We consider a broad class of dynamic portfolio optimization problems that allow for complex
models of return predictability, transaction costs, trading constraints, and risk considerations …

At least one exemplary aspect comprises a method comprising:(a) receiving electronic data
describing a trading order for a market-traded security;(b) checking the data describing the …

The latest cutting-edge research on market microstructure Based on the December 2010
conference on market microstructure, organized with the help of the Institut Louis Bachelier …

At least one exemplary aspect comprises a method comprising:(a) receiving electronic data
describing a trading order for a market-traded security;(b) checking the data describing the …

One exemplary aspect comprises:(a) receiving data describing an executed trading order in
a market traded security and related trade execution data;(b) estimating a price of the market …

Algorithm design for trading has concentrated on representing particular trading strategies
that are familiar to, or at least understandable by, traders. A fundamental characteristic of …

Starting from basic hypotheses on how footprints from hidden orders are interpreted by short-
term traders, we derive a fair price model that predicts market impact for non-uniform …

The present application claims the benefit of US Provi sional Patent Application No.
61/355,398, filed Jun. 16, 2010, and is a CIP of US patent application Ser. No. 13/083,711 …

In recent years, we have witnessed an increasing use of quantitative modeling tools and
data processing infrastructure by high frequency trading firms and automated market …