Package org.drip.sample.almgren2009
Class CoordinatedMarketStateTrajectory
java.lang.Object
org.drip.sample.almgren2009.CoordinatedMarketStateTrajectory
public class CoordinatedMarketStateTrajectory
extends java.lang.Object
CoordinatedMarketStateTrajectory traces a Sample Realization of the Market State Trajectory the
follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics. 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
- Walia, N. (2006): Optimal Trading: Dynamic Stock Liquidation Strategies Princeton University
- Module = Product Core Module
- Library = Transaction Cost Analytics
- Project = DROP API Construction and Usage
- Package = Almgren (2009) Optimal Adaptive HJB
- Author:
- Lakshmi Krishnamurthy
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Constructor Summary
Constructors Constructor Description CoordinatedMarketStateTrajectory()
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Method Summary
Modifier and Type Method Description static void
main(java.lang.String[] astrArgs)
Entry PointMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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CoordinatedMarketStateTrajectory
public CoordinatedMarketStateTrajectory()
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Method Details
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main
public static final void main(java.lang.String[] astrArgs) throws java.lang.ExceptionEntry Point- Parameters:
astrArgs
- Command Line Argument Array- Throws:
java.lang.Exception
- Thrown on Error/Exception Situation
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