摘要 |
The invention relates to the trading of securities [101]. In one respect of the invention, a method of optimizing a desired trade of a security or plurality of securities is provided. The method includes forming a cost equation for the desired trade, wherein the cost equation includes at least one risk factor and a market impact factor associated with each security. The method further includes solving the cost equation to derive a trading solution, wherein the trading solution includes a trading strategy for each security [203]. Preferably the trading solution is provided in the form of a percentage of market volume [105]. In another aspect of the invention, a set of multiple cost equations are provided, with each cost equation having a weight risk factor or set of risk factors. The cost equations are solved to provide a plurality of trading strategies for the desired trade.
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