Package org.drip.sample.trend

Fixed/Variable Bayesian Drift Gain

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
BayesianDriftTrajectoryDependence	BayesianDriftTrajectoryDependence demonstrates the Dependence of the Trading Trajectory achieved from using an Optimal Trajectory for a Price Process as a Function of the Bayesian Drift Parameters.
BayesianDriftTransactionDependence	BayesianDriftTransactionDependence demonstrates the Gains achieved from using an Optimal Trajectory for a Price Process as a Function of the Bayesian Drift Parameters.
BayesianGain	BayesianGain demonstrates the Gains achieved from using an Optimal Trajectory for a Price Process with Bayesian Drift, Arithmetic Volatility, and Linear Temporary Market Impact across a Set of Drifts.
BayesianPriceProcess	BayesianPriceProcess demonstrates the Evolution Process for an Asset Price with a Uncertain (Bayesian) Drift.
FixedDriftTrajectoryComparator	FixedDriftTrajectoryComparator demonstrates the Optimal Trajectory for a Price Process with Bayes' Drift, Arithmetic Volatility, and Linear Temporary Market Impact.
VariableDriftTrajectoryComparator	VariableDriftTrajectoryComparator demonstrates the Optimal Trajectory for a Price Process with Bayesian Drift, Arithmetic Volatility, and Linear Temporary Market Impact across a Set of Drifts.