Uses of Class
com.quantfinlib.microstructure.EwmaCovariance

Packages that use EwmaCovariance

Package	Description
com.quantfinlib.execution	Order routing, execution algorithms and the venue models they learn from.

Uses of EwmaCovariance in com.quantfinlib.execution

Methods in com.quantfinlib.execution with parameters of type EwmaCovariance

Modifier and Type	Method	Description
void	PortfolioExecutor.useRiskModel(EwmaCovariance model)	Upgrades the capacity allocation from the diagonal approximation to true basket risk: with a covariance model, a binding maxIntervalNotional flows to the symbols whose remaining position contributes most to portfolio variance (EwmaCovariance.marginalContribution(double[], double[])) — two correlated buys carry more joint timing risk than their individual vols admit, and a natural hedge carries less.