Package org.drip.execution.dynamics

Arithmetic Price Evolution Execution Parameters
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ArithmeticPriceEvolutionParameters
    ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.
    ArithmeticPriceEvolutionParametersBuilder
    ArithmeticPriceEvolutionParametersBuilder constructs a variety of Arithmetic Price Evolution Parameters.
    LinearPermanentExpectationParameters
    LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate.
    WalkSuite
    WalkSuite holds the Walk Random Variables (e.g., Weiner Variates) that correspond to an Instance of Walk attributable to different Factor Contributions inside of a Slice Increment.