	Retrieve the Array of the Non Dimensional Costs
double[]	nonDimensionalHoldings()	Retrieve the Array of the Non Dimensional Holdings
double[]	scaledNonDimensionalTradeRate()	Retrieve the Array of the Scaled Non Dimensional Trade Rate

Methods inherited from class org.drip.execution.adaptive.CoordinatedVariationTrajectory

determinant

Methods inherited from class java.lang.Object

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

Constructor Details

CoordinatedVariationDynamic

public CoordinatedVariationDynamic(CoordinatedVariationTrajectoryDeterminant trajectoryDeterminant,
double[] nonDimensionalHoldingsArray,
double[] scaledNonDimensionalTradeRateArray,
NonDimensionalCost[] nonDimensionalCostArray)
                            throws java.lang.Exception

CoordinatedVariationDynamic Constructor

Parameters:

trajectoryDeterminant - The Coordinated Variation Trajectory Determinant

nonDimensionalHoldingsArray - The Array of the Non Dimensional Holdings

scaledNonDimensionalTradeRateArray - The Array of the Scaled Non Dimensional Trade Rate

nonDimensionalCostArray - The Array of the Non Dimensional Costs

Throws:

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

Method Details

nonDimensionalHoldings

public double[] nonDimensionalHoldings()

Retrieve the Array of the Non Dimensional Holdings

Returns:

The Array of the Non Dimensional Holdings

scaledNonDimensionalTradeRate

public double[] scaledNonDimensionalTradeRate()

Retrieve the Array of the Scaled Non Dimensional Trade Rate

Returns:

The Array of the Scaled Non Dimensional Trade Rate

nonDimensionalCost

public NonDimensionalCost[] nonDimensionalCost()

Retrieve the Array of the Non Dimensional Costs

Returns:

The Array of the Non Dimensional Costs