Package org.drip.execution.bayesian

Class ConditionalPriceDistribution

java.lang.Object

org.drip.measure.continuous.R1Univariate

org.drip.measure.gaussian.R1UnivariateNormal

org.drip.execution.bayesian.ConditionalPriceDistribution

public class ConditionalPriceDistribution
extends R1UnivariateNormal

ConditionalPriceDistribution holds the Price Distribution Conditional on a given Drift. The References are:

• Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
• Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
• Brunnermeier, L. K., and L. H. Pedersen (2005): Predatory Trading Journal of Finance 60 (4) 1825-1863
• Almgren, R., and J. Lorenz (2006): Bayesian Adaptive Trading with a Daily Cycle Journal of Trading 1 (4) 38-46
• Kissell, R., and R. Malamut (2007): Algorithmic Decision Making Framework Journal of Trading 1 (1) 12-21

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ConditionalPriceDistribution(double dblConditionalDrift, double dblPriceVolatility, double dblTime)	ConditionalPriceDistribution Constructor

Method Summary

Modifier and Type	Method	Description
double	conditionalDrift()	Retrieve the Distribution Conditional Drift
double	priceVolatility()	Retrieve the Distribution Price Volatility
double	priceVolatilitySwing()	Generate s Single Price Volatility Swings
double[]	priceVolatilitySwings(int iNumRealization)	Generate the given Number of Price Volatility Swings
double	time()	Retrieve the Distribution Time Horizon

Methods inherited from class org.drip.measure.gaussian.R1UnivariateNormal

confidence, confidenceInterval, cumulative, density, errorFunction, histogram, incremental, invCumulative, mean, median, mode, random, sigma, Standard, support, variance

Methods inherited from class org.drip.measure.continuous.R1Univariate

bPOE, centralMoment, cvar, differentialEntropy, excessKurtosis, expectedShortfall, fisherInformation, iqr, kullbackLeiblerDivergence, momentGeneratingFunction, nonCentralMoment, populationCentralMeasures, probabilityGeneratingFunction, quantile, randomArray, skewness, supported, tukeyAnomaly, tukeyCriterion

Methods inherited from class java.lang.Object

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

Constructor Details

ConditionalPriceDistribution

public ConditionalPriceDistribution(double dblConditionalDrift,
double dblPriceVolatility,
double dblTime)
                             throws java.lang.Exception

ConditionalPriceDistribution Constructor

Parameters:

dblConditionalDrift - The Conditional Drift

dblPriceVolatility - The Price Volatility

dblTime - The Distribution Time Horizon

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

time

public double time()

Retrieve the Distribution Time Horizon

Returns:

The Distribution Time Horizon

priceVolatility

public double priceVolatility()

Retrieve the Distribution Price Volatility

Returns:

The Distribution Price Volatility

conditionalDrift

public double conditionalDrift()

Retrieve the Distribution Conditional Drift

Returns:

The Distribution Conditional Drift

priceVolatilitySwing

public double priceVolatilitySwing()
                            throws java.lang.Exception

Generate s Single Price Volatility Swings

Returns:

The Price Volatility Swings

Throws:

java.lang.Exception - Thrown if the Swing cannot be generated

priceVolatilitySwings

public double[] priceVolatilitySwings(int iNumRealization)

Generate the given Number of Price Volatility Swings

Parameters:

iNumRealization - The Number of Swings to be generated

Returns:

Array of the Price Volatility Swings