WO2003107122A3 - System and method for estimating and optimizing transaction costs - Google Patents

System and method for estimating and optimizing transaction costs Download PDF

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Publication number
WO2003107122A3
WO2003107122A3 PCT/US2003/018500 US0318500W WO03107122A3 WO 2003107122 A3 WO2003107122 A3 WO 2003107122A3 US 0318500 W US0318500 W US 0318500W WO 03107122 A3 WO03107122 A3 WO 03107122A3
Authority
WO
WIPO (PCT)
Prior art keywords
transaction
transaction costs
trade
variables
server
Prior art date
Application number
PCT/US2003/018500
Other languages
French (fr)
Other versions
WO2003107122A2 (en
Inventor
Ananth Madhavan
Artem V Asriev
Original Assignee
Itg Software Solutions Inc
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Itg Software Solutions Inc filed Critical Itg Software Solutions Inc
Priority to EP03737028A priority Critical patent/EP1535209A4/en
Priority to AU2003238004A priority patent/AU2003238004B2/en
Priority to CA002489414A priority patent/CA2489414A1/en
Priority to JP2004513872A priority patent/JP2005530232A/en
Publication of WO2003107122A2 publication Critical patent/WO2003107122A2/en
Publication of WO2003107122A3 publication Critical patent/WO2003107122A3/en

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/04—Forecasting or optimisation specially adapted for administrative or management purposes, e.g. linear programming or "cutting stock problem"
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes

Abstract

A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server (10) comprises one or more computers (1) that act as an automated forecaster whereby it accepts user-defined input variables from customers (12) and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms (150) that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.
PCT/US2003/018500 2002-06-12 2003-06-12 System and method for estimating and optimizing transaction costs WO2003107122A2 (en)

Priority Applications (4)

Application Number Priority Date Filing Date Title
EP03737028A EP1535209A4 (en) 2002-06-12 2003-06-12 System and method for estimating and optimizing transaction costs
AU2003238004A AU2003238004B2 (en) 2002-06-12 2003-06-12 System and method for estimating and optimizing transaction costs
CA002489414A CA2489414A1 (en) 2002-06-12 2003-06-12 System and method for estimating and optimizing transaction costs
JP2004513872A JP2005530232A (en) 2002-06-12 2003-06-12 System and method for transaction cost assessment and optimization

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US10/166,719 2002-06-12
US10/166,719 US7974906B2 (en) 2002-06-12 2002-06-12 System and method for estimating and optimizing transaction costs

Publications (2)

Publication Number Publication Date
WO2003107122A2 WO2003107122A2 (en) 2003-12-24
WO2003107122A3 true WO2003107122A3 (en) 2004-07-15

Family

ID=29732138

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2003/018500 WO2003107122A2 (en) 2002-06-12 2003-06-12 System and method for estimating and optimizing transaction costs

Country Status (6)

Country Link
US (5) US7974906B2 (en)
EP (1) EP1535209A4 (en)
JP (2) JP2005530232A (en)
AU (1) AU2003238004B2 (en)
CA (1) CA2489414A1 (en)
WO (1) WO2003107122A2 (en)

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Also Published As

Publication number Publication date
AU2003238004A1 (en) 2003-12-31
WO2003107122A2 (en) 2003-12-24
US8190510B2 (en) 2012-05-29
JP2005530232A (en) 2005-10-06
US20110258107A1 (en) 2011-10-20
US8412621B2 (en) 2013-04-02
CA2489414A1 (en) 2003-12-24
US20030233306A1 (en) 2003-12-18
US7974906B2 (en) 2011-07-05
AU2003238004B2 (en) 2010-03-04
US20120215677A1 (en) 2012-08-23
US20130211999A1 (en) 2013-08-15
US20190295167A1 (en) 2019-09-26
EP1535209A4 (en) 2007-11-07
EP1535209A2 (en) 2005-06-01
JP2010118084A (en) 2010-05-27

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