Package org.drip.measure.process

Interface OrnsteinUhlenbeck

All Known Implementing Classes:
DiffusionEvaluatorOrnsteinUhlenbeck, OrnsteinUhlenbeckPair
public interface OrnsteinUhlenbeck
OrnsteinUhlenbeck Interface exposes the Reference Parameter Scales the guide the Random Variable Evolution according to Ornstein-Uhlenbeck Mean Reverting Process. The References are:

  • 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
  • Walia, N. (2006): Optimal Trading - Dynamic Stock Liquidation Strategies Princeton University


Author:
Lakshmi Krishnamurthy

  • Method Details

    • referenceRelaxationTime

      double referenceRelaxationTime()
      Retrieve the Reference Relaxation Time Scale
      Returns:
      The Reference Relaxation Time Scale

    • referenceBurstiness

      double referenceBurstiness()
      Retrieve the Reference Burstiness Scale
      Returns:
      The Reference Burstiness Scale

    • referenceMeanReversionLevel

      double referenceMeanReversionLevel()
      Retrieve the Reference Mean Reversion Level Scale
      Returns:
      The Reference Mean Reversion Level Scale