Package org.drip.execution.latent

Class MarketStateSystemic

java.lang.Object
org.drip.execution.latent.MarketStateSystemic
All Implemented Interfaces:
MarketState
public class MarketStateSystemic
extends java.lang.Object
implements MarketState
MarketStateSystemic holds the Single Systemic Market State that drives both the Liquidity and the Volatility Market States. 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
    MarketStateSystemic​(double dblCommon)
    MarketStateSystemic Constructor

  • Method Summary

    Modifier and Type Method Description
    double common()
    Retrieve the Common Systemic Market State
    double liquidity()
    Retrieve the Realized Liquidity Market State
    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

    • MarketStateSystemic

      public MarketStateSystemic​(double dblCommon) throws java.lang.Exception
      MarketStateSystemic Constructor
      Parameters:
      dblCommon - The Common Systemic Market State
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • common

      public double common()
      Retrieve the Common Systemic Market State
      Returns:
      The Common Systemic Market State

    • 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