公开(公告)号：US08738502B2

公开(公告)日：2014-05-27

申请号：US13283046

申请日：2011-10-27

Applicant: Ian Domowitz ,  Sabitha Arputham ,  Brian Kiernan ,  Kevin O'Connor

Inventor： Ian Domowitz ,  Sabitha Arputham ,  Brian Kiernan ,  Kevin O'Connor

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: The present invention relates generally to electronic trading systems. More particularly, the present invention relates to systems and methods for providing, within an electronic trading process, real-time or near real-time pre- and post-trade analytics to assist traders make the decision of how to trade electronically a particular tradeable asset. Pre- and post-trade analytics can be displayed to a trader without affecting their workflow. Moreover, pre- and post-trade analytics can be used to make trading recommendations, to select or modify a trading strategy, to select and or modify trading destinations, brokers, algorithms or venues, and/or to automatically generate and transmit electronic trade orders or to effect trades.

Abstract translation: 本发明一般涉及电子交易系统。 更具体地说，本发明涉及在电子交易过程中提供实时或接近实时的交易前和分析后分析的系统和方法，以帮助交易者做出如何以电子方式交易特定可交易资产的决定 。 交易前和交易后分析可以显示给交易者，而不会影响他们的工作流程。 此外，交易前和分析后分析可用于交易建议，选择或修改交易策略，选择和/或修改交易目的地，经纪人，算法或场地，和/或自动生成和传送电子交易订单 或进行交易。

公开(公告)号：US20110004567A1

公开(公告)日：2011-01-06

申请号：US12830017

申请日：2010-07-02

Applicant: Ananth MADHAVAN ,  Artem V. Asriev ,  Scott J. Kartinen ,  Jian Yang ,  Vitaly Serbin ,  Ian Domowitz ,  Kenneth E. Gosier

Inventor： Ananth MADHAVAN ,  Artem V. Asriev ,  Scott J. Kartinen ,  Jian Yang ,  Vitaly Serbin ,  Ian Domowitz ,  Kenneth E. Gosier

IPC: G06Q40/00

CPC classification number: G06Q40/08 ,  G06Q10/087 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

Abstract: A computerized method for generating risk forecasts is provided. A set of securities is selected. A set of risk factors is selected. The risk factor returns a determined. A risk factor covariance matrix and an idiosyncratic variance matrix are constructed. For each risk factor, a factor loading coefficient is determined for each selected security. The risk factor covariance matrix is projected into a future forecast. The idiosyncratic variance matrix is projected into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities.

Abstract translation: 提供了一种用于生成风险预测的计算机化方法。 选择一组证券。 选择一组风险因素。 风险因素返回确定。 构建风险因子协方差矩阵和特征方差矩阵。 对于每个风险因素，为每个选定的证券确定因子负荷系数。 风险因子协方差矩阵被预测为未来的预测。 特殊方差矩阵预测为未来预测。 因子加载系数，风险因子协方差矩阵的未来预测以及特殊方差矩阵的未来预测可用于确定所选证券的方差 - 协方差矩阵的预测。

公开(公告)号：US08429054B2

公开(公告)日：2013-04-23

申请号：US13251708

申请日：2011-10-03

Applicant: John Krowas ,  Ian Domowitz

Inventor： John Krowas ,  Ian Domowitz

IPC: G06Q40/00

CPC classification number: G06Q40/06 ,  G06Q40/08

Abstract: The present invention provides methods and systems for managing short-term risk to a portfolio of securities holdings while executing an outstanding trade list. The methods and systems may include steps of determining covariances between securities in the outstanding trade list and securities in the portfolio of holdings; receiving a risk variable, at least one constraint on the execution of a trade, and a proposed quantity representing a portion of said outstanding trade list desired to be executed at a particular time; and determining an immediately executable trade list based at least in part on the covariances and risk variable. The executable trade list must satisfy all of the trade constraints and also must be substantially equal to or less then the proposed quantity.

