公开(公告)号：US20120254070A1

公开(公告)日：2012-10-04

申请号：US13494225

申请日：2012-06-12

Applicant: Ananth MADHAVAN ,  Jian YANG ,  Leonid ZOSIN ,  Konstantin ZALUTSKY ,  Artem ASRIEV ,  Gabriel BUTLER

Inventor： Ananth MADHAVAN ,  Jian YANG ,  Leonid ZOSIN ,  Konstantin ZALUTSKY ,  Artem ASRIEV ,  Gabriel BUTLER

IPC: G06Q40/06

CPC classification number: G06Q40/04 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/06

Abstract: A system for determining fair value prices of financial securities of international markets includes 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 producing each calculated return factor coefficient in a data stream.

Abstract translation: 确定国际市场金融证券的公允价值价格的制度包括选择特定国际市场的证券的一个宇宙，在预定的过去一段时间内计算所选择的宇宙中每个证券的过夜回报，选择至少一个返回因子 根据多个返回因子对国内金融市场进行计算，对于每个所选择的返还因子，计算所述预定的过去时间段内的所述返回因子的每日回报，针对每个所选择的返回因子计算所选择的每个证券的返还因子系数 通过执行时间序列回归来获得每个返回因子对安全的隔夜回报的回报的贡献，并产生数据流中的每个计算的返回因子系数。

公开(公告)号：US20110196773A1

公开(公告)日：2011-08-11

申请号：US12876929

申请日：2010-09-07

Applicant: Jon FATICA ,  Michael Williams ,  David Turner ,  Kevin O'connor ,  Joseph Emanuelli ,  Milan P. Borkovec ,  Ananth Madhavan ,  Artem V. Asriev ,  Kumar Giritharan ,  Thomas Strande

Inventor： Jon FATICA ,  Michael Williams ,  David Turner ,  Kevin O'connor ,  Joseph Emanuelli ,  Milan P. Borkovec ,  Ananth Madhavan ,  Artem V. Asriev ,  Kumar Giritharan ,  Thomas Strande

IPC: G06Q40/00

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

Abstract: 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.

Abstract translation: 用于比较机构对等体的投资交易成本的系统和方法包括数据库和耦合到网络的处理器。 处理器可以被配置为经由网络接收投资机构的安全交易数据，其中包括交易证券的数据，交易订单大小，执行价格，对等标识和时间戳。 处理器还能够将交易数据分组成一组订单，计算每个订单的订单成本和环境因素，以及计算每个组中对等体的平均订单成本。 数据存储在数据库中，以便可以检索和显示数据。

公开(公告)号：US20090281963A1

公开(公告)日：2009-11-12

申请号：US12463655

申请日：2009-05-11

Applicant: Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zaltusky ,  Artem Asriev ,  Gabriel Butler

Inventor： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zaltusky ,  Artem Asriev ,  Gabriel Butler

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/06

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 translation: 确定国际市场金融证券的公允价值价格的制度和方法包括选择一个特定国际市场的证券的一个整体的步骤，在预定的过去一段时间内计算所选择的宇宙中每个证券的过夜回报，至少选择 根据多个返回因子计算国内金融市场的一个回归因子，对于每个选定的返回因子，计算所述预定的过去时间段内的返回因子的每日回报，针对每个所选择的返回因子计算每个返回因子的每个返回因子系数 通过执行时间序列回归以获得每个返回因子对安全性的隔夜返回的回报的贡献，并将每个计算的返回因子系数存储在数据文件中，在所选择的宇宙中的安全性。

公开(公告)号：US08412621B2

公开(公告)日：2013-04-02

申请号：US13459859

申请日：2012-04-30

Applicant: Ananth Madhavan ,  Artem V. Asriev

Inventor： Ananth Madhavan ,  Artem V. Asriev

IPC: G06Q40/00

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

Abstract: 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.

公开(公告)号：US20090299889A1

公开(公告)日：2009-12-03

申请号：US12471185

申请日：2009-05-22

Applicant: Ananth MADHAVAN ,  Artem V. ASRIEV ,  Milan P. BORKOVEC

Inventor： Ananth MADHAVAN ,  Artem V. ASRIEV ,  Milan P. BORKOVEC

IPC: G06Q40/00

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

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 translation: 用于创建对等体组数据库的方法包括为多个投资机构收集预选时间段的安全交易数据的步骤。 交易数据包括正在交易的证券的身份，交易订单大小，执行价格和执行时间。 交易数据被分组成多个订单。 为每个订单计算多个成本基准。 每个投资机构相对于成本基准估算交易成本。 数据被存储。

公开(公告)号：US20090125448A1

公开(公告)日：2009-05-14

申请号：US12133936

申请日：2008-06-05

Applicant: Milan BORKOVEC ,  Ananth MADHAVAN ,  Hans G. HEIDLE

Inventor： Milan BORKOVEC ,  Ananth MADHAVAN ,  Hans G. HEIDLE

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q10/04 ,  G06Q30/0283 ,  G06Q40/00 ,  G06Q40/06

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 translation: 一种用于预测可能适用于任何给定交易策略或最小化交易成本的最优交易策略的投资组合交易执行的交易成本的方法，系统和计算机程序产品。 系统接受来自客户的用户定义的输入变量，并根据这些变量生成交易成本估算报告。 利用两种模式：自由裁量权和非自由裁量权。 执行特定的交易成本估算和优化，其基于用户的交易简档和市场变量来模拟特定交易执行的交易成本。

公开(公告)号：US07533048B2

公开(公告)日：2009-05-12

申请号：US10405640

申请日：2003-04-03

Applicant: Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zalutsky ,  Artem Asriev ,  Gabriel Butler

Inventor： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zalutsky ,  Artem Asriev ,  Gabriel Butler

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/06

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 the selected universe of securities, which predicted current overnight returns can be used in conjunction with closing prices on said particular international market of each security of said selected universe to determine a fair value price of each security of the selected universe. A system and computer program product for implementing the method also are provided.

