SBIR Phase I: Advanced Mathematical Algorithms to Improve Execution-Quality of Block Trades

这个小企业创新研究（SBIR）第一阶段项目解决了金融市场中提高大宗交易能力的需求。大宗交易，或卖方交易，涉及交易大宗股票（例如，IBM的450，000股），同时试图将市场影响降至最低，并获得股票的最佳价格。大宗交易技术对于持有大量股票头寸的机构来说是必要的。目前的大宗交易技术大多效率低下，成本高昂，通常是手工或非常简单的软件系统完成的。 本文提出的研究将利用Benchmark在扩散系统和高频交易技术方面的专业知识。 Benchmark提出的大宗交易系统将减少市场影响，降低交易成本，并提高进行大宗交易的机构的回报。先进的大宗交易系统的潜在商业价值是巨大的和全球性的。 此外，与这项研究相关的时空有限元反演的基本进展可能在其他领域的数值模拟中有更广泛的应用。

This Small Business Innovation Research (SBIR) Phase I project addresses the need for improved block trading capabilities in the financial markets. Block trading, or sell-side trading, involves transacting large blocks of stock (for example, 450,000 shares of IBM), while trying to minimize market impact and receive the best price for the stock. Block-trading technology is necessary for institutions holding large positions in equities. Much of the current block-trading technology is inefficient and expensive, often being done by hand or by very simple software systems. The research proposed here will leverage Benchmark's expertise in diffusive systems and high-frequency trading technology. Benchmark's proposed block-trading system will reduce market impact, lower transaction costs, and improve returns for institutions making large block trades. The potential commercial value of an advanced block-trading system is substantial and global. Also, fundamental advances in spacetime finite element inversion associated with this research may have broader application to numerical simulation in other fields.