Patent ID: 7765145

Claim:
A method of determining the optimal number of units to be traded in a sequence of trading periods, given the probability of trading in each period where the probability of a trade in at least one trading period is less than one hundred percent, the method comprising the steps of: receiving a number of chronologically spaced trading periods, the number of trading periods being at least three trading periods including an ultimate trading period, a penultimate trading period, and an antepenultimate trading period; receiving for each of the trading periods a probability of trading during that trading period, each probability being greater than zero percent and at least one of the probabilities being less than one hundred percent; and determining with a computer processor an optimal number of units to be traded in the penultimate trading period of the number of trading periods based on information which in part determines a number of units to be traded in the ultimate trading period of the number of trading periods and on the probability of trading during the ultimate trading period, wherein each of the trading periods has a corresponding transactional size coefficient of the trading period, the transactional size coefficient for each trading period being determined according to the following relationship: z i , j = 1 - 1 2 + ∑ n = i + 1 j ⁢ ⁢ 2 ⁢ q n ⁢ z n , j ⁡ ( z n , j - 1 ) ⁢ ∏ m = i + 1 n - 1 ⁢ ⁢ ( z m , j - 1 ) 2 wherein i is the number of trading periods, z i,j is the transactional coefficient of a given trading period and g n is the probability of trading during a first trading period subsequent to the given trading period.