Patents by Inventor Artem V. Asriev
Artem V. Asriev has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).
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Patent number: 8412621Abstract: A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.Type: GrantFiled: April 30, 2012Date of Patent: April 2, 2013Assignee: ITG Software Solutions, Inc.Inventors: Ananth Madhavan, Artem V. Asriev
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Publication number: 20120215677Abstract: A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.Type: ApplicationFiled: April 30, 2012Publication date: August 23, 2012Applicant: ITG Software Solutions, Inc.Inventors: Ananth MADHAVAN, Artem V. Asriev
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Patent number: 8190510Abstract: A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.Type: GrantFiled: June 28, 2011Date of Patent: May 29, 2012Assignee: ITG Software Solutions, Inc.Inventors: Ananth Madhavan, Artem V. Asriev
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Publication number: 20120066151Abstract: 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.Type: ApplicationFiled: September 12, 2011Publication date: March 15, 2012Applicant: ITG SOFTWARE SOLUTIONS, INC.Inventors: Ananth Madhavan, Artem V. Asriev, Scott J. Kartinen, Jian Yang, Vitaly Serbin, Ian Domowitz, Kenneth E. Gosier
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Publication number: 20110258107Abstract: A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.Type: ApplicationFiled: June 28, 2011Publication date: October 20, 2011Applicant: ITG Software Solutions, Inc.Inventors: Ananth MADHAVAN, Artem V. Asriev
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Patent number: 8019670Abstract: 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.Type: GrantFiled: July 2, 2010Date of Patent: September 13, 2011Assignee: ITG Software Solutions, Inc.Inventors: Ananth Madhavan, Artem V. Asriev, Scott J. Kartinen, Jian Yang, Vitaly Serbin, Ian Domowitz, Kenneth E. Gosier
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Publication number: 20110196773Abstract: A system and method for comparing investment transaction costs of institution peers includes database and a processor coupled to a network. The processor may be configured receive, via the network, security transaction data of investment institutions, which included data for traded securities, transaction order sizes, execution prices, peer identities and timestamps. The processor is further capable of grouping transaction data into groups of orders, calculating order costs and environmental factors for each order, and calculating a peer's average order cost within each group. The data are stored in the database so that it may be retrieved and displayed.Type: ApplicationFiled: September 7, 2010Publication date: August 11, 2011Applicant: ITG SOFTWARE SOLUTIONS, INC.Inventors: Jon FATICA, Michael Williams, David Turner, Kevin O'connor, Joseph Emanuelli, Milan P. Borkovec, Ananth Madhavan, Artem V. Asriev, Kumar Giritharan, Thomas Strande
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Patent number: 7974906Abstract: A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.Type: GrantFiled: June 12, 2002Date of Patent: July 5, 2011Assignee: ITG Software Solutions, Inc.Inventors: Ananth Madhavan, Artem V. Asriev
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Publication number: 20110004567Abstract: 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.Type: ApplicationFiled: July 2, 2010Publication date: January 6, 2011Applicant: ITG SOFTWARE SOLUTIONS, INC.Inventors: Ananth MADHAVAN, Artem V. Asriev, Scott J. Kartinen, Jian Yang, Vitaly Serbin, Ian Domowitz, Kenneth E. Gosier
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Patent number: 7752099Abstract: 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.Type: GrantFiled: April 4, 2003Date of Patent: July 6, 2010Assignee: ITG Software Solutions, Inc.Inventors: Ananth Madhavan, Artem V. Asriev, Scott J. Kartinen, Jian Yang, Vitaly Serbin, Ian Domowitz, Kenneth E. Gosier
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Publication number: 20090299889Abstract: 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.Type: ApplicationFiled: May 22, 2009Publication date: December 3, 2009Applicant: ITG SOFTWARE SOLUTIONS, INC.Inventors: Ananth MADHAVAN, Artem V. ASRIEV, Milan P. BORKOVEC
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Patent number: 7539636Abstract: 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.Type: GrantFiled: October 1, 2003Date of Patent: May 26, 2009Assignee: ITG Software Solutions, Inc.Inventors: Ananth Madhavan, Artem V. Asriev, Milan P Borkovec
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Publication number: 20040215549Abstract: 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.Type: ApplicationFiled: October 1, 2003Publication date: October 28, 2004Applicant: Investment Technology Group, Inc.Inventors: Ananth Madhavan, Artem V. Asriev, Milan P. Borkovec
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Publication number: 20040078319Abstract: 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.Type: ApplicationFiled: April 4, 2003Publication date: April 22, 2004Applicant: ITG SOFTWARE, INC.Inventors: Ananth Madhavan, Artem V. Asriev, Scott J. Kartinen, Jian Yang, Vitaly Serbin, Ian Domowitz, Kenneth E. Gosier
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Publication number: 20030233306Abstract: A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.Type: ApplicationFiled: June 12, 2002Publication date: December 18, 2003Applicant: ITG, Inc.Inventors: Ananth Madhavan, Artem V. Asriev