Algorithmic trading system and method

Details Algorithmic trading system and method Algorithmic trading system and method

G - Physics

06

Q

G06Q 40/00 (2006.01)

Patent

CA 2662746

A system and method for allowing market participants to evaluate the likelihood of finding hidden volume. The model can predict hidden volume and assess the probability that a market order will be executed within the spread and better than the mid-quote. The cost per immediate execution can be assessed.

L'invention concerne un système et un procédé permettant à des participants d'un marché d'évaluer la probabilité de trouver un volume caché. Le modèle peut prédire un volume caché et évaluer la probabilité qu'un ordre de bourse soit exécuté dans la marge et mieux que la cotation moyenne. Le coût par exécution immédiate peut être évalué.

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