MARKET IMPACT ESTIMATION SYSTEM

PROBLEM TO BE SOLVED: To provide a market impact estimation system which can perform estimation of exact market impact. SOLUTION: In the market impact estimation system 2, transaction data of securities (stocks) memorized in a transaction data memory section 8 are memorized for each brand, data indi...

Full description

Saved in:
Bibliographic Details
Main Authors UESUGI NOBUTAKA, TANAKA TAKAHIRO, KATO DAIKI
Format Patent
LanguageEnglish
Published 17.03.2005
Edition7
Subjects
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
Online AccessGet full text

Cover

More Information
Summary:PROBLEM TO BE SOLVED: To provide a market impact estimation system which can perform estimation of exact market impact. SOLUTION: In the market impact estimation system 2, transaction data of securities (stocks) memorized in a transaction data memory section 8 are memorized for each brand, data indicating excess demand in stock exchange in a day are memorized for each brand in an excess demand data memory section 10, data indicating price change rate of share price in market place in a day computed based on transaction data are memorized in a price change rate data memory section 12. Parameters used for estimation of market impact computed based on cumulative values of excess demand for the predetermined period and the price change rate of the same predetermined period, and average spread rate computed based on the transaction data are memorized in a data memory section 14. Estimated values of market impact computed based on parameters and average spread rate are displayed in a display section 18. COPYRIGHT: (C)2005,JPO&NCIPI
Bibliography:Application Number: JP20030302505