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. It provides the following Functions:

• ConditionalPriceDistribution Constructor
• Retrieve the Distribution Time Horizon
• Retrieve the Distribution Price Volatility
• Retrieve the Distribution Conditional Drift
• Generate Single Price Volatility Swings
• Generate the given Number of Price Volatility Swings

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	Computational Core Module
Library	Numerical Optimizer Library
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 drift, double volatility, double time)	ConditionalPriceDistribution Constructor

Method Summary

Modifier and Type	Method	Description
double	drift()	Retrieve the Distribution Conditional Drift
double	time()	Retrieve the Distribution Time Horizon
double	volatility()	Retrieve the Distribution Price Volatility
double	volatilitySwing()	Generate Single Price Volatility Swings
double[]	volatilitySwingArray(int realizationCount)	Generate the given Number of Price Volatility Swings

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 drift,
double volatility,
double time)
                             throws java.lang.Exception

ConditionalPriceDistribution Constructor

Parameters:

drift - The Conditional Drift

volatility - The Price Volatility

time - 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

volatility

public double volatility()

Retrieve the Distribution Price Volatility

Returns:

The Distribution Price Volatility

drift

public double drift()

Retrieve the Distribution Conditional Drift

Returns:

The Distribution Conditional Drift

volatilitySwing

public double volatilitySwing()
                       throws java.lang.Exception

Generate Single Price Volatility Swings

Returns:

The Price Volatility Swings

Throws:

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

volatilitySwingArray

public double[] volatilitySwingArray(int realizationCount)

Generate the given Number of Price Volatility Swings

Parameters:

realizationCount - The Number of Swings to be generated

Returns:

Array of the Price Volatility Swings