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. 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 Summary

    Constructors
    Constructor Description
    CoordinatedVariationTrajectoryDeterminant​(double dblOrderSize, double dblTimeScale, double dblCostScale, double dblTradeRateScale, double dblMeanMarketUrgency, double dblNonDimensionalRiskAversion, double dblMarketPower)
    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 dblOrderSize, double dblTimeScale, double dblCostScale, double dblTradeRateScale, double dblMeanMarketUrgency, double dblNonDimensionalRiskAversion, double dblMarketPower) throws java.lang.Exception
      CoordinatedVariationTrajectoryDeterminant Constructor
      Parameters:
      dblOrderSize - The Order Size
      dblTimeScale - The Time Scale
      dblCostScale - The Cost Scale
      dblTradeRateScale - The Trade Rate Scale
      dblMeanMarketUrgency - The Mean Market Urgency
      dblNonDimensionalRiskAversion - The Non Dimensional Risk Aversion Parameter
      dblMarketPower - 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