WO2001009698A3 - System, method, and article of manufacture for estimating a probability with which a limit order will be filled - Google Patents

System, method, and article of manufacture for estimating a probability with which a limit order will be filled Download PDF

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Publication number
WO2001009698A3
WO2001009698A3 PCT/US2000/020953 US0020953W WO0109698A3 WO 2001009698 A3 WO2001009698 A3 WO 2001009698A3 US 0020953 W US0020953 W US 0020953W WO 0109698 A3 WO0109698 A3 WO 0109698A3
Authority
WO
WIPO (PCT)
Prior art keywords
probability
limit order
estimating
article
filled
Prior art date
Application number
PCT/US2000/020953
Other languages
French (fr)
Other versions
WO2001009698A2 (en
Inventor
Manoj Narang
Original Assignee
Tradeworx Inc
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Tradeworx Inc filed Critical Tradeworx Inc
Priority to AU63949/00A priority Critical patent/AU6394900A/en
Publication of WO2001009698A2 publication Critical patent/WO2001009698A2/en
Publication of WO2001009698A3 publication Critical patent/WO2001009698A3/en

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system, method and article of manufacture are provided for estimating a probability associated with a limit order. First, an indicia identifying a security is received from a user (217). A probability for filling a limit order for the security is then estimated (218). Estimation of the probability may be based on various factors such as a desired time interval during which the limit order is to be filled, a desired price for the limit order, and/or a current bid price and offered price of the security. Thereafter, the probability of the limit order is outputted (220). The probability may be estimated on a server connected to a plurality of client computers via a network. By this structure, the indice may be received from the client computers over the network. Further, the estimated probability of the limit order may be outputted to the client computers over the network.
PCT/US2000/020953 1999-08-03 2000-08-01 System, method, and article of manufacture for estimating a probability with which a limit order will be filled WO2001009698A2 (en)

Priority Applications (1)

Application Number Priority Date Filing Date Title
AU63949/00A AU6394900A (en) 1999-08-03 2000-08-01 System, method, and article of manufacture for estimating a probability with which a limit order will be filled

Applications Claiming Priority (6)

Application Number Priority Date Filing Date Title
US36638399A 1999-08-03 1999-08-03
US36599299A 1999-08-03 1999-08-03
US36599399A 1999-08-03 1999-08-03
US09/365,992 1999-08-03
US09/366,383 1999-08-03
US09/365,993 1999-08-03

Publications (2)

Publication Number Publication Date
WO2001009698A2 WO2001009698A2 (en) 2001-02-08
WO2001009698A3 true WO2001009698A3 (en) 2003-11-13

Family

ID=27408730

Family Applications (2)

Application Number Title Priority Date Filing Date
PCT/US2000/020953 WO2001009698A2 (en) 1999-08-03 2000-08-01 System, method, and article of manufacture for estimating a probability with which a limit order will be filled
PCT/US2000/020955 WO2001009699A2 (en) 1999-08-03 2000-08-01 System, method, and article of manufacture for estimating a price of a limit order

Family Applications After (1)

Application Number Title Priority Date Filing Date
PCT/US2000/020955 WO2001009699A2 (en) 1999-08-03 2000-08-01 System, method, and article of manufacture for estimating a price of a limit order

Country Status (2)

Country Link
AU (2) AU6395100A (en)
WO (2) WO2001009698A2 (en)

Families Citing this family (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US6493682B1 (en) * 1998-09-15 2002-12-10 Pendelton Trading Systems, Inc. Optimal order choice: evaluating uncertain discounted trading alternatives
US8175946B2 (en) 2008-04-25 2012-05-08 Bloomberg Finance L.P. System and method for providing the execution probability of a limit order
AU2018256664A1 (en) * 2018-11-02 2020-05-21 Australian Bond Exchange Holdings Limited System and Computer Implemented Method for Facilitating the Transaction and Settlement of a Financial Instrument

