Patent ID: 7979344

Claim:
A system for automatically controlling trade executions based on percentage of volume (POV) trading rates, comprising: at least one hardware processor that: determines a market impact relationship for each of a plurality of positions included in a portfolio, wherein each of the market impact relationships models the impact on the price of a trade in the corresponding position; determines a risk model associated with the portfolio, wherein the risk model is represented by: σ cp 2 = ∑ j , i = 1 ⁢ … ⁢ ⁢ N ⁢ ⁢ τ ij ⁢ σ j , i ⁢ t i ⁢ t j ⁢ P j ⁢ S j ⁢ P i ⁢ S i wherein: T ij is an estimate of: 1 3 ⁢ min ⁡ ( t i , t j ) 3 t i ⁢ t j - 1 2 ⁢ ( 1 t j + 1 t i ) ⁢ min ⁡ ( t i , t j ) 2 + min ⁡ ( t i , t j ) ; σ j,i is the daily variance covariance in positions j and i; t i is the trading horizon in days for position i; t j is the trading horizon in days for position j; P i is the price for a share in position i; P j is the price for a share in position j; S i is the number of shares in position i; and S j is the number of shares in position j; solves for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and causes trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions.