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. 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 = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Coordinated Variation Based Adaptive Execution

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static int	TRADE_RATE_STATIC_INITIALIZATION	Flag Indicating Trade Rate Initialization from Static Trajectory
static int	TRADE_RATE_ZERO_INITIALIZATION	Flag Indicating Trade Rate Initialization to Zero Initial Value

Constructor Summary

Constructors

Constructor	Description
CoordinatedVariationTrajectoryGenerator(OrderSpecification os, CoordinatedVariation cv, MeanVarianceObjectiveUtility mvou, NonDimensionalCostEvolver ndce, int iTradeRateInitializer)	CoordinatedVariationTrajectoryGenerator Constructor

Method Summary

Modifier and Type	Method	Description
CoordinatedVariationDynamic	adaptive(MarketState[] aMS)	Generate the Continuous Coordinated Variation Dynamic Adaptive Trajectory
CoordinatedVariation	coordinatedVariationConstraint()	Retrieve the Coordinated Variation Instance
NonDimensionalCostEvolver	evolver()	Retrieve the Non Dimensional Cost Evolver
NonDimensionalCost	initializeNonDimensionalCost(MarketState ms, double dblTradeRateScale)	Retrieve the Initial Non Dimensional Cost
CoordinatedVariationStatic	nonAdaptive()	Generate a Static, Non-adaptive Trading Trajectory Instance
MeanVarianceObjectiveUtility	objectiveUtility()	Retrieve the Mean Variance Objective Utility Function
OrderSpecification	orderSpecification()	Retrieve the Order Specification
CoordinatedVariationRollingHorizon	rollingHorizon(MarketState[] aMS)	Generate the Continuous Coordinated Variation Rolling Horizon Trajectory
int	tradeRateInitializer()	Retrieve the Trade Rate Initialization Indicator
CoordinatedVariationTrajectoryDeterminant	trajectoryDeterminant()	Compute The Coordinated Variation Trajectory Determinant Instance

Methods inherited from class java.lang.Object

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

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 os,
CoordinatedVariation cv,
MeanVarianceObjectiveUtility mvou,
NonDimensionalCostEvolver ndce,
int iTradeRateInitializer)
                                        throws java.lang.Exception

CoordinatedVariationTrajectoryGenerator Constructor

Parameters:

os - The Order Specification

cv - The Coordinated Variation Instance

mvou - The Mean Variance Objective Utility Function

ndce - The Non Dimensional Cost Evolver

iTradeRateInitializer - 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

evolver

public NonDimensionalCostEvolver evolver()

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 ms,
double dblTradeRateScale)

Retrieve the Initial Non Dimensional Cost

Parameters:

ms - The Initial Market State

dblTradeRateScale - The Trade Rate Scale

Returns:

The Initial Non Dimensional Cost

adaptive

public CoordinatedVariationDynamic adaptive(MarketState[] aMS)

Generate the Continuous Coordinated Variation Dynamic Adaptive Trajectory

Parameters:

aMS - 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[] aMS)

Generate the Continuous Coordinated Variation Rolling Horizon Trajectory

Parameters:

aMS - Array of Realized Market States

Returns:

The Continuous Coordinated Variation Rolling Horizon Trajectory