System and method for providing the execution probability of a limit order
US8175946B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Apr 25, 2008 |
| Grant date | May 8, 2012 |
| Priority date | — |
| Expiry date | Feb 20, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A system, method and computer program product are described for providing the execution probability of a limit order within a given time period based on historical and current information and for adaptively and dynamically adjusting to intra-day trade data. For a given financial interest, the frequency of trade execution, the time evolution of the price, the time evolution of the trade volume, and the current state of the market, among other parameters, are captured and/or calculated. A probability function is generated based on the parameters corresponding to various time spans, and the execution probability of a limit order within a given time period is provided. Embodiments of the invention can be employed to estimate the probability of a limit order being executed within a given time period in the future, e.g., the next two minutes, based on the parameter data of a given time period in the past, e.g., the previous five minutes.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.