Package org.drip.execution.adaptive

Class CoordinatedVariationTrajectoryGenerator

java.lang.Object
org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
public class CoordinatedVariationTrajectoryGenerator
extends java.lang.Object
CoordinatedVariationTrajectoryGenerator implements the Continuous HJB-based Single Step Optimal Cost Trajectory 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:
  • Flag Indicating Trade Rate Initialization from Static Trajectory
  • Flag Indicating Trade Rate Initialization to Zero Initial Value
  • CoordinatedVariationTrajectoryGenerator Constructor
  • Retrieve the Trade Rate Initialization Indicator
  • Retrieve the Order Specification
  • Retrieve the Coordinated Variation Instance
  • Retrieve the Non Dimensional Cost Evolver
  • Retrieve the Mean Variance Objective Utility Function
  • Compute The Coordinated Variation Trajectory Determinant Instance
  • Retrieve the Initial Non Dimensional Cost
  • Generate the Continuous Coordinated Variation Dynamic Adaptive Trajectory
  • Generate a Static, Non-adaptive Trading Trajectory Instance
  • Generate the Continuous Coordinated Variation Rolling Horizon Trajectory
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

  • Field Details

    • TRADE_RATE_STATIC_INITIALIZATION

      public static final int TRADE_RATE_STATIC_INITIALIZATION
      Flag Indicating Trade Rate Initialization from Static Trajectory
      See Also:
      Constant Field Values

    • TRADE_RATE_ZERO_INITIALIZATION

      public static final int TRADE_RATE_ZERO_INITIALIZATION
      Flag Indicating Trade Rate Initialization to Zero Initial Value
      See Also:
      Constant Field Values

  • Constructor Details

    • CoordinatedVariationTrajectoryGenerator

      public CoordinatedVariationTrajectoryGenerator​(OrderSpecification orderSpecification, CoordinatedVariation coordinatedVariation, MeanVarianceObjectiveUtility meanVarianceObjectiveUtility, NonDimensionalCostEvolver nonDimensionalCostEvolver, int tradeRateInitializer) throws java.lang.Exception
      CoordinatedVariationTrajectoryGenerator Constructor
      Parameters:
      orderSpecification - The Order Specification
      coordinatedVariation - The Coordinated Variation Instance
      meanVarianceObjectiveUtility - The Mean Variance Objective Utility Function
      nonDimensionalCostEvolver - The Non Dimensional Cost Evolver
      tradeRateInitializer - The Trade Rate Initialization Indicator
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • tradeRateInitializer

      public int tradeRateInitializer()
      Retrieve the Trade Rate Initialization Indicator
      Returns:
      The Trade Rate Initialization Indicator

    • orderSpecification

      public OrderSpecification orderSpecification()
      Retrieve the Order Specification
      Returns:
      The Order Specification

    • coordinatedVariationConstraint

      public CoordinatedVariation coordinatedVariationConstraint()
      Retrieve the Coordinated Variation Instance
      Returns:
      The Coordinated Variation Instance

    • costEvolver

      public NonDimensionalCostEvolver costEvolver()
      Retrieve the Non Dimensional Cost Evolver
      Returns:
      The Non Dimensional Cost Evolver

    • objectiveUtility

      public MeanVarianceObjectiveUtility objectiveUtility()
      Retrieve the Mean Variance Objective Utility Function
      Returns:
      The Mean Variance Objective Utility Function

    • trajectoryDeterminant

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

    • initializeNonDimensionalCost

      public NonDimensionalCost initializeNonDimensionalCost​(MarketState initialMarketState, double tradeRateScale)
      Retrieve the Initial Non Dimensional Cost
      Parameters:
      initialMarketState - The Initial Market State
      tradeRateScale - The Trade Rate Scale
      Returns:
      The Initial Non Dimensional Cost

    • adaptive

      public CoordinatedVariationDynamic adaptive​(MarketState[] marketStateArray)
      Generate the Continuous Coordinated Variation Dynamic Adaptive Trajectory
      Parameters:
      marketStateArray - Array of Realized Market States
      Returns:
      The Continuous Coordinated Variation Dynamic Adaptive Trajectory

    • nonAdaptive

      public CoordinatedVariationStatic nonAdaptive()
      Generate a Static, Non-adaptive Trading Trajectory Instance
      Returns:
      The Static, Non-adaptive Trading Trajectory Instance

    • rollingHorizon

      public CoordinatedVariationRollingHorizon rollingHorizon​(MarketState[] marketStateArray)
      Generate the Continuous Coordinated Variation Rolling Horizon Trajectory
      Parameters:
      marketStateArray - Array of Realized Market States
      Returns:
      The Continuous Coordinated Variation Rolling Horizon Trajectory