×

System and method for algorithmic trading strategies

  • US 8,571,967 B1
  • Filed: 05/18/2010
  • Issued: 10/29/2013
  • Est. Priority Date: 06/07/2004
  • Status: Active Grant
First Claim
Patent Images

1. A security trading system comprising:

  • a memory;

    a processor disposed in communication with said memory, and configured to issue a plurality of processing instructions stored in the memory, wherein the processor issues instructions to;

    receive proposed financial transaction data including a proposed security;

    obtain expected market impact data and expected price risk data associated with execution of a security trade over a plurality of execution times;

    retrieve a trading cost model from a database;

    generate expected total cost data associated with execution of the security trade over the plurality of execution times based on the retrieved trading cost model and the expected market impact data and the expected price risk data;

    obtain a selection of user'"'"'s risk aversion level;

    determine a trading strategy based on the calculated expected total cost data and the selected user'"'"'s risk aversion level,wherein the selected user'"'"'s risk aversion level is used to determine an objective of the trading strategy, and wherein the trading strategy optimally balances the expected market impacts and the expected price risks;

    and execute the proposed financial transaction by trading the security based on the determined trading strategy, wherein the trading strategy comprises a first component and a second component executed in tandem, wherein the first component adjusts trade parameters to maximize spread capture, and the second component determines pockets of liquidity at optimal price points.

View all claims
  • 2 Assignments
Timeline View
Assignment View
    ×
    ×