Systems, methods, and media for automatically controlling trade executions based on percentage of volume trading rates
First Claim
1. A system for automatically controlling trade executions based on percentage of volume trading rates, comprising:
- at least one processor that;
determines a market impact relationship for each of a plurality of positions included in a portfolio;
determines a risk model associated with the portfolio,solves for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and
causes trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions.
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Abstract
Systems, methods, and media for automatically controlling trade executions based on percentage of volume trading rates are provided. In some embodiments, systems for automatically controlling trade executions based on percentage of volume trading rates, are provided, the systems comprising at least one processor that: determines a market impact relationship for each of a plurality of positions included in a portfolio; determines a risk model associated with the portfolio; solves for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and causes trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions.
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Citations
21 Claims
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1. A system for automatically controlling trade executions based on percentage of volume trading rates, comprising:
at least one processor that; determines a market impact relationship for each of a plurality of positions included in a portfolio; determines a risk model associated with the portfolio, solves for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and causes trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions. - View Dependent Claims (2, 3, 4, 5, 6, 7)
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8. A method for automatically controlling trade executions based on percentage of volume trading rates, comprising:
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determining a market impact relationship for each of a plurality of positions included in a portfolio; determining a risk model associated with the portfolio, solving for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model, and causing trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions. - View Dependent Claims (9, 10, 11, 12, 13, 14)
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15. A computer-readable medium containing computer-executable instructions that, when executed by a processor, cause the processor to perform a method for automatically controlling trade executions based on percentage of volume trading rates, the method comprising:
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determining a market impact relationship for each of a plurality of positions included in a portfolio; determining a risk model associated with the portfolio; solving for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and causing trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions. - View Dependent Claims (16, 17, 18, 19, 20, 21)
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Specification