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Commodity Futures Index and Methods and Systems of Trading in Futures Contracts that Minimize Turnover and Transaction Costs
Commodity Futures Index and Methods and Systems of Trading in Futures Contracts that Minimize Turnover and Transaction Costs
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机译:商品期货指数以及最小化周转和交易成本的期货合约交易方法和系统
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摘要
This invention relates to methods and systems for reducing transaction costs and minimizes turnover in the trading of futures contracts. The invention further describes an algorithm whose output is a unique method of investing in futures contracts that reduces the rate of turnover, and thus the cost of trading, of certain common trading strategies. The primary application of this method is to a class of strategies referred to as indexing strategies that incorporate a dynamic asset allocation approach using futures contracts.
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