Package org.drip.execution.latent

Correlated Latent Market State Sequence
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    MarketState
    MarketState holds the Random Market State(s) that control(s) the Cost Evolution and the Eventual Optimal rajectory Generation.
  • Class Summary
    Class Description
    MarketStateCorrelated
    MarketStateCorrelated holds the Correlated Market State that drives the Liquidity and the Volatility Market States separately.
    MarketStateSystemic
    MarketStateSystemic holds the Single Systemic Market State that drives both the Liquidity and the Volatility Market States.
    OrnsteinUhlenbeckSequence
    OrnsteinUhlenbeckSequence holds the Sequence of the Market State that drives the Liquidity and the Volatility Market States driven using an Ornstein-Uhlenbeck Process.