Systems, methods, and media for automatically controlling trade executions based on percentage of volume trading rates

• US 7,979,344 B2
• Filed: 05/26/2009
• Issued: 07/12/2011
• Est. Priority Date: 05/23/2008
• Status: Active Grant

• Current Assignee: Cowen Execution Holdco LLC (Toronto-Dominion Bank)
• Original Assignee: BNY ConvergEx Group LLC (Toronto-Dominion Bank)
• Inventors: Kociuba, James T.
• Primary Examiner(s): CHEUNG, MARY DA ZHI WANG
• Application Number:
  US12/472,364
• Publication Number:
  US 20100023458A1
• Time in Patent Office: 777 Days
• Field of Search: 705 35- 37, 707/962
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

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.

Claims

1. A system for automatically controlling trade executions based on percentage of volume (POV) trading rates, comprising:

at least one hardware processor that;

determines a market impact relationship for each of a plurality of positions included in a portfolio, wherein each of the market impact relationships models the impact on the price of a trade in the corresponding position;

determines a risk model associated with the portfolio, wherein the risk model is represented by;

2. The system of claim 1, wherein the processor also determines cross eligibility for at least one of the plurality of positions.

3. The system of claim 2, wherein the processor determines cross eligibility based at least in part on a marginal contribution to risk calculation.

4. The system of claim 2, wherein the processor determines cross eligibility based at least in part on position size.

5. The system of claim 1, wherein the solving for the percentage of volume trading rate is also based on the Trader'"'"'s Dilemma.

6. The system of claim 1, wherein the solving for the percentage of volume trading rate is performed by an optimizer.

7. The system of claim 1, wherein the solving for the percentage of volume trading rate is performed using non-linear constrained optimization.

8. A method for automatically controlling trade executions based on percentage of volume (POV) trading rates, comprising:

determining, using at least one hardware processor, a market impact relationship for each of a plurality of positions included in a portfolio, wherein each of the market impact relationships models the impact on the price of a trade in the corresponding position;

determining, using at least one hardware processor, a risk model associated with the portfolio, wherein the risk model is represented by;

9. The method of claim 8, further comprising determining cross eligibility for at least one of the plurality of positions.

10. The method of claim 9, wherein determining cross eligibility is based at least in part on a marginal contribution to risk calculation.

11. The method of claim 9, wherein determining cross eligibility is based at least in part on position size.

12. The method of claim 8, wherein the solving for the percentage of volume trading rate is also based on the Trader'"'"'s Dilemma.

13. The method of claim 8, wherein the solving for the percentage of volume trading rate is performed by an optimizer.

14. The method of claim 8, wherein the solving for the percentage of volume trading rate is performed using non-linear constrained optimization.

15. A non-transitory computer-readable medium containing computer-executable instructions that, when executed by a hardware processor, cause the processor to perform a method for automatically controlling trade executions based on percentage of volume (POV) trading rates, the method comprising:

determining a market impact relationship for each of a plurality of positions included in a portfolio, wherein each of the market impact relationships models the impact on the price of a trade in the corresponding position;

determining a risk model associated with the portfolio, wherein the risk model is represented by;

16. The medium of claim 15, wherein the method further comprises determining cross eligibility for at least one of the plurality of positions.

17. The medium of claim 16, wherein determining cross eligibility is based at least in part on a marginal contribution to risk calculation.

18. The medium of claim 16, wherein determining cross eligibility is based at least in part on position size.

19. The medium of claim 15, wherein the solving for the percentage of volume trading rate is also based on the Trader'"'"'s Dilemma.

20. The medium of claim 15, wherein the solving for the percentage of volume trading rate is performed by an optimizer.

21. The medium of claim 15, wherein the solving for the percentage of volume trading rate is performed using non-linear constrained optimization.