Package org.drip.execution.adaptive

Coordinated Variation Based Adaptive Execution

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
CoordinatedVariationDynamic	CoordinatedVariationDynamic implements the HJB-based Single Step Optimal Cost Dynamic 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.
CoordinatedVariationRollingHorizon	CoordinatedVariationRollingHorizon implements the "Rolling Horizon" Approximation of the Optimal Cost Dynamic Trajectory arising from 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.
CoordinatedVariationStatic	CoordinatedVariationStatic implements the Static Trajectory based on the "Mean Equilibrium Market State" of 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.
CoordinatedVariationTrajectory	CoordinatedVariationTrajectory holds the "Common" Measures generated from the HJB-based Multi-Step Optimal Cost Dynamic Trajectory Generation 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.
CoordinatedVariationTrajectoryDeterminant	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.
CoordinatedVariationTrajectoryGenerator	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.
CoordinatedVariationTrajectoryState	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.