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IdeaDRIP:

	- High-Frequency Trading in a Limit Order Book - Introduction (1-48)
	- High-Frequency Trading in a Limit Order Book - The Mid-Price model of Stock (49-60)
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Lakshmik committed Feb 4, 2024
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Expand Down Expand Up @@ -1672,9 +1672,13 @@ <h2 class="title" id="I:A">A</h2>
<dd>
<div class="block">Retrieve the Ratings Agency</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/UtilityFunction.html#agentObjective()">agentObjective()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/UtilityFunction.html" title="class in org.drip.oms.indifference">UtilityFunction</a></dt>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html#agentObjectiveValue(double,double)">agentObjectiveValue(double, double)</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html" title="class in org.drip.oms.indifference">UtilityFunctionExpectation</a></dt>
<dd>
<div class="block">Retrieve the Agent's Objective Function</div>
<div class="block">Compute the Agent's Objective Function Value For the Underlier Price</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html#agentOptimizer()">agentOptimizer()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html" title="class in org.drip.oms.indifference">UtilityFunctionExpectation</a></dt>
<dd>
<div class="block">Retrieve the Agent Optimization Utility Function</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/depth/MontageL1SizeLayer.html#aggregate()">aggregate()</a></span> - Method in class org.drip.oms.depth.<a href="../org/drip/oms/depth/MontageL1SizeLayer.html" title="class in org.drip.oms.depth">MontageL1SizeLayer</a></dt>
<dd>
Expand Down Expand Up @@ -2997,6 +3001,18 @@ <h2 class="title" id="I:A">A</h2>
<dd>
<div class="block">Construct an Ask <i>OrderBlockL2</i> Price Book</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricer.html#askClaimsPositionPricer()">askClaimsPositionPricer()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricer.html" title="class in org.drip.oms.indifference">ReservationPricer</a></dt>
<dd>
<div class="block">Retrieve the Ask Claims Position Pricer</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricer.html#askClaimsPositionValueAdjustment(org.drip.measure.continuous.R1Univariate,double,double)">askClaimsPositionValueAdjustment(R1Univariate, double, double)</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricer.html" title="class in org.drip.oms.indifference">ReservationPricer</a></dt>
<dd>
<div class="block">Compute the Ask Claims Inventory-based Position Value Adjustment</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricer.html#askClaimsPositionValueAdjustment(org.drip.measure.discrete.R1Distribution,double%5B%5D,double,double)">askClaimsPositionValueAdjustment(R1Distribution, double[], double, double)</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricer.html" title="class in org.drip.oms.indifference">ReservationPricer</a></dt>
<dd>
<div class="block">Compute the Ask Claims Inventory-based Position Value Adjustment</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/exchange/Venue.html#askMontageL1Entry(java.lang.String)">askMontageL1Entry(String)</a></span> - Method in class org.drip.oms.exchange.<a href="../org/drip/oms/exchange/Venue.html" title="class in org.drip.oms.exchange">Venue</a></dt>
<dd>
<div class="block">Retrieve the Ask L1 Montage Entry for the specified Ticker</div>
Expand All @@ -3005,6 +3021,10 @@ <h2 class="title" id="I:A">A</h2>
<dd>
<div class="block">Retrieve the NBBO Ask Block</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricingRun.html#askPrivateValue()">askPrivateValue()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricingRun.html" title="class in org.drip.oms.indifference">ReservationPricingRun</a></dt>
<dd>
<div class="block">Retrieve the Ask Reservation Value</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/exchange/Venue.html#askTickerPriceBookMap()">askTickerPriceBookMap()</a></span> - Method in class org.drip.oms.exchange.<a href="../org/drip/oms/exchange/Venue.html" title="class in org.drip.oms.exchange">Venue</a></dt>
<dd>
<div class="block">Retrieve the Ask Price Book per Ticker</div>
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Expand Down Expand Up @@ -11897,6 +11897,10 @@ <h2 class="title" id="I:M">M</h2>
<dd>
<div class="block">Retrieve the Price of Money Market Entity</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html#moneyMarketPrice()">moneyMarketPrice()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html" title="class in org.drip.oms.indifference">UtilityFunctionExpectation</a></dt>
<dd>
<div class="block">Retrieve the Price of Money Market Entity</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/InventoryVertex.html#moneyMarketUnits()">moneyMarketUnits()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/InventoryVertex.html" title="class in org.drip.oms.indifference">InventoryVertex</a></dt>
<dd>
<div class="block">Retrieve the Number of Money Market Units</div>
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Expand Down Expand Up @@ -875,6 +875,18 @@ <h2 class="title" id="I:N">N</h2>
<dd>
<div class="block">Retrieve the Nocedal-Wright-Weak Wolfe Verifier Based Standard LineStepEvolutionControl Instance</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricingRun.html#noClaimsInventoryUtilityExpectation()">noClaimsInventoryUtilityExpectation()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricingRun.html" title="class in org.drip.oms.indifference">ReservationPricingRun</a></dt>
<dd>
<div class="block">Retrieve the No-Claims Inventory Utility Expectation</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricer.html#noClaimsInventoryUtilityExpectation(org.drip.measure.continuous.R1Univariate,double)">noClaimsInventoryUtilityExpectation(R1Univariate, double)</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricer.html" title="class in org.drip.oms.indifference">ReservationPricer</a></dt>
<dd>
