Package org.drip.execution.latent

Class MarketStateCorrelated

java.lang.Object
org.drip.execution.latent.MarketStateCorrelated
All Implemented Interfaces:
MarketState
public class MarketStateCorrelated
extends java.lang.Object
implements MarketState
MarketStateCorrelated holds the Correlated Market State that drives the Liquidity and the Volatility Market States separately. 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
    MarketStateCorrelated​(double dblLiquidity, double dblVolatility)
    MarketStateCorrelated Constructor

  • Method Summary

    Modifier and Type Method Description
    double liquidity()
    Retrieve the Realized Liquidity Market State
    double[] realization()
    Retrieve the Liquidity/Volatility Market State Realizations
    double volatility()
    Retrieve the Realized Volatility Market State

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MarketStateCorrelated

      public MarketStateCorrelated​(double dblLiquidity, double dblVolatility) throws java.lang.Exception
      MarketStateCorrelated Constructor
      Parameters:
      dblLiquidity - The Realized Liquidity Market State Realization
      dblVolatility - The Realized Volatility Market State Realization
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • liquidity

      public double liquidity()
      Description copied from interface: MarketState
      Retrieve the Realized Liquidity Market State
      Specified by:
      liquidity in interface MarketState
      Returns:
      The Realized Liquidity Market State Realization

    • volatility

      public double volatility()
      Description copied from interface: MarketState
      Retrieve the Realized Volatility Market State
      Specified by:
      volatility in interface MarketState
      Returns:
      The Realized Volatility Market State Realization

    • realization

      public double[] realization()
      Retrieve the Liquidity/Volatility Market State Realizations
      Returns:
      The Liquidity/Volatility Market State Realizations