Package org.drip.execution.bayesian

Class PriorConditionalCombiner

java.lang.Object

org.drip.execution.bayesian.PriorConditionalCombiner

public class PriorConditionalCombiner
extends java.lang.Object

PriorConditionalCombiner holds the Distributions associated with the Prior Drift and the Conditional Price Distributions. It uses them to generate the resulting Joint, Posterior, and MAP Implied Posterior Distributions. 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
PriorConditionalCombiner(PriorDriftDistribution pdd, ConditionalPriceDistribution cpd)	PriorConditionalCombiner Constructor

Method Summary

Modifier and Type	Method	Description
ConditionalPriceDistribution	conditional()	Retrieve the Conditional Price Distribution Instance
R1UnivariateNormal	jointPriceDistribution()	Generate the Joint Price Distribution
R1UnivariateNormal	posteriorDriftDistribution(double dblDeltaS)	Generate the Posterior Drift Distribution
PriorDriftDistribution	prior()	Retrieve the Prior Drift Distribution Instance

Methods inherited from class java.lang.Object

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

Constructor Details

PriorConditionalCombiner

public PriorConditionalCombiner(PriorDriftDistribution pdd,
ConditionalPriceDistribution cpd)
                         throws java.lang.Exception

PriorConditionalCombiner Constructor

Parameters:

pdd - The Prior Drift Distribution Instance

cpd - The Conditional Price Distribution Instance

Throws:

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

Method Details

prior

public PriorDriftDistribution prior()

Retrieve the Prior Drift Distribution Instance

Returns:

The Prior Drift Distribution Instance

conditional

public ConditionalPriceDistribution conditional()

Retrieve the Conditional Price Distribution Instance

Returns:

The Conditional Price Distribution Instance

jointPriceDistribution

public R1UnivariateNormal jointPriceDistribution()

Generate the Joint Price Distribution

Returns:

The Joint Price Distribution

posteriorDriftDistribution

public R1UnivariateNormal posteriorDriftDistribution(double dblDeltaS)

Generate the Posterior Drift Distribution

Parameters:

dblDeltaS - The Price Change (Final - Initial)

Returns:

The Posterior Drift Distribution