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US 2006/0224495 A1Published application
Methods and apparatus for optimizing the distribution of trading executions
AssigneeGoldman, Sachs & Co.
InventorClaudiu Vinte
Life of this patent
Estimating the term…
Abstract
The present invention relates to electronic trading of securities. In some embodiments, the present invention relates to methods and apparatus for optimizing the distribution of trading executions in an investor's accounts. Pursuant to some embodiments, an integer allocation algorithm is provided.
Claims12
A computer implemented method, comprising:
- allocating a total executed quantity proportionally on a plurality of customer accounts, said allocating based on a pro-rata basis;
- and
- constructing an initial solution, distributing the executed prices,
- wherein at least one of the allocating and constructing is performed using a computer.
1 more element
An allocation system, comprising:
- a processor;
- and
- a storage device in communication with said processor and storing instructions adapted to be executed by said processor to:
- allocate a total executed quantity proportionally on a plurality of customer accounts, said allocation based on a pro-rata basis;
- and
- construct an initial solution, distributing the executed prices.
3 more elements
An allocation system, comprising:
- a processor;
- and
- a storage device in communication with said processor and storing instructions adapted to be executed by said processor to:
- allocate a total executed quantity proportionally on a plurality of customer accounts, said allocation based on a pro-rata basis;
- construct an initial solution, distributing the executed prices;
- and
- iteratively improve said initial solution.
4 more elements
Dependencies are inferred from the claim text.