Package org.drip.execution.adaptive

Class CoordinatedVariationTrajectory

java.lang.Object
org.drip.execution.adaptive.CoordinatedVariationTrajectory
Direct Known Subclasses:
CoordinatedVariationDynamic, CoordinatedVariationRollingHorizon, CoordinatedVariationStatic
public class CoordinatedVariationTrajectory
extends java.lang.Object
CoordinatedVariationTrajectory holds the "Common" Measures generated from the HJB-based Multi-Step Optimal Cost Dynamic Trajectory Generation 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. 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

    • CoordinatedVariationTrajectory

      public CoordinatedVariationTrajectory​(CoordinatedVariationTrajectoryDeterminant cvtd) throws java.lang.Exception
      CoordinatedVariationTrajectory Constructor
      Parameters:
      cvtd - The Coordinated Variation Trajectory Determinant
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • trajectoryDeterminant

      public CoordinatedVariationTrajectoryDeterminant trajectoryDeterminant()
      Retrieve The Coordinated Variation Trajectory Determinant Instance
      Returns:
      The Coordinated Variation Trajectory Determinant Instance