Generating dynamic date sets that represent maket conditions

• US 20080243711A1
• Filed: 03/30/2007
• Published: 10/02/2008
• Est. Priority Date: 03/30/2007
• Status: Active Grant

• Current Assignee: Palantir Technologies Incorporated
• Original Assignee: Palantir Technologies Incorporated
• Inventors: Tan, Garry, Simler, Kevin, Miyake, Nick, Aymeloglu, Andrew
• Granted Patent: US 8,036,971 B2
• Time in Patent Office: Days
• US Class Current: 705/36R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

In one embodiment, first input that specifies a market instrument is received. Second input that specifies one or more parameters for one or more date set computers associated with the market instrument is received. A first time series is received from a data repository, where the first time series is a sequence of data values associated with the market instrument. A set of time periods is extracted by applying the one or more date set computers based on the one or more parameters and the first time series. The set of time periods is displayed overlaid on a graphical representation of the first time series in a graphical user interface.

Claims

1. A machine-implemented method comprising:

receiving first input that specifies a market instrument;

receiving second input that specifies one or more parameters for one or more date set computers that are associated with the market instrument;

receiving a first time series from a data repository, wherein the first time series is a sequence of data values associated with the market instrument;

extracting a set of time periods by applying the one or more date set computers based on the one or more parameters and the first time series; and

displaying the set of time periods overlaid on a graphical representation of the first time series in a graphical user interface.

2. The method of claim 1, wherein the set of time periods comprises a set of date ranges, wherein each date range of the set of date ranges includes a start date and an end date.

3. The method of claim 1, wherein the set of time periods comprises a set of specific dates.

4. The method of claim 1, wherein:

at least one parameter of the one or more parameters specifies a metric associated with the market instrument; and

the method further comprises deriving the first time series by determining the sequence of data values for the metric associated with the market instrument.

5. The method of claim 4, wherein the metric is any one of:

a closing price of the market instrument;

volatility of the market instrument; and

relative strength index (RSI) of the market instrument.

6. The method of claim 1, wherein:

the one or more date set computers include a trending computer that identifies time periods in which the first time series is trending; and

the one or more parameters include a duration value and a precision value that define trends associated with the market instrument.

7. The method of claim 1, wherein:

the one or more date set computers include an above/below computer that identifies time periods in which the first time series is above or below a certain threshold; and

the one or more parameters include a range value and at least one parameter that specifies a metric for generating the first time series.

8. The method of claim 7, wherein the metric is any one of:

a relative strength index (RSI) metric;

a market capitalization metric;

a volume metric;

a historical volatility (HVol) metric; and

an implied volatility (IVol) metric.

9. The method of claim 1, wherein:

the one or more date set computers include a peaks/troughs computer; and

the one or more parameters include a value specifying the maximum duration of a peak or trough and one or more values specifying the minimum height of the peak or trough.

10. The method of claim 1, wherein:

the one or more date set computers include a first date set computer and a second date set computer; and

the one or more parameters specify a combination of the first date set computer and the second date set computer, wherein the combination defines how any time periods generated by the first date set computer are related to any time periods generated by the second date set computer.

11. The method of claim 10, wherein the combination is any one of a conjunctive combination and a disjunctive combination.

12. The method of claim 1, wherein:

the one or more date set computers include;

a first date set computer associated with a first metric specified by the one or more parameters; and

a second date set computer associated with a second metric specified by the one or more parameters;

the method further comprises;

deriving the first time series for the first date set computer based on the first metric; and

deriving a second time series for the second date set computer based on the second metric;

extracting the set of time periods further comprises;

determining first one or more time periods, of the set of time periods, by applying the first date set computer to the first time series; and

determining second one or more time periods, of the set of time periods, by applying the second date set computer to the second time series; and

displaying the set of time periods further comprises displaying the first one or more time periods and the second one or more time periods on a chart, wherein the chart plots graphical representations of the first time series and the second time series.

13. The method of claim 1, wherein the market instrument is a first market instrument, wherein the first input further specifies a second market instrument, and wherein:

the one or more date set computers include;

a first date set computer associated with a first metric, wherein the first metric is specified by the one or more parameters and is associated with the first market instrument; and

a second date set computer associated with a second metric, wherein the second metric is specified by the one or more parameters and is associated with the second market instrument;

the method further comprises;

deriving the first time series for the first date set computer based on the first metric; and

deriving a second time series for the second date set computer based on the second metric;

extracting the set of time periods further comprises;

determining first one or more time periods, of the set of time periods, by applying the first date set computer to the first time series; and

determining second one or more time periods, of the set of time periods, by applying the second date set computer to the second time series; and

displaying the set of time periods further comprises displaying the first one or more time periods and the second one or more time periods on a chart, wherein the chart plots graphical representations of the first time series and the second time series.

14. The method of claim 1, further comprising storing a market theme that comprises the one or more date set computers used to generate the set of time periods.

15. The method of claim 14, further comprising:

accessing a specific market theme that defines a time window over which correlation is to be performed;

determining the set of time periods within the time window by applying to the first time series the one or more date set computers stored in the market theme;

evaluating, over the set of time periods within the time window, a plurality of time series associated with a plurality of other market instruments; and

determining one or more other market instruments, of the plurality of other market instruments, which are correlated to the market instrument during the set of time periods within the time window.

16. The method of claim 14, further comprising:

accessing the market theme and retrieving the set of time periods; and

evaluating a trading strategy over the set of time periods to determine what result would have been obtained if the trading strategy were actually executed during the set of time periods, wherein the trading strategy involves one or more trading actions with respect to one or more market instruments.

17. The method of claim 14, further comprising:

accessing the market theme and retrieving the set of time periods; and

evaluating an aggregate statistic associated with a particular market instrument by analyzing a particular time series of the particular market instrument over the set of time periods.

