Package org.drip.execution.tradingtime

Coordinated Variation Trading Time Models
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CoordinatedMarketState
    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.
    CoordinatedParticipationRateLinear
    CoordinatedParticipationRateLinear implements the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model.
    CoordinatedVariation
    CoordinatedVariation implements the Coordinated Variation of the Volatility and Liquidity as described in the "Trading Time" Model.
    VolumeTimeFrame
    VolumeTimeFrame implements the Pre- and Post-transformed Increment in the Volume Time Space as used in the "Trading Time" Model.