Package org.drip.execution.tradingtime

Class VolumeTimeFrame

java.lang.Object

org.drip.measure.realization.JumpDiffusionEdge

org.drip.execution.tradingtime.VolumeTimeFrame

public class VolumeTimeFrame
extends JumpDiffusionEdge

VolumeTimeFrame implements the Pre- and Post-transformed Increment in the Volume Time Space as used 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

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Coordinated Variation Trading Time Models

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
VolumeTimeFrame(double dblTimeIncrement, double dblPrevious, double dblTemporal, double dblBrownian, double dblVolatility, double dblHoldings, double dblTradeRate)	VolumeTimeFrame Constructor

Method Summary

Modifier and Type	Method	Description
double	holdings()	Retrieve the Holdings
double	tradeRate()	Retrieve the Trade Rate
double	transactionCostIncrement(CoordinatedVariation cv)	Generate the Transaction Cost Increment

Methods inherited from class org.drip.measure.realization.JumpDiffusionEdge

deterministic, diffusionStochastic, diffusionWander, finish, grossChange, jumpStochastic, jumpWander, Standard, Standard, start, stochasticDiffusionEdge, stochasticJumpEdge, timeIncrement

Methods inherited from class java.lang.Object

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

Constructor Details

VolumeTimeFrame

public VolumeTimeFrame(double dblTimeIncrement,
double dblPrevious,
double dblTemporal,
double dblBrownian,
double dblVolatility,
double dblHoldings,
double dblTradeRate)
                throws java.lang.Exception

VolumeTimeFrame Constructor

Parameters:

dblTimeIncrement - Time Increment

dblPrevious - The Previous Realization

dblTemporal - The Temporal Increment

dblBrownian - The Brownian Increment

dblVolatility - The Volatility

dblHoldings - Current Holdings

dblTradeRate - Current Trade Rate

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

holdings

public double holdings()

Retrieve the Holdings

Returns:

The Holdings

tradeRate

public double tradeRate()

Retrieve the Trade Rate

Returns:

The Trade Rate

transactionCostIncrement

public double transactionCostIncrement(CoordinatedVariation cv)
                                throws java.lang.Exception

Generate the Transaction Cost Increment

Parameters:

cv - The Coordinated Variation Parameters

Returns:

The Transaction Cost Increment

Throws:

java.lang.Exception - Throw if the Inputs are Invalid