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. It provides the following Functions:
  • CoordinatedVariationTrajectory Constructor
  • Retrieve The Coordinated Variation Trajectory Determinant Instance
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 Details

    • CoordinatedVariationTrajectory

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

  • Method Details

    • determinant

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