Package org.drip.execution.bayesian

Bayesian Price Based Optimal Execution
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ConditionalPriceDistribution
    ConditionalPriceDistribution holds the Price Distribution Conditional on a given Drift.
    PriorConditionalCombiner
    PriorConditionalCombiner holds the Distributions associated with the Prior Drift and the Conditional Price Distributions.
    PriorDriftDistribution
    PriorDriftDistribution holds the Prior Belief Distribution associated with the Directional Drift.