Methods and systems for trade cost estimation

Details Methods and systems for trade cost estimation Methods and systems for trade cost estimation

2011-05-10

2011-05-10

Maguire, Lindsay M. (Department: 3693)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

Reexamination Certificate

active

07941360

ABSTRACT:
In one aspect, the invention comprises: (a) calculating an average bid-ask spread of securities; (b) calculating values associated with one or more markets; (c) receiving and storing data regarding an order size for the securities; (d) receiving and storing data regarding an average daily volume of the securities traded on a specified market; (d) calculating data regarding expected historical volatility over a trading interval of the securities; (e) calculating data regarding an average rate of trading over the trading interval of the securities; and (f) calculating an estimated cost of trading the securities using data comprising a formula based on the average bid-ask spread, the values associated with one or more markets, the data regarding order size, the data regarding average daily volume, the data regarding expected historical volatility, and the data regarding an average rate of trading over the trading interval.

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Almgren et al., “Optimal Execution of Portfolio Transactions,” Dec. 2000Journal of Risk, pp. 1-39.
Perold, Andre F., “The Implementation Shortfall: Paper vs. Reality,” Journal of Portfolio Management 14, No. 3. (Spring 1988): 4-9.

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