Abstract translation: 确定国际市场金融证券公允价值的一种方法包括选择一个特定国际市场的证券世界的步骤; 在预定的过去一段时间内计算所选宇宙中每个安全性的过夜回报; 从多个回归因素中选择国内金融市场的至少一个回报因子; 对于每个所选择的返回因子，计算所述预定的过去时间段内的所述返回因子的每日回报; 通过执行时间序列回归来计算每个选定回报因子的每个证券的回报因子系数，以获得每个返回因子对证券的隔夜回报的回报的贡献; 并将每个计算的返回因子系数存储在数据文件中; 其中所存储的回报因子系数可以与当前的回报因子每日回报值一起使用，以预测所选证券领域中的所有证券的当前隔夜回报，其预测当前的隔夜回报可以与所述特定国际的收盘价一起使用 所选择的宇宙的每个安全性的市场，以确定所选择的宇宙的每个安全性的公允价值。 还提供了一种用于实现该方法的系统和计算机程序产品。

公开(公告)号：US07337137B2

公开(公告)日：2008-02-26

申请号：US10640630

申请日：2003-08-14

Applicant: Leonid Alexander Zosin ,  Ananth Madhavan

Inventor： Leonid Alexander Zosin ,  Ananth Madhavan

IPC: G06Q40/00

CPC classification number: G06Q40/06 ,  G06Q40/00

Abstract: The preferred embodiments provide improved systems, methods and products for the optimization of a portfolio and/or multi-portfolios of assets, such as stocks. In some preferred embodiments, new methodology can be employed wherein a confidence region for a mean-varience efficiency set is utilized. In some preferred embodiments, new methodology can be employed for improved computation of a reward-to-variability ratio or Sharpe Ratio. In some preferred embodiments, new methodology can be employed for multiportfolio optimization. In some preferred embodiments, a portfolio optimization engine or module can be adapted to implement one or more of these new methodologies, along with any other desired methodologies.

Abstract translation: 优选实施例提供改进的系统，方法和产品，用于优化投资组合和/或诸如股票的资产的多投资组合。 在一些优选实施例中，可以采用新的方法，其中利用平均变化效率集合的置信区域。 在一些优选实施例中，可以采用新的方法来改进奖励 - 变异率或夏普比率的计算。 在一些优选实施例中，可以采用新的方法来进行多路径优化。 在一些优选实施例中，投资组合优化引擎或模块可以适用于实现这些新方法中的一个或多个，以及任何其它期望的方法。

公开(公告)号：US20070299758A1

公开(公告)日：2007-12-27

申请号：US11730750

申请日：2007-04-03

Applicant: Leonid Zosin ,  Ananth Madhavan ,  Ian Domowitz

Inventor： Leonid Zosin ,  Ananth Madhavan ,  Ian Domowitz

IPC: G06Q40/00

CPC classification number: G06Q40/06

Abstract: Methods and systems for optimizing a plurality of portfolios, each portfolio including one or more shares of one or more tradable assets, and may include the steps of: receiving asset data associated with the plurality of the portfolios; receiving one or more optimization constraints including at least one global constraint defining a constraint to be applied across an aggregate of the plurality of portfolios; for each portfolio, optimizing the asset data based on the one or more optimization constraints to create optimized portfolio data; aggregating the optimized portfolio data to create aggregate optimized asset data; determining if the aggregate optimized asset data satisfies the at least one global constraint; and only if the at least one global constraint is satisfied, outputting the optimized asset data.

Abstract translation: 用于优化多个投资组合的方法和系统，每个投资组合包括一个或多个可交易资产的一个或多个股份，并且可以包括以下步骤：接收与所述多个投资组合相关联的资产数据; 接收一个或多个优化约束，所述优化约束包括至少一个全局约束，所述约束定义要跨所述多个投资组合的聚合应用的约束; 对于每个投资组合，基于一个或多个优化约束优化资产数据以创建优化的投资组合数据; 聚合优化的投资组合数据以创建聚合优化的资产数据; 确定所述聚合优化资产数据是否满足所述至少一个全局约束; 并且仅当满足至少一个全局约束时，输出优化的资产数据。

公开(公告)号：US08635147B2

公开(公告)日：2014-01-21

申请号：US13556735

申请日：2012-07-24

Applicant: Milan Borkovec ,  Ananth Madhavan ,  Hans Heidle

Inventor： Milan Borkovec ,  Ananth Madhavan ,  Hans Heidle

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q10/04 ,  G06Q30/0283 ,  G06Q40/00 ,  G06Q40/06

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 translation: 一种用于预测可能适用于任何给定交易策略或最小化交易成本的最优交易策略的投资组合交易执行交易成本的方法，系统和计算机程序产品。 系统接受来自客户的用户定义的输入变量，并根据这些变量生成交易成本估算报告。 利用两种模式：自由裁量权和非自由裁量权。 执行特定的交易成本估算和优化，其基于用户的交易简档和市场变量来模拟特定交易执行的交易成本。