Abstract translation: 本发明提供了在执行未完成的交易清单时管理证券持有组合的短期风险的方法和系统。 这些方法和系统可能包括确定未完成的贸易名单中的证券与持有的投资组合中的证券之间的协方差的步骤; 接收风险变量，对交易的执行至少有一个限制，以及表示期望在特定时间执行的所述未完成的交易名单的一部分的建议数量; 以及至少部分地基于协方差和风险变量来确定立即可执行的交易列表。 可执行交易清单必须满足所有交易限制，并且必须基本上等于或小于提议数量。

公开(公告)号：US08140427B2

公开(公告)日：2012-03-20

申请号：US12424886

申请日：2009-04-16

Applicant: Milan Borkovec ,  Ian Domowitz ,  Mahmoud El-Gamal ,  Hans G. Heidle ,  Aaron Schweiger ,  Konstantin Tyurin

Inventor： Milan Borkovec ,  Ian Domowitz ,  Mahmoud El-Gamal ,  Hans G. Heidle ,  Aaron Schweiger ,  Konstantin Tyurin

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q10/04 ,  G06Q40/06

Abstract: A system, method and computer program product are provided for forecasting the transaction costs of a trade using empirical data and user-defined modeling constraints based on real-time data regarding changes in market conditions. In preferred embodiments, the invention acts as a forecaster whereby it accepts inputs from customers and identifies real-time market analytics, and provides dynamically adjusted ex ante cost estimates and metrics for the prevailing market conditions. Specific cost estimation and optimization algorithms can be provided to model transaction costs of a specific trade based on empirical data and real-time variables.

Abstract translation: 提供了一种系统，方法和计算机程序产品，用于基于关于市场条件变化的实时数据，使用经验数据和用户定义的建模约束来预测交易的交易成本。 在优选实施例中，本发明作为预报员，其接收来自客户的输入并识别实时市场分析，并为现行市场条件提供动态调整的事前成本估计和指标。 可以根据经验数据和实时变量提供具体的成本估算和优化算法来模拟特定交易的交易成本。

公开(公告)号：US20110276464A1

公开(公告)日：2011-11-10

申请号：US13185929

申请日：2011-07-19

Applicant: Yossef BRANDES ,  Ian DOMOWITZ ,  Milan BORKOVEC ,  Jian YANG ,  Robert D. SINCLAIR ,  Vitaly SERBIN

Inventor： Yossef BRANDES ,  Ian DOMOWITZ ,  Milan BORKOVEC ,  Jian YANG ,  Robert D. SINCLAIR ,  Vitaly SERBIN

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q10/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

Abstract: A trading platform computer system for detecting an abnormal trading condition of a security uses real-time and estimated values of one or more variables associated with the condition of the security to generate one or more analytic metrics that are compared to empirical distributions based on one or more peer groups for the security. An indicator can then be displayed to a trader as an indication of the abnormal condition.

Abstract translation: 用于检测安全性的异常交易状态的交易平台计算机系统使用与安全性条件相关联的一个或多个变量的实时和估计值来生成一个或多个分析度量，其与基于一个或多个 更多的同行群体为安全。 然后可以向交易者显示指示符作为异常状况的指示。

公开(公告)号：US08032441B2

公开(公告)日：2011-10-04

申请号：US11808261

申请日：2007-06-07

Applicant: John Krowas ,  Ian Domowitz

Inventor： John Krowas ,  Ian Domowitz

IPC: G06Q40/00

CPC classification number: G06Q40/06 ,  G06Q40/08

Abstract: The present invention provides methods and systems for managing short-term risk to a portfolio of securities holdings while executing an outstanding trade list. The methods and systems may include steps of determining covariances between securities in the outstanding trade list and securities in the portfolio of holdings; receiving a risk variable, at least one constraint on the execution of a trade, and a proposed quantity representing a portion of said outstanding trade list desired to be executed at a particular time; and determining an immediately executable trade list based at least in part on the covariances and risk variable. The executable trade list must satisfy all of the trade constraints and also must be substantially equal to or less then the proposed quantity.

Abstract translation: 本发明提供了在执行未完成的交易清单时管理证券持有组合的短期风险的方法和系统。 这些方法和系统可能包括确定未完成的贸易名单中的证券与持有的投资组合中的证券之间的协方差的步骤; 接收风险变量，对交易的执行至少有一个限制，以及表示期望在特定时间执行的所述未完成的交易名单的一部分的建议数量; 以及至少部分地基于协方差和风险变量来确定立即可执行的交易列表。 可执行交易清单必须满足所有交易限制，并且必须基本上等于或小于提议数量。

