Package org.drip.execution.tradingtime

Class CoordinatedMarketState

java.lang.Object
org.drip.execution.tradingtime.CoordinatedMarketState
public class CoordinatedMarketState
extends java.lang.Object
CoordinatedMarketState implements the Coordinated Variation Version of the Volatility and the Linear Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model. 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
    CoordinatedMarketState​(CoordinatedVariation cv)
    CoordinatedParticipationRateLinear Constructor

  • Method Summary

    Modifier and Type Method Description
    double liquidity​(double dblMarketState)
    Retrieve the Realized Random Liquidity
    CoordinatedVariation variationConstraint()
    Retrieve the Coordinated Variation Constraint
    double volatility​(double dblMarketState)
    Retrieve the Realized Random Volatility

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CoordinatedMarketState

      public CoordinatedMarketState​(CoordinatedVariation cv) throws java.lang.Exception
      CoordinatedParticipationRateLinear Constructor
      Parameters:
      cv - The Coordinated Volatility/Liquidity Variation
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • variationConstraint

      public CoordinatedVariation variationConstraint()
      Retrieve the Coordinated Variation Constraint
      Returns:
      The Coordinated Variation Constraint

    • volatility

      public double volatility​(double dblMarketState)
      Retrieve the Realized Random Volatility
      Parameters:
      dblMarketState - The Realized Market State
      Returns:
      The Realized Random Volatility

    • liquidity

      public double liquidity​(double dblMarketState)
      Retrieve the Realized Random Liquidity
      Parameters:
      dblMarketState - The Realized Market State
      Returns:
      The Realized Random Liquidity