Electronic market-maker
AssigneeMassachusetts Institute of Technology
InventorsAndrew Lo, Tung Chan, Tomaso Poggio
Life of this patent
Estimating the term…
Abstract
Disclosed herein is an automated Electronic Market-Maker, comprising a Market Quality Control Module for generating trading recommendations to maintain market quality; an Inventory Control Module for generating trading recommendations to maintain inventory; a Speculation Module for generating trading recommendations to generate profits; and an Arbitration Module to receive trading recommendations from said Market Quality Control Module, Inventory Control Module, and Speculation Control Module and resolve any conflicts between the received recommendations.
Claims7
A data processing system for use in establishing operating parameters for use in supporting the operations of a securities market by implementing an Electronic Market-Maker, said system comprising a data processor and:
- a Market Quality Control Module for receiving inputs including trade orders and select market conditions, and based thereon, generating trading recommendations with a primary objective of maintaining market quality;
- an Inventory Control Module for assessing market conditions and a position of said market maker in one or more select securities, and based thereon generating trading recommendations to adjust inventory levels to enhance market maker position;
- a Speculation Module for assessing market conditions during past and current time periods, and generating trading recommendations;
- and
- an Arbitration Module for receiving trading recommendations from said Market Quality Control Module, Inventory Control Module, and Speculation Control Module,
- wherein said Arbitration Module resolves any conflicts between said received recommendations and delivers a buy or sell command,
- wherein said data processing system receives said command and executes one or more trades, and
- wherein said Market Quality Control Module, Inventory Control Module Speculation Module, Arbitration Module comprise software implemented by said data processor and stored on a computer-readable medium accessible by said data processor.
Dependencies are inferred from the claim text.