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: A computer-implemented system and method for executing trades of financial securities according to a combination passive/aggressive trading strategy that reliably executes trades of lists of securities or blocks of a single security within a desired time frame while taking advantage of dynamic market movement to realize price improvement for the trade within the desired time frame. A passive trading agent executes trades at advantageous prices by floating portions of the order at the bid or ask to maximize exposure to the inside market and attract market orders. An aggressive agent opportunistically takes liquidity as it arises, setting discretionary prices in accordance with historical trading data of the specified security.

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: A factor risk model based method for generating risk forecasts. In one embodiment, the method includes: selecting a set of securities; selecting a set of risk factors; determining the risk factor returns; constructing a risk factor covariance matrix; constructing an idiosyncratic variance matrix; determining, for each risk factor, a factor loading coefficient for each selected security; projecting the risk factor covariance matrix into a future forecast; and projecting the idiosyncratic variance matrix 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. In some embodiments, the step of estimating factor loadings includes performing a time series regression to obtain the sensitivity of each stocks' return to variations in the factor's return.

Abstract: Methods, systems, and computer program products are provided for providing real time analytics and monitoring to a user of a securities trading system. In one embodiment, a list of one or more securities may be selected from a trading blotter and a widget engine may obtain one or more analytics for the list of one or more securities based on real time market and/or transaction cost data. The widget engine may display a graphical representation of the analytics in a manner that compliments the workflow of a trader. The graphical representation may be automatically updated based on real-time market data.

Abstract: A computer implemented method and system for determining fair-value prices of a futures contract of index i having foreign constituent securities includes using a computer to receive electronic data for the index i. A computer can be used to calculate alpha (?) and beta (?) coefficients using a regression analysis. The alpha (?) coefficient represents a risk-adjusted measure of return on the index i, and the beta (?) coefficient represents a metric that is related to a correlation between an overnight return of the index i and a proxy market. A computer can receive a settlement price (SETTi) for a futures contract for index i, and calculate a fair-value adjusted price for the futures contract of index i based at least in part on the alpha (?) and beta (?) coefficients, the futures contract settlement price (SETTi) for index i, and at least one return of a predetermined factor (Zt) during a stale period.

Abstract: A computer implemented method and system for executing block trades for a security includes steps or devices for receiving a block trade request, at a computer system. The block request includes data representing a quantity of shares of the security to be traded over a period of time. The computer system divides the period of time into a plurality of time bins. A computer system, for the received block trade request, computes, for each time bin, a number of shares to be traded as a trading target based on at least historical trading volumes using predictive analysis. For a first time bin, a computer system generates executable trade orders for a number of shares to be traded that is substantially equal to the trading target for the first time bin. A computer system executes at least a portion of the executable trade orders in a trade forum within each time bin in the future.

Abstract: A method and system for performing a batch auction whereby a series of orders, according to a variety of predetermined order types, are generated by qualified market participants and communicated to an auction system. The auction system takes into account each order and its impact upon relative supply and demand to determine by a preset algorithm a price and share transaction quantity. Trades are executed at the price, and a portion of the transaction quantity is allocated to each investor on a fair basis dependent upon their initial orders. In embodiments of the present invention, the auction system uses a computer system or network designed to automatically perform one or more steps of the above method. Such a system is preferably connected to one or more ECNs such that non-executed shares can be automatically sent to outside sources for execution.

Abstract: A system and method 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: A computer-implemented system and method for executing trades of financial securities according to a combination passive/aggressive trading strategy that reliably executes trades of lists of securities or blocks of a single security within a desired time frame while taking advantage of dynamic market movement to realize price improvement for the trade within the desired time frame. A passive trading agent executes trades at advantageous prices by floating portions of the order at the bid or ask to maximize exposure to the inside market and attract market orders. An aggressive agent opportunistically takes liquidity as it arises, setting discretionary prices in accordance with historical trading data of the specified security.