Citations (13)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US3984657A (en) * 1973-09-18 1976-10-05 Preben Jessen Stock trend indicator
JPH01263866A (en) * 1988-04-15 1989-10-20 Bita:Kk Stock price data processing system
JPH06139227A (en) * 1992-10-28 1994-05-20 Nippon Telegr & Teleph Corp <Ntt> Time series predicting device
US5377095A (en) * 1991-07-12 1994-12-27 Hitachi, Ltd. Merchandise analysis system with sales data table and various functions for predicting the sale by item
JPH103465A (en) * 1996-06-17 1998-01-06 Syst Gijutsu Kenkyusho:Kk Stock price prediction device
US5761386A (en) * 1996-04-05 1998-06-02 Nec Research Institute, Inc. Method and apparatus for foreign exchange rate time series prediction and classification
JPH10207857A (en) * 1997-01-20 1998-08-07 Fujitsu Ltd Time-series prediction device
JPH1125158A (en) * 1997-06-30 1999-01-29 Ryoichi Ino Prediction operation processing method for auction successful bid price of used car and prediction operation processor for auction successful bid price of used car
US5940810A (en) * 1994-08-04 1999-08-17 The Trustees Of Columbia University In The City Of New York Estimation method and system for complex securities using low-discrepancy deterministic sequences
US5960407A (en) * 1996-10-08 1999-09-28 Vivona; Robert G. Automated market price analysis system
US6061662A (en) * 1997-08-15 2000-05-09 Options Technology Company, Inc. Simulation method and system for the valuation of derivative financial instruments
US6092056A (en) * 1994-04-06 2000-07-18 Morgan Stanley Dean Witter Data processing system and method for financial debt instruments
US6098051A (en) * 1995-04-27 2000-08-01 Optimark Technologies, Inc. Crossing network utilizing satisfaction density profile

Patent Citations (13)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US3984657A (en) * 1973-09-18 1976-10-05 Preben Jessen Stock trend indicator
JPH01263866A (en) * 1988-04-15 1989-10-20 Bita:Kk Stock price data processing system
US5377095A (en) * 1991-07-12 1994-12-27 Hitachi, Ltd. Merchandise analysis system with sales data table and various functions for predicting the sale by item
JPH06139227A (en) * 1992-10-28 1994-05-20 Nippon Telegr & Teleph Corp <Ntt> Time series predicting device
US6092056A (en) * 1994-04-06 2000-07-18 Morgan Stanley Dean Witter Data processing system and method for financial debt instruments
US5940810A (en) * 1994-08-04 1999-08-17 The Trustees Of Columbia University In The City Of New York Estimation method and system for complex securities using low-discrepancy deterministic sequences
US6098051A (en) * 1995-04-27 2000-08-01 Optimark Technologies, Inc. Crossing network utilizing satisfaction density profile
US5761386A (en) * 1996-04-05 1998-06-02 Nec Research Institute, Inc. Method and apparatus for foreign exchange rate time series prediction and classification
JPH103465A (en) * 1996-06-17 1998-01-06 Syst Gijutsu Kenkyusho:Kk Stock price prediction device
US5960407A (en) * 1996-10-08 1999-09-28 Vivona; Robert G. Automated market price analysis system
JPH10207857A (en) * 1997-01-20 1998-08-07 Fujitsu Ltd Time-series prediction device
JPH1125158A (en) * 1997-06-30 1999-01-29 Ryoichi Ino Prediction operation processing method for auction successful bid price of used car and prediction operation processor for auction successful bid price of used car
US6061662A (en) * 1997-08-15 2000-05-09 Options Technology Company, Inc. Simulation method and system for the valuation of derivative financial instruments

Non-Patent Citations (2)

* Cited by examiner, † Cited by third party
Title
"Online Broker A.B. Watley Announces a New Partnership With Tradeworx, Inc." Business Wire, 18, February 2000 *
STIRLAND, S.L., "Tradeworx Seeks Funding for Trading Tools, Redherring.com" 30 September 1999 *

Also Published As

Publication number Publication date
AU6395100A (en) 2001-02-19
AU6394900A (en) 2001-02-19
WO2001009699A3 (en) 2001-08-02
WO2001009699A2 (en) 2001-02-08
WO2001009698A2 (en) 2001-02-08
WO2001009699A9 (en) 2001-09-20

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