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

Award Information

Agency:
National Science Foundation
Branch:
N/A
Award ID:
84691
Program Year/Program:
2007 / SBIR
Agency Tracking Number:
0638272
Solicitation Year:
N/A
Solicitation Topic Code:
N/A
Solicitation Number:
N/A
Small Business Information
Benchmark Simulation, LLC
28600 Hwy. 200 E. Ste. 205 Potomac, MT 59823 9568
View profile »
Woman-Owned: No
Minority-Owned: No
HUBZone-Owned: No
 
Phase 1
Fiscal Year: 2007
Title: SBIR Phase I: Advanced Mathematical Algorithms to Improve Execution-Quality of Block Trades
Agency: NSF
Contract: 0638272
Award Amount: $99,750.00
 

Abstract:

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.

Principal Investigator:

Lester W. Dye
MS
4065498174
lwdye@benchmarksimulation.com

Business Contact:

Lester W. Dye
MS
4065498174
lwdye@benchmarksimulation.com
Small Business Information at Submission:

Benchmark Simulation, LLC
28600 Hwy. 200 E. Ste. 205 Potomac, MT 59823

EIN/Tax ID: 810534800
DUNS: N/A
Number of Employees:
Woman-Owned: No
Minority-Owned: No
HUBZone-Owned: No