Abstract: A method for creating a peer group database includes a step of collecting security transaction data for a preselected period of time, for a plurality of investment institutions. The transaction data includes identity of securities being traded, transaction order sizes, execution prices and execution times. The transaction data is grouped into a plurality of orders. A plurality of cost benchmarks are calculated for each of the orders. Transaction costs are estimated for each investment institution relative to the cost benchmarks. The data is stored.

Abstract: A method and system for viewing and trading futures and other tradeable objects. The invention includes improved user interfaces for use with trading systems that allows users to more efficiently execute and manage trades. A dynamic price ladder allows a trader to see price gaps while remaining in a dynamic mode. The “sticky cells” feature prevents user errors which can occur when the display updates causing the cell under the mouse pointer to move up or down. Particular portions of the display can be color coded to provide a user with a easy way to determine market trends. A static working order screen allows a trader to visually see working orders from closest to furthest away from the market and can also allow for orders to be cancelled.

Abstract: A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.

Abstract: The present invention provides a system for executing trades of securities according to predefined trading strategies comprising a network having a plurality of servers. Each server is programmed with a specific trading strategy algorithm and receives trade orders and executes them according to the trading strategy algorithm programmed therein. The servers are connected to a plurality of clients over a communication network, and clients enter trade orders through the communication network to the server associated with the trading strategy the client desires to use to complete its trade order. The present invention also provides a method for executing a trade order for a security. The method comprises the steps of providing a server connected to a communication network with the server being programmed with a specific trading strategy algorithm. Trade orders received at the server over the network from clients are executed in the server according to the specific trading strategy algorithm.

Abstract: A method, system and computer program product for optimizing return of an investment fund, based on a correlation between AUM and turnover, include steps of generating a turnover efficient frontier for an investment fund that models fund return versus fund turnover for one or more fund sizes; determining a current fund return and fund turnover of the fund; determined a current position of the fund on the turnover efficient frontier based on the current fund return and fund turnover; and determining whether an increase or a decrease in one of fund size or turnover will move the fund to an optimal point on the turnover efficient frontier.

Abstract: Systems, methods, and computer program product for generating a report or document including a data representation reflecting a distribution of hidden trade order volume across different locations and a relative size, including average hidden order volume, volume executed against hidden orders, as a percentage of total trading volume by exchange, liquidity group and time bins. Order execution data is received for a plurality of executed trades via an electronic quotation feed associated with an electronic trading forum for trading both displayed orders and non-displayed orders. For a plurality of time periods, the location within the best bid, best offer spread, of each executed trade of the plurality of executed trades, is determined by comparing the price of each executed trade for hidden orders to quotes on a limit book for the electronic trading forum at a point in time substantially immediately before the corresponding executed trade.

Abstract: A method for creating a peer group database includes a step of collecting security transaction data for a preselected period of time, for a plurality of investment institutions. The transaction data includes identity of securities being traded, transaction order sizes, execution prices and execution times. The transaction data is grouped into a plurality of orders. A plurality of cost benchmarks are calculated for each of the orders. Transaction costs are estimated for each investment institution relative to the cost benchmarks. The data is stored.

Abstract: 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.

Abstract: A method for determining fair value prices of financial securities of international markets includes the steps of selecting a universe of securities of a particular international market; computing overnight returns of each security in the selected universe over a predetermined past period of time; selecting at least one return factor of a domestic financial market from a plurality of return factors; computing, for each selected return factor, the return factor's daily return over said predetermined past period of time; calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return; and storing each calculated return factor coefficient in a data file; wherein the stored return factor coefficients can be used in conjunction with current return factor daily return values to predict current overnight returns for all securities in

Abstract: A method and system for performing a batch auction whereby a series of orders, according to a variety of predetermined order types, are generated by qualified market participants and communicated to an auction system. The auction system takes into account each order and its impact upon relative supply and demand to determine by a preset algorithm a price and share transaction quantity. Trades are executed at the price, and a portion of the transaction quantity is allocated to each investor on a fair basis dependent upon their initial orders. In embodiments of the present invention, the auction system uses a computer system or network designed to automatically perform one or more steps of the above method. Such a system is preferably connected to one or more ECNs such that non-executed shares can be automatically sent to outside sources for execution.