SYSTEM, METHOD AND PROGRAM FOR AGENCY COST ESTIMATION
摘要
A method, system and computer program product for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trading strategy or an optimal trading strategy that minimizes transaction costs. The system accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. Two models are utilized: discretionary and non-discretionary. A specific transaction cost estimation and optimization is performed that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.
申请公布号
CA2689491(A1)
申请公布日期
2008.12.18
申请号
CA20082689491
申请日期
2008.06.05
申请人
ITG SOFTWARE SOLUTIONS, INC.
发明人
BORKOVEC, MILAN;MADHAVAN, ANANTH;HEIDLE, HANS;KIJESKY, MARK