Patents by Inventor Stephen Vandermark

Stephen Vandermark 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).

  • Methods and systems for trade cost estimation
    Patent number: 7941360
    Abstract: In one aspect, the invention comprises: (a) calculating an average bid-ask spread of securities; (b) calculating values associated with one or more markets; (c) receiving and storing data regarding an order size for the securities; (d) receiving and storing data regarding an average daily volume of the securities traded on a specified market; (d) calculating data regarding expected historical volatility over a trading interval of the securities; (e) calculating data regarding an average rate of trading over the trading interval of the securities; and (f) calculating an estimated cost of trading the securities using data comprising a formula based on the average bid-ask spread, the values associated with one or more markets, the data regarding order size, the data regarding average daily volume, the data regarding expected historical volatility, and the data regarding an average rate of trading over the trading interval.
    Type: Grant
    Filed: June 28, 2007
    Date of Patent: May 10, 2011
    Assignee: Barclays Capital Inc.
    Inventors: Liye Zhang, Stephen Vandermark, Manwani Amit, Xavier Abdobal
  • Methods and Systems for Estimating Trade Cost
    Publication number: 20090006231
    Abstract: In one aspect, the invention comprises: (a) calculating an average bid-ask spread of securities; (b) calculating values associated with one or more markets; (c) receiving and storing data regarding an order size for the securities; (d) receiving and storing data regarding an average daily volume of the securities traded on a specified market; (d) calculating data regarding expected historical volatility over a trading interval of the securities; (e) calculating data regarding an average rate of trading over the trading interval of the securities; and (f) calculating an estimated cost of trading the securities using data comprising a formula based on the average bid-ask spread, the values associated with one or more markets, the data regarding order size, the data regarding average daily volume, the data regarding expected historical volatility, and the data regarding an average rate of trading over the trading interval.
    Type: Application
    Filed: June 28, 2007
    Publication date: January 1, 2009
    Inventors: Liye Zhang, Stephen Vandermark, Amit Manwani, Xavier Abdobal