Uses of Package
org.drip.execution.latent
| Package | Description |
|---|---|
| org.drip.execution.adaptive |
Coordinated Variation Based Adaptive Execution
|
| org.drip.execution.hjb |
Optimal Hamilton-Jacobi-Bellman Execution
|
| org.drip.execution.latent |
Correlated Latent Market State Sequence
|
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Classes in org.drip.execution.latent used by org.drip.execution.adaptive Class Description MarketState MarketState holds the Random Market State(s) that control(s) the Cost Evolution and the Eventual Optimal rajectory Generation. -
Classes in org.drip.execution.latent used by org.drip.execution.hjb Class Description MarketState MarketState holds the Random Market State(s) that control(s) the Cost Evolution and the Eventual Optimal rajectory Generation. -
Classes in org.drip.execution.latent used by org.drip.execution.latent Class Description MarketState MarketState holds the Random Market State(s) that control(s) the Cost Evolution and the Eventual Optimal rajectory Generation.OrnsteinUhlenbeckSequence OrnsteinUhlenbeckSequence holds the Sequence of the Market State that drives the Liquidity and the Volatility Market States driven using an Ornstein-Uhlenbeck Process.