Package org.drip.execution.adaptive

Class CoordinatedVariationTrajectoryState

java.lang.Object
org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
public class CoordinatedVariationTrajectoryState
extends java.lang.Object
CoordinatedVariationTrajectoryState holds the HJB-based Multi Step Optimal Trajectory State at each Step of the Evolution 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:
  • CoordinatedVariationTrajectoryState Constructor
  • Retrieve the Trajectory State Time Node
  • Retrieve the Trajectory State Time Node Holdings
  • Retrieve the Trajectory State Time Node Cost
  • Retrieve the Trajectory State Time Node Trade Rate
  • Retrieve the Trajectory Time Node Market State
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
    CoordinatedVariationTrajectoryState​(double time, double holdings, double tradeRate, double cost, double marketState)
    CoordinatedVariationTrajectoryState Constructor

  • Method Summary

    Modifier and Type Method Description
    double cost()
    Retrieve the Trajectory State Time Node Cost
    double holdings()
    Retrieve the Trajectory State Time Node Holdings
    double marketState()
    Retrieve the Trajectory Time Node Market State
    double time()
    Retrieve the Trajectory State Time Node
    double tradeRate()
    Retrieve the Trajectory State Time Node Trade Rate

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CoordinatedVariationTrajectoryState

      public CoordinatedVariationTrajectoryState​(double time, double holdings, double tradeRate, double cost, double marketState) throws java.lang.Exception
      CoordinatedVariationTrajectoryState Constructor
      Parameters:
      time - The Time Instant
      holdings - The Holdings
      tradeRate - The Trade Rate
      cost - The Accumulated Cost
      marketState - The Current Market State
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • time

      public double time()
      Retrieve the Trajectory State Time Node
      Returns:
      The Trajectory State Time Node

    • holdings

      public double holdings()
      Retrieve the Trajectory State Time Node Holdings
      Returns:
      The Trajectory State Time Node Holdings

    • cost

      public double cost()
      Retrieve the Trajectory State Time Node Cost
      Returns:
      The Trajectory State Time Node Cost

    • tradeRate

      public double tradeRate()
      Retrieve the Trajectory State Time Node Trade Rate
      Returns:
      The Trajectory State Time Node Trade Rate

    • marketState

      public double marketState()
      Retrieve the Trajectory Time Node Market State
      Returns:
      The Trajectory Time Node Market State