Package org.drip.execution.adaptive

Class CoordinatedVariationTrajectoryDeterminant

java.lang.Object
org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
public class CoordinatedVariationTrajectoryDeterminant
extends java.lang.Object
CoordinatedVariationTrajectoryDeterminant contains the HJB-based MultiStep Optimal Cost Dynamic Trajectory Generation Metrics 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:
  • CoordinatedVariationTrajectoryDeterminant Constructor
  • Retrieve the Order Size
  • Retrieve the Time Scale
  • Retrieve the Cost Scale
  • Retrieve the Trade Rate Scale
  • Retrieve the Mean Market Urgency
  • Retrieve the Non Dimensional Risk Aversion Parameter
  • Retrieve the Preference-free "Market Power" Parameter
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
    CoordinatedVariationTrajectoryDeterminant​(double orderSize, double timeScale, double costScale, double tradeRateScale, double meanMarketUrgency, double nonDimensionalRiskAversion, double marketPower)
    CoordinatedVariationTrajectoryDeterminant Constructor

  • Method Summary

    Modifier and Type Method Description
    double costScale()
    Retrieve the Cost Scale
    double marketPower()
    Retrieve the Preference-free "Market Power" Parameter
    double meanMarketUrgency()
    Retrieve the Mean Market Urgency
    double nonDimensionalRiskAversion()
    Retrieve the Non Dimensional Risk Aversion Parameter
    double orderSize()
    Retrieve the Order Size
    double timeScale()
    Retrieve the Time Scale
    double tradeRateScale()
    Retrieve the Trade Rate Scale

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CoordinatedVariationTrajectoryDeterminant

      public CoordinatedVariationTrajectoryDeterminant​(double orderSize, double timeScale, double costScale, double tradeRateScale, double meanMarketUrgency, double nonDimensionalRiskAversion, double marketPower) throws java.lang.Exception
      CoordinatedVariationTrajectoryDeterminant Constructor
      Parameters:
      orderSize - The Order Size
      timeScale - The Time Scale
      costScale - The Cost Scale
      tradeRateScale - The Trade Rate Scale
      meanMarketUrgency - The Mean Market Urgency
      nonDimensionalRiskAversion - The Non Dimensional Risk Aversion Parameter
      marketPower - The Preference-free "Market Power" Parameter
      Throws:
      java.lang.Exception - Thrown if the the Inputs are Invalid

  • Method Details

    • orderSize

      public double orderSize()
      Retrieve the Order Size
      Returns:
      The Order Size

    • timeScale

      public double timeScale()
      Retrieve the Time Scale
      Returns:
      The Time Scale

    • costScale

      public double costScale()
      Retrieve the Cost Scale
      Returns:
      The Cost Scale

    • tradeRateScale

      public double tradeRateScale()
      Retrieve the Trade Rate Scale
      Returns:
      The Trade Rate Scale

    • meanMarketUrgency

      public double meanMarketUrgency()
      Retrieve the Mean Market Urgency
      Returns:
      The Mean Market Urgency

    • nonDimensionalRiskAversion

      public double nonDimensionalRiskAversion()
      Retrieve the Non Dimensional Risk Aversion Parameter
      Returns:
      The Non Dimensional Risk Aversion Parameter

    • marketPower

      public double marketPower()
      Retrieve the Preference-free "Market Power" Parameter
      Returns:
      The Preference-free "Market Power" Parameter