Package org.drip.execution.discrete

Trajectory Slice Execution Cost Distribution

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
EvolutionIncrement	EvolutionIncrement contains the Realized Stochastic Evolution Increments of the Price/Short-fall exhibited by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
OptimalSerialCorrelationAdjustment	OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross Period Serial Price Correlations over the Slice Time Interval.
PriceIncrement	PriceIncrement contains the Realized Stochastic Evolution Increments of the Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
ShortfallIncrement	ShortfallIncrement generates the Realized Incremental Stochastic Trading/Execution Short-fall and the corresponding Implementation Short-fall corresponding to the Trajectory of a Holdings Block that is to be executed over Time.
ShortfallIncrementDistribution	ShortfallIncrementDistribution holds the Parameters of the R1 Normal Short fall Increment Distribution.
Slice	Slice implements the Arithmetic Dynamics of the Price/Cost Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors on a Trajectory Slice.