Package org.drip.execution.tradingtime

Class CoordinatedVariation

java.lang.Object
org.drip.execution.tradingtime.CoordinatedVariation
public class CoordinatedVariation
extends java.lang.Object
CoordinatedVariation implements the Coordinated Variation of the Volatility and Liquidity 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
    CoordinatedVariation​(double dblReferenceVolatility, double dblReferenceLiquidity)
    CoordinatedVariation Constructor

  • Method Summary

    Modifier and Type Method Description
    double invariant()
    Retrieve the Volatility/Liquidity Invariant
    double liquidity​(double dblVolatility)
    Estimate the Liquidity given the Volatility
    double referenceLiquidity()
    Retrieve the Reference Liquidity
    double referenceVolatility()
    Retrieve the Reference Volatility
    double volatility​(double dblLiquidity)
    Estimate the Volatility given the Liquidity
    R1ToR1 volatilityFunction​(R1ToR1 r1ToR1Liquidity)
    Compute the Volatility Function from the Liquidity Function

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CoordinatedVariation

      public CoordinatedVariation​(double dblReferenceVolatility, double dblReferenceLiquidity) throws java.lang.Exception
      CoordinatedVariation Constructor
      Parameters:
      dblReferenceVolatility - The Reference Volatility
      dblReferenceLiquidity - The Reference Liquidity
      Throws:
      java.lang.Exception - Thrwon if the Inputs are Invalid

  • Method Details

    • referenceLiquidity

      public double referenceLiquidity()
      Retrieve the Reference Liquidity
      Returns:
      The Reference Liquidity

    • referenceVolatility

      public double referenceVolatility()
      Retrieve the Reference Volatility
      Returns:
      The Reference Volatility

    • invariant

      public double invariant()
      Retrieve the Volatility/Liquidity Invariant
      Returns:
      The Volatility/Liquidity Invariant

    • liquidity

      public double liquidity​(double dblVolatility) throws java.lang.Exception
      Estimate the Liquidity given the Volatility
      Parameters:
      dblVolatility - The Volatility
      Returns:
      Liquidity Estimate using the Volatility
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • volatility

      public double volatility​(double dblLiquidity) throws java.lang.Exception
      Estimate the Volatility given the Liquidity
      Parameters:
      dblLiquidity - The Liquidity
      Returns:
      Volatility Estimate using the Liquidity
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • volatilityFunction

      public R1ToR1 volatilityFunction​(R1ToR1 r1ToR1Liquidity)
      Compute the Volatility Function from the Liquidity Function
      Parameters:
      r1ToR1Liquidity - The R^1 To R^1 Liquidity Function
      Returns:
      The R^1 To R^1 Volatility Function