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

Award Information
Agency: National Science Foundation
Branch: N/A
Contract: 0638272
Agency Tracking Number: 0638272
Amount: $99,750.00
Phase: Phase I
Program: SBIR
Awards Year: 2007
Solicitation Year: 2006
Solicitation Topic Code: IT
Solicitation Number: NSF 06-553
Small Business Information
28600 Hwy. 200 E., Ste. 205, Potomac, MT, 59823
DUNS: 037426280
HUBZone Owned: N
Woman Owned: N
Socially and Economically Disadvantaged: N
Principal Investigator
 Lester Dye
 MS
 (406) 549-8174
 lwdye@benchmarksimulation.com
Business Contact
 Lester Dye
Title: MS
Phone: (406) 549-8174
Email: lwdye@benchmarksimulation.com
Research Institution
N/A
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.

* Information listed above is at the time of submission. *

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