System and method for estimating and optimizing transaction costs

US8190510B2 · kind B2 · utility

Assignee

• ITG Software Solutions, Inc. · US

Inventors

• Ananth Madhavan · New York, US
• Artem V. Asriev · Winchester, US

Key dates

• Filing date: Jun 28, 2011
• Grant date: May 29, 2012
• Expiry date: Jun 28, 2031

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/00
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.