公开(公告)号：US20080154787A1

公开(公告)日：2008-06-26

申请号：US11808261

申请日：2007-06-07

Applicant: John Krowas ,  Ian Domowitz

Inventor： John Krowas ,  Ian Domowitz

IPC: G06Q40/00

CPC classification number: G06Q40/06 ,  G06Q40/08

Abstract: The present invention provides methods and systems for managing short-term risk to a portfolio of securities holdings while executing an outstanding trade list. The methods and systems may include steps of determining covariances between securities in the outstanding trade list and securities in the portfolio of holdings; receiving a risk variable, at least one constraint on the execution of a trade, and a proposed quantity representing a portion of said outstanding trade list desired to be executed at a particular time; and determining an immediately executable trade list based at least in part on the covariances and risk variable. The executable trade list must satisfy all of the trade constraints and also must be substantially equal to or less then the proposed quantity.

Abstract translation: 本发明提供了在执行未完成的交易清单时管理证券持有组合的短期风险的方法和系统。 这些方法和系统可能包括确定未完成的贸易名单中的证券与持有的投资组合中的证券之间的协方差的步骤; 接收风险变量，对交易的执行至少有一个限制，以及表示期望在特定时间执行的所述未完成的交易名单的一部分的建议数量; 以及至少部分地基于协方差和风险变量来确定立即可执行的交易列表。 可执行交易清单必须满足所有交易限制，并且必须基本上等于或小于提议数量。

公开(公告)号：US08239302B2

公开(公告)日：2012-08-07

申请号：US13042052

申请日：2011-03-07

Applicant: John Krowas ,  Ian Domowitz

Inventor： John Krowas ,  Ian Domowitz

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q40/06 ,  G06Q40/08

Abstract: A method and computer program product for minimizing short-term risk to a portfolio of securities holdings during implementation of executing an outstanding trade list of securities to be traded, takes into account covariances between securities in the outstanding trade list and between securities in the outstanding trade list and securities in the portfolio of holdings so as to minimize risk to the portfolio of holdings as well as to a residual trade list of unexecuted orders during said implementation.

Abstract translation: 一种方法和计算机程序产品，用于在实施执行待交易的证券交易名单期间将证券持有量的短期风险降到最低，考虑到未完成的交易名单中的证券与未完成交易中的证券之间的协方差 列表和证券，以尽量减少持有的投资组合的风险，以及在执行期间剩余的未执行订单的交易清单。

公开(公告)号：US20110218935A1

公开(公告)日：2011-09-08

申请号：US13042052

申请日：2011-03-07

Applicant: John KROWAS ,  Ian DOMOWITZ

Inventor： John KROWAS ,  Ian DOMOWITZ

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q40/06 ,  G06Q40/08

Abstract: A method and computer program product for minimizing short-term risk to a portfolio of securities holdings during implementation of executing an outstanding trade list of securities to be traded, takes into account covariances between securities in the outstanding trade list and between securities in the outstanding trade list and securities in the portfolio of holdings so as to minimize risk to the portfolio of holdings as well as to a residual trade list of unexecuted orders during said implementation.

Abstract translation: 一种方法和计算机程序产品，用于在实施执行待交易的证券交易名单期间将证券持有量的短期风险降到最低，考虑到未完成的交易名单中的证券与未完成交易中的证券之间的协方差 列表和证券，以尽量减少持有的投资组合的风险，以及在执行期间剩余的未执行订单的交易清单。

公开(公告)号：US20100174666A1

公开(公告)日：2010-07-08

申请号：US12724233

申请日：2010-03-15

Applicant: Yossef Brandes ,  Ian Domowitz ,  Milan Borkovec ,  Jian Yang ,  Robert D. Sinclair ,  Vitaly Serbin

Inventor： Yossef Brandes ,  Ian Domowitz ,  Milan Borkovec ,  Jian Yang ,  Robert D. Sinclair ,  Vitaly Serbin

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q10/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

Abstract: A trading platform computer system for detecting an abnormal trading condition of a security uses real-time and estimated values of one or more variables associated with the condition of the security to generate one or more analytic metrics that are compared to empirical distributions based on one or more peer groups for the security. An indicator can then be displayed to a trader as an indication of the abnormal condition.

Abstract translation: 用于检测安全性的异常交易状态的交易平台计算机系统使用与安全性条件相关联的一个或多个变量的实时和估计值来生成一个或多个分析度量，其与基于一个或多个 更多的同行群体为安全。 然后可以向交易者显示指示符作为异常状况的指示。