Class ContinuousCoordinatedVariationStochastic

java.lang.Object
org.drip.execution.nonadaptive.StaticOptimalScheme
org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous
org.drip.execution.nonadaptive.ContinuousCoordinatedVariationStochastic

public class ContinuousCoordinatedVariationStochastic
extends StaticOptimalSchemeContinuous
ContinuousCoordinatedVariationStochastic uses the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal Trading Trajectory in the T To Infinite Limit. 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
  • Method Details

    • Standard

      public static final ContinuousCoordinatedVariationStochastic Standard​(double dblStartHoldings, double dblFinishTime, ArithmeticPriceEvolutionParameters apep, double dblRiskAversion)
      Create the Standard ContinuousCoordinatedVariationStochastic Instance
      Parameters:
      dblStartHoldings - Trajectory Start Holdings
      dblFinishTime - Trajectory Finish Time
      apep - The Arithmetic Price Evolution Parameters
      dblRiskAversion - The Risk Aversion Parameter
      Returns:
      The ContinuousCoordinatedVariationStochastic Instance
    • generate

      public EfficientTradingTrajectory generate()
      Description copied from class: StaticOptimalScheme
      Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance
      Specified by:
      generate in class StaticOptimalScheme
      Returns:
      The Optimal Trading Trajectory Instance