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. It provides the following Functions:
  • PriorConditionalCombiner Constructor
  • Retrieve the Prior Drift Distribution Instance
  • Retrieve the Conditional Price Distribution Instance
  • Generate the Joint Price Distribution
  • Generate the Posterior Drift Distribution
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 Details

    • PriorConditionalCombiner

      public PriorConditionalCombiner​(PriorDriftDistribution driftDistribution, ConditionalPriceDistribution priceDistribution) throws java.lang.Exception
      PriorConditionalCombiner Constructor
      Parameters:
      driftDistribution - The Prior Drift Distribution Instance
      priceDistribution - The Conditional Price Distribution Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • priorDriftDistribution

      public PriorDriftDistribution priorDriftDistribution()
      Retrieve the Prior Drift Distribution Instance
      Returns:
      The Prior Drift Distribution Instance

    • conditionalPriceDistribution

      public ConditionalPriceDistribution conditionalPriceDistribution()
      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 deltaS)
      Generate the Posterior Drift Distribution
      Parameters:
      deltaS - The Price Change (Final - Initial)
      Returns:
      The Posterior Drift Distribution