Method for agency cost estimation
AssigneeITG Software Solutions, Inc.
InventorsMilan BORKOVEC, Ananth Madhavan, Hans Heidle
Life of this patent
Estimating the term…
Abstract
A method for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trading strategy or an optimal trading strategy that minimizes transaction costs. The system accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. Two models are utilized: discretionary and non-discretionary. A specific transaction cost estimation and optimization is performed that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.
Claims11
A method for estimating transaction costs of a security trade execution according to a specified trading strategy, comprising the steps of:
- by one or more computers, receiving electronic data defining parameters of a proposed trade, said data specifying a trading strategy among a plurality of predefined trading styles defining how share quantities of securities to be traded are to be traded over a specified trading time period;
- by said one or more computers, estimating first and second transaction costs for the received proposed trade based on the specified trading strategy and market data, wherein said first transactions costs are based on discretionary trades;
- and
- outputting electronic data defining at least one of the first and second transaction costs.
Dependencies are inferred from the claim text.