Package org.drip.execution.adaptive

Class CoordinatedVariationRollingHorizon

java.lang.Object

org.drip.execution.adaptive.CoordinatedVariationTrajectory

org.drip.execution.adaptive.CoordinatedVariationRollingHorizon

public class CoordinatedVariationRollingHorizon
extends CoordinatedVariationTrajectory

CoordinatedVariationRollingHorizon implements the "Rolling Horizon" Approximation of the Optimal Cost Dynamic Trajectory arising from 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:

• CoordinatedVariationRollingHorizon Constructor
• Retrieve the Array of the Non Dimensional Holdings
• Retrieve the Array of the Non Dimensional Trade Rate
• Retrieve the Array of the Non Dimensional Cost

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
CoordinatedVariationRollingHorizon(CoordinatedVariationTrajectoryDeterminant trajectoryDeterminant, double[] nonDimensionalHoldingsArray, double[] nonDimensionalTradeRateArray, double[] nonDimensionalCostArray)	CoordinatedVariationRollingHorizon Constructor

Method Summary

Modifier and Type	Method	Description
double[]	nonDimensionalCost()	Retrieve the Array of the Non Dimensional Cost
double[]	nonDimensionalHoldings()	Retrieve the Array of the Non Dimensional Holdings
double[]	nonDimensionalTradeRate()	Retrieve the Array of the 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

CoordinatedVariationRollingHorizon

public CoordinatedVariationRollingHorizon(CoordinatedVariationTrajectoryDeterminant trajectoryDeterminant,
double[] nonDimensionalHoldingsArray,
double[] nonDimensionalTradeRateArray,
double[] nonDimensionalCostArray)
                                   throws java.lang.Exception

CoordinatedVariationRollingHorizon Constructor

Parameters:

trajectoryDeterminant - The Coordinated Variation Trajectory Determinant

nonDimensionalHoldingsArray - The Array of the Non Dimensional Holdings

nonDimensionalTradeRateArray - The Array of the Non Dimensional Trade Rate

nonDimensionalCostArray - The Array of the Non Dimensional Cost

Throws:

java.lang.Exception - Thrown if 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

nonDimensionalTradeRate

public double[] nonDimensionalTradeRate()

Retrieve the Array of the Non Dimensional Trade Rate

Returns:

The Array of the Non Dimensional Trade Rate

nonDimensionalCost

public double[] nonDimensionalCost()

Retrieve the Array of the Non Dimensional Cost

Returns:

The Array of the Non Dimensional Cost