Systems, methods, and media for automatically controlling trade executions based on percentage of volume trading rates
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United States of America Patent
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Jul 12, 2011
Grant Date -
Jan 28, 2010
app pub date -
May 26, 2009
filing date -
May 23, 2008
priority date (Note) -
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status (Latency Note)
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Abstract
Systems, methods, and media for automatically controlling trade executions based on percentage of volume trading rates are provided. In some embodiments, systems for automatically controlling trade executions based on percentage of volume trading rates, are provided, the systems comprising at least one processor that: determines a market impact relationship for each of a plurality of positions included in a portfolio; determines a risk model associated with the portfolio; solves for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and causes trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions.
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