<div class="block">Compute the No-Claims Inventory-based Optimal Utility Value</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricer.html#noClaimsInventoryUtilityExpectation(org.drip.measure.discrete.R1Distribution,double%5B%5D,double)">noClaimsInventoryUtilityExpectation(R1Distribution, double[], double)</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricer.html" title="class in org.drip.oms.indifference">ReservationPricer</a></dt>
<dd>
<div class="block">Compute the No-Claims Inventory-based Optimal Utility Value</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/portfolioconstruction/bayesian/BlackLittermanCombinationEngine.html#noConfidenceRun()">noConfidenceRun()</a></span> - Method in class org.drip.portfolioconstruction.bayesian.<a href="../org/drip/portfolioconstruction/bayesian/BlackLittermanCombinationEngine.html" title="class in org.drip.portfolioconstruction.bayesian">BlackLittermanCombinationEngine</a></dt>
<dd>
<div class="block">Conduct a Black Litterman Run using a Theil-like Mixed Model Estimator for 0% Confidence in the
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<meta http-equiv="Content-Type" content="text/html; charset=utf-8">
<meta name="dc.created" content="2024-02-03">
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Expand Down Expand Up @@ -729,6 +729,14 @@ <h2 class="title" id="I:O">O</h2>
<dd>
<div class="block">Compute the Operator Sample Supremum Norm</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricer.html#optimalAskClaimsInventoryVertex()">optimalAskClaimsInventoryVertex()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricer.html" title="class in org.drip.oms.indifference">ReservationPricer</a></dt>
<dd>
<div class="block">Retrieve the Optimal Ask Claims Based Inventory Vertex</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricer.html#optimalBidClaimsInventoryVertex()">optimalBidClaimsInventoryVertex()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricer.html" title="class in org.drip.oms.indifference">ReservationPricer</a></dt>
<dd>
<div class="block">Retrieve the Optimal Bid Claims Based Inventory Vertex</div>
</dd>
<dt><a href="../org/drip/graph/treebuilder/OptimalBottleneckSpanningTreeGenerator.html" title="class in org.drip.graph.treebuilder"><span class="type-name-link">OptimalBottleneckSpanningTreeGenerator</span></a> - Class in <a href="../org/drip/graph/treebuilder/package-summary.html">org.drip.graph.treebuilder</a></dt>
<dd>
<div class="block"><i>OptimalBottleneckSpanningTreeGenerator</i> exposes the Functionality behind the Minimum/Maximum
Expand Down Expand Up @@ -824,6 +832,10 @@ <h2 class="title" id="I:O">O</h2>
<dd>
<div class="block">Retrieve the Optimal Portfolio Metrics</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/ReservationPricer.html#optimalNoClaimsInventoryVertex()">optimalNoClaimsInventoryVertex()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/ReservationPricer.html" title="class in org.drip.oms.indifference">ReservationPricer</a></dt>
<dd>
<div class="block">Retrieve the Optimal No-claims Inventory Vertex</div>
</dd>
<dt><a href="../org/drip/graph/shortestpath/OptimalPathGenerator.html" title="class in org.drip.graph.shortestpath"><span class="type-name-link">OptimalPathGenerator</span></a> - Class in <a href="../org/drip/graph/shortestpath/package-summary.html">org.drip.graph.shortestpath</a></dt>
<dd>
<div class="block"><i>OptimalPathGenerator</i> contains the Stubs for generating the Optimal (Shortest/Longest) Path on a
Expand Down Expand Up @@ -950,6 +962,10 @@ <h2 class="title" id="I:O">O</h2>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/sample/algo/OptimalUtilization.html#%3Cinit%3E()">OptimalUtilization()</a></span> - Constructor for class org.drip.sample.algo.<a href="../org/drip/sample/algo/OptimalUtilization.html" title="class in org.drip.sample.algo">OptimalUtilization</a></dt>
<dd>&nbsp;</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/UtilityExpectationOptimizationRun.html#optimalValue()">optimalValue()</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/UtilityExpectationOptimizationRun.html" title="class in org.drip.oms.indifference">UtilityExpectationOptimizationRun</a></dt>
<dd>
<div class="block">Retrieve the Optimal Value of the Utility Expectation Optimization Run</div>
</dd>
<dt><a href="../org/drip/optimization/constrained/OptimizationFramework.html" title="class in org.drip.optimization.constrained"><span class="type-name-link">OptimizationFramework</span></a> - Class in <a href="../org/drip/optimization/constrained/package-summary.html">org.drip.optimization.constrained</a></dt>
<dd>
<div class="block"><i>OptimizationFramework</i> holds the Non Linear Objective Function and the Collection of Equality and
Expand All @@ -959,6 +975,15 @@ <h2 class="title" id="I:O">O</h2>
<dd>
<div class="block">OptimizationFramework Constructor</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html#optimizationRun(org.drip.measure.continuous.R1Univariate,double)">optimizationRun(R1Univariate, double)</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html" title="class in org.drip.oms.indifference">UtilityFunctionExpectation</a></dt>
<dd>
<div class="block">Generate the Utility Expectation Optimization Run given the Underlier Price Distribution</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html#optimizationRun(org.drip.measure.discrete.R1Distribution,double%5B%5D,double)">optimizationRun(R1Distribution, double[], double)</a></span> - Method in class org.drip.oms.indifference.<a href="../org/drip/oms/indifference/UtilityFunctionExpectation.html" title="class in org.drip.oms.indifference">UtilityFunctionExpectation</a></dt>
<dd>
<div class="block">Generate the Utility Expectation Optimization Run given the Underlier Price Array and
Discrete Distribution</div>
</dd>
<dt><span class="member-name-link"><a href="../org/drip/portfolioconstruction/optimizer/Rebalancer.html#optimize()">optimize()</a></span> - Method in class org.drip.portfolioconstruction.optimizer.<a href="../org/drip/portfolioconstruction/optimizer/Rebalancer.html" title="class in org.drip.portfolioconstruction.optimizer">Rebalancer</a></dt>
<dd>
<div class="block">Conduct an Optimization Run to Generate the Rebalancer Analytics</div>
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