All Known Implementing Classes:: MarketStateCorrelated, MarketStateSystemic

public interface MarketState

MarketState holds the Random Market State(s) that control(s) the Cost Evolution and the Eventual Optimal rajectory Generation. 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

Module = Product Core Module
Library = Transaction Cost Analytics
Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
Package = Correlated Latent Market State Sequence

Modifier and Type	Method	Description
`double`	`liquidity()`	Retrieve the Realized Liquidity Market State
`double`	`volatility()`	Retrieve the Realized Volatility Market State

Interface MarketState

Method Summary