SYSTEMS AND METHODS FOR OPTIMIZING TRADE EXECUTION

Systems and methods for optimizing trade execution by computing market reaction to recent trades of a security; calculating matching parameters for the security in response to the computed market reaction and at least one of historical market data and real-time market data; calculating a trade windo...

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Bibliographic Details
Main Author GINIS, Roman
Format Patent
LanguageEnglish
French
Published 11.04.2019
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
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Summary:Systems and methods for optimizing trade execution by computing market reaction to recent trades of a security; calculating matching parameters for the security in response to the computed market reaction and at least one of historical market data and real-time market data; calculating a trade window for the next match; and executing the trade during the window. L'invention concerne des systèmes et des procédés permettant d'optimiser l'exécution de transactions par calcul d'une réaction de marché à des transactions récentes d'une valeur ; de calculer des paramètres de correspondance pour la valeur en réponse à la réaction de marché calculée et à des données de marché historiques et/ou à des données de marché en temps réel ; de calculer une fenêtre de négociation pour la correspondance suivante ; et d'exécuter la négociation au cours de ladite fenêtre.
Bibliography:Application Number: WO2018US53767