Patent ID: 7941360

Claim:
A system comprising: one or more computer processors operable to calculate an average bid-ask spread of said one or more securities; one or more computer processors operable to calculate values associated with one or more markets; one or more computer processors operable to receive and store data regarding an order size for said one or more securities; one or more computer processors operable to receive and store data regarding an average daily volume of said one or more securities traded on a specified market; one or more computer processors operable to calculate data regarding expected historical volatility over a trading interval of said one or more securities; one or more computer processors operable to calculate data regarding an average rate of trading over said trading interval of said one or more securities; and one or more computer processors operable to calculate an estimated cost of trading said one or more securities using data comprising a formula based on said average bid-ask spread, said values associated with one or more markets, said data regarding order size, said data regarding average daily volume, said data regarding expected historical volatility, and said data regarding an average rate of trading over said trading interval; wherein said formula comprises an instantaneous impact component, a temporary impact component and a permanent impact component, and wherein the temporary impact component comprises a multiplicative product of at least one of a power of said average rate of trading and a power of said expected historical volatility.