Methods for post-trade allocation
OwnerMassoud Heidari, Ali Hirsainventors
Life of this patent
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Abstract
A computer-implemented method for providing an allocation of a filled order made at a particular time, that involves receiving at least a price of a filled order made at a later time; generating a starting allocation across multiple managed accounts based at least in part on allocation factors of each of the multiple managed accounts; generating at least one additional allocation based at least in part on the starting allocation; determining a closest-fitting allocation according to a metric from amongst the starting allocation and the at least one additional allocation, the metric being based at least in part on the price of the filled order made at the later time and on a price of the filled order made at the particular time; and outputting the closest-fitting allocation.
Claims22
A method comprising:
- determining, by a computer, an allocation of one or more contracts associated with a transaction across a plurality of separate accounts based on a cumulative profit and loss value for the plurality of separate accounts for a pre-determined period of time, wherein the transaction includes a buy or a sell;
- determining one or more candidate allocations by modifying the allocation, wherein the modifying of the allocation includes adjusting one or more allocated values of the one or more contracts for the plurality of separate accounts;
- and
- selecting one of the one or more candidate allocations that fairly distributes one or more returns across the plurality of separate accounts for the pre-determined period of time,
- wherein the fair distribution is based on minimizing a summation, Q, represented as follows:
- Q
- =
- ∑
- i
- =
- 1
- N
-
-
- (
- PL
- t
- i
- α
- i
- -
- PL
- t
- )
- 2
- ,
- where
- PLti represents account i cumulative realized profit and loss at time t,
- PLt represents total cumulative realized profit and loss at time t,
- N represents number of the accounts, and
- αi represents a corresponding one of a plurality of allocation factors for account i.
A non-transitory computer-readable storage medium carrying one or more sequences of one or more instructions which, when executed by computer, cause the computer to at least perform the following steps:
- determining an allocation of one or more contracts associated with a transaction across a plurality of separate accounts based on a cumulative profit and loss value for the plurality of separate accounts for a pre-determined period of time, wherein the transaction includes a buy or a sell;
- determining one or more candidate allocations by modifying the allocation, wherein the modifying of the allocation includes adjusting one or more allocated values of the one or more contracts for the plurality of separate accounts;
- and
- selecting one of the one or more candidate allocations that fairly distributes one or more returns across the plurality of separate accounts for the pre-determined period of time,
- wherein the fair distribution is based on minimizing a summation, Q, represented as follows:
- Q
- =
- ∑
- i
- =
- 1
- N
-
-
- (
- PL
- t
- i
- α
- i
- -
- PL
- t
- )
- 2
- ,
- where
- PLti represents account i cumulative realized profit and loss at time t,
- PLt represents total cumulative realized profit and loss at time t,
- N represents number of the accounts, and
- αi represents a corresponding one of a plurality of allocation factors for account i.
Dependencies are inferred from the claim text.