Package org.drip.execution.hjb

Class NonDimensionalCostSystemic

java.lang.Object
org.drip.execution.hjb.NonDimensionalCost
org.drip.execution.hjb.NonDimensionalCostSystemic
public class NonDimensionalCostSystemic
extends NonDimensionalCost
NonDimensionalCostSystemic contains the Level, the Gradient, and the Jacobian of the HJB Non Dimensional Cost Value Function to the Systemic Market State. The References are:

  • Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
  • Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility SIAM Journal of Financial Mathematics 3 (1) 163-181
  • Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes Mathematical Finance 11 (1) 79-96
  • Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility Review of Financial Studies 7 (4) 631-651


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    NonDimensionalCostSystemic​(double dblRealization, double dblGradient, double dblJacobian, double dblNonDimensionalTradeRate)
    NonDimensionalCostSystemic Constructor

  • Method Summary

    Modifier and Type Method Description
    static NonDimensionalCostSystemic EulerEnhancedLinearThreshold​(double dblMarketState, double dblNonDimensionalCost, double dblNonDimensionalCostCross)
    Generate a Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance
    double gradient()
    Retrieve the Realized Non Dimensional Cost Value Function Gradient to the Systemic Market State
    double jacobian()
    Retrieve the Realized Non Dimensional Cost Value Function Jacobian to the Systemic Market State
    static NonDimensionalCostSystemic LinearThreshold​(double dblMarketStateExponentiation, double dblNonDimensionalTime)
    Generate a Linear Trading Systemic Non Dimensional Cost Instance
    static NonDimensionalCostSystemic Zero()
    Generate a Zero Sensitivity Systemic Non Dimensional Cost Instance

    Methods inherited from class org.drip.execution.hjb.NonDimensionalCost

    nonDimensionalTradeRate, realization

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • NonDimensionalCostSystemic

      public NonDimensionalCostSystemic​(double dblRealization, double dblGradient, double dblJacobian, double dblNonDimensionalTradeRate) throws java.lang.Exception
      NonDimensionalCostSystemic Constructor
      Parameters:
      dblRealization - The Non Dimensional Cost Value Function Realization
      dblGradient - The Non Dimensional Cost Value Function Gradient to the Systemic Market State
      dblJacobian - The Non Dimensional Cost Value Function Jacobian to the Systemic Market State
      dblNonDimensionalTradeRate - The Non-dimensional Trade Rate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Zero

      public static final NonDimensionalCostSystemic Zero()
      Generate a Zero Sensitivity Systemic Non Dimensional Cost Instance
      Returns:
      The Zero Sensitivity Systemic Non Dimensional Cost Instance

    • LinearThreshold

      public static final NonDimensionalCostSystemic LinearThreshold​(double dblMarketStateExponentiation, double dblNonDimensionalTime)
      Generate a Linear Trading Systemic Non Dimensional Cost Instance
      Parameters:
      dblMarketStateExponentiation - The Exponentiated Market State
      dblNonDimensionalTime - The Non Dimensional Time
      Returns:
      The Linear Trading Systemic Non Dimensional Cost Instance

    • EulerEnhancedLinearThreshold

      public static final NonDimensionalCostSystemic EulerEnhancedLinearThreshold​(double dblMarketState, double dblNonDimensionalCost, double dblNonDimensionalCostCross)
      Generate a Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance
      Parameters:
      dblMarketState - The Market State
      dblNonDimensionalCost - The Non Dimensional Cost
      dblNonDimensionalCostCross - The Non Dimensional Cost Cross Term
      Returns:
      The Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance

    • gradient

      public double gradient()
      Retrieve the Realized Non Dimensional Cost Value Function Gradient to the Systemic Market State
      Returns:
      The Realized Non Dimensional Cost Value Function Gradient to the Systemic Market State

    • jacobian

      public double jacobian()
      Retrieve the Realized Non Dimensional Cost Value Function Jacobian to the Systemic Market State
      Returns:
      The Realized Non Dimensional Cost Value Function Jacobian to the Systemic Market State