Package org.drip.execution.latent

Class OrnsteinUhlenbeckSequence

java.lang.Object

org.drip.execution.latent.OrnsteinUhlenbeckSequence

public class OrnsteinUhlenbeckSequence
extends java.lang.Object

OrnsteinUhlenbeckSequence holds the Sequence of the Market State that drives the Liquidity and the Volatility Market States driven using an Ornstein-Uhlenbeck Process. 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

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
static OrnsteinUhlenbeckSequence	Correlated(OrnsteinUhlenbeckPair oup2D, double dblGenerationInterval, double dblInitialLiquidityMarketState, double dblInitialVolatilityMarketState, int iCount)	Construct a Standard Correlated Instance of OrnsteinUhlenbeckSequence
int	count()	Retrieve the Total Count of States realized
double	generationInterval()	Retrieve the Generation Interval
MarketState	initialMarketState()	Retrieve the Initial Market State
MarketState[]	realizedMarketState()	Retrieve the Sequence of Market State Realization
OrnsteinUhlenbeck	scheme()	Retrieve the Ornstein-Uhlenbeck Generator Scheme Parameters
static OrnsteinUhlenbeckSequence	Systemic(DiffusionEvaluatorOrnsteinUhlenbeck deou, double dblGenerationInterval, double dblInitialMarketState, int iCount)	Construct a Standard Systemic Instance of OrnsteinUhlenbeckSequence

Methods inherited from class java.lang.Object

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

Method Details

Systemic

public static final OrnsteinUhlenbeckSequence Systemic(DiffusionEvaluatorOrnsteinUhlenbeck deou,
double dblGenerationInterval,
double dblInitialMarketState,
int iCount)

Construct a Standard Systemic Instance of OrnsteinUhlenbeckSequence

Parameters:

deou - The 1D Ornstein-Uhlenbeck Generator Scheme

dblGenerationInterval - The Generation Interval

dblInitialMarketState - The Initial Market State

iCount - Count of the Number of States to be generated

Returns:

The OrnsteinUhlenbeckSequence Instance

Correlated

public static final OrnsteinUhlenbeckSequence Correlated(OrnsteinUhlenbeckPair oup2D,
double dblGenerationInterval,
double dblInitialLiquidityMarketState,
double dblInitialVolatilityMarketState,
int iCount)

Construct a Standard Correlated Instance of OrnsteinUhlenbeckSequence

Parameters:

oup2D - The 2D Ornstein-Uhlenbeck Generator Scheme

dblGenerationInterval - The Generation Interval

dblInitialLiquidityMarketState - The Initial Liquidity Market State

dblInitialVolatilityMarketState - The Initial Volatility Market State

iCount - Count of the Number of States to be generated

Returns:

The OrnsteinUhlenbeckSequence Instance

count

public int count()

Retrieve the Total Count of States realized

Returns:

The Total Count of States realized

generationInterval

public double generationInterval()

Retrieve the Generation Interval

Returns:

The Generation Interval

realizedMarketState

public MarketState[] realizedMarketState()

Retrieve the Sequence of Market State Realization

Returns:

The Sequence of Market State Realization

scheme

public OrnsteinUhlenbeck scheme()

Retrieve the Ornstein-Uhlenbeck Generator Scheme Parameters

Returns:

The Ornstein-Uhlenbeck Generator Scheme Parameters

initialMarketState

public MarketState initialMarketState()

Retrieve the Initial Market State

Returns:

The Initial Market State