Systems, methods and computer program products for adaptive transaction cost estimation

US8140427B2 · kind B2 · utility

Assignee

• ITG Software Solutions, Inc. · US

Inventors

• Milan Borkovec · Boston, US
• Ian Domowitz · New York, US
• Mahmoud El-Gamal · Sugar Land, US
• Hans Heidle · New York, US
• Aaron Schweiger · Ashland, US
• Konstantin TYURIN · Quincy, US

Key dates

• Filing date: Apr 16, 2009
• Grant date: Mar 20, 2012
• Expiry date: Jan 7, 2030

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A system, method and computer program product are provided for forecasting the transaction costs of a trade using empirical data and user-defined modeling constraints based on real-time data regarding changes in market conditions. In preferred embodiments, the invention acts as a forecaster whereby it accepts inputs from customers and identifies real-time market analytics, and provides dynamically adjusted ex ante cost estimates and metrics for the prevailing market conditions. Specific cost estimation and optimization algorithms can be provided to model transaction costs of a specific trade based on empirical data and real-time variables.