Package org.drip.execution.adaptive

Class CoordinatedVariationStatic

java.lang.Object
org.drip.execution.adaptive.CoordinatedVariationTrajectory
org.drip.execution.adaptive.CoordinatedVariationStatic
public class CoordinatedVariationStatic
extends CoordinatedVariationTrajectory
CoordinatedVariationStatic implements the Static Trajectory based on the "Mean Equilibrium Market State" of 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. 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 Details

    • CoordinatedVariationStatic

      public CoordinatedVariationStatic​(CoordinatedVariationTrajectoryDeterminant cvtd, EfficientTradingTrajectoryContinuous ettc) throws java.lang.Exception
      CoordinatedVariationStatic Constructor
      Parameters:
      cvtd - The Coordinated Variation Trajectory Determinant
      ettc - The Static Continuous Trading Trajectory Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • trajectory

      public EfficientTradingTrajectoryContinuous trajectory()
      Retrieve the Static Continuous Trading Trajectory Instance
      Returns:
      The Static Continuous Trading Trajectory Instance