Uses of Package
org.drip.execution.adaptive
| Package | Description |
|---|---|
| org.drip.execution.adaptive |
Coordinated Variation Based Adaptive Execution
|
-
Classes in org.drip.execution.adaptive used by org.drip.execution.adaptive 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.