18. The method of claim 14, further comprising:

receiving third input that specifies a set of market instruments;

accessing the market theme and retrieving the set of time periods; and

applying the set of time periods to a set of time series associated with the set of market instruments in order to determine how the set of market instruments would have performed during the set of time periods.

19. The method of claim 14, further comprising:

accessing the market theme and retrieving the set of time periods;

accessing a set of independent time series associated with one or more market instruments; and

performing a regression analysis of the set of independent time series over the set of time periods in order to model a dependent time series.

20. The method of claim 1, further comprising:

storing a market theme that comprises the one or more date set computers and the one or more parameters;

accessing the market theme and retrieving the one or more date set computers;

applying the one or more date set computers to current values for one or more metrics of a particular market instrument in order to determine whether a current time period is included in time periods that would be generated by applying the market theme for the particular market instrument; and

sending a notification when the current time period is included in the time periods for the particular market instrument.

21. A graphical user interface (GUI), comprising:

a GUI component configured to receive first user input that specifies a market instrument;

a first content pane configured to receive second user input that specifies one or more parameters for one or more date set computers associated with the market instrument; and

a second content pane configured to display a set of time periods overlaid on a graphical representation of a first time series;

wherein the first time series is a sequence of data values associated with the market instrument;

wherein the set of time periods is determined by applying the one or more date set computers based on the one or more parameters and the first time series.

22. The graphical user interface of claim 21, wherein:

the set of time periods comprises a set of date ranges; and

the set of date ranges is displayed on a chart as a set of shaded regions overlaying the graphical representation of the first time series.

23. The graphical user interface of claim 21, wherein:

the set of time periods comprises a set of specific dates; and

the set of specific dates is displayed on a chart as a set of vertical lines overlaying the graphical representation of the first time series.

24. The graphical user interface of claim 21, wherein the first content pane comprises:

one or more panels associated with the one or more date set computers; and

in each panel of the one or more panels, a drop-down box configured to receive the second user input that specifies a type of a date set computer associated that panel.

25. The graphical user interface of claim 24, wherein:

the one or more panels include a first panel associated with a first date set computer of the one or more date set computers, and a second panel associated with a second date set computer of the one or more date set computers; and

the first content pane further comprises a GUI component configured to receive third user input that specifies a combination of the first date set computer and the second date set computer, wherein the combination defines how any time periods generated by the first date set computer are related to any time periods generated by the second date set computer.

26. A machine-readable storage medium having one or more program instructions recorded thereon, which instructions, when executed by one or more processors, cause:

receiving first input that specifies a market instrument;

receiving second input that specifies one or more parameters for one or more date set computers that are associated with the market instrument;

receiving a first time series from a data repository, wherein the first time series is a sequence of data values associated with the market instrument;

extracting a set of time periods by applying the one or more date set computers based on the one or more parameters and the first time series; and

displaying the set of time periods overlaid on a graphical representation of the first time series in a graphical user interface.

27. The machine-readable medium of claim 26, wherein the set of time periods comprises a set of date ranges, wherein each date range of the set of date ranges includes a start date and an end date.

28. The machine-readable medium of claim 26, wherein the set of time periods comprises a set of specific dates.

29. The machine-readable medium of claim 26, wherein:

at least one parameter of the one or more parameters specifies a metric associated with the market instrument; and

the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause deriving the first time series by determining the sequence of data values for the metric associated with the market instrument.

30. The machine-readable medium of claim 29, wherein the metric is any one of:

a closing price of the market instrument;

volatility of the market instrument; and

relative strength index (RSI) of the market instrument.

31. The machine-readable medium of claim 26, wherein:

the one or more date set computers include a trending computer that identifies time periods in which the first time series is trending; and

the one or more parameters include a duration value and a precision value that define trends associated with the market instrument.

32. The machine-readable medium of claim 26, wherein:

the one or more date set computers include an above/below computer that identifies time periods in which the first time series is above or below a certain threshold; and

the one or more parameters include a range value and at least one parameter that specifies a metric for generating the first time series.

33. The machine-readable medium of claim 32, wherein the metric is any one of:

a relative strength index (RSI) metric;

a market capitalization metric;

a volume metric;

a historical volatility (HVol) metric; and

an implied volatility (IVol) metric.

34. The machine-readable medium of claim 26, wherein:

the one or more date set computers include a peaks/troughs computer; and

the one or more parameters include a value specifying the maximum duration of a peak or trough and one or more values specifying the minimum height of the peak or trough.

35. The machine-readable medium of claim 26, wherein:

the one or more date set computers include a first date set computer and a second date set computer; and

the one or more parameters specify a combination of the first date set computer and the second date set computer, wherein the combination defines how any time periods generated by the first date set computer are related to any time periods generated by the second date set computer.

36. The machine-readable medium of claim 35, wherein the combination is any one of a conjunctive combination and a disjunctive combination.

37. The machine-readable medium of claim 26, wherein:

the one or more date set computers include;

a first date set computer associated with a first metric specified by the one or more parameters; and

a second date set computer associated with a second metric specified by the one or more parameters;

the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause;

deriving the first time series for the first date set computer based on the first metric; and

deriving a second time series for the second date set computer based on the second metric;

the instructions that cause extracting the set of time periods further comprise instructions which, when executed by the one or more processors, cause;

determining first one or more time periods, of the set of time periods, by applying the first date set computer to the first time series; and

determining second one or more time periods, of the set of time periods, by applying the second date set computer to the second time series; and

the instructions that cause displaying the set of time periods further comprise instructions which, when executed by the one or more processors, cause displaying the first one or more time periods and the second one or more time periods on a chart, wherein the chart plots graphical representations of the first time series and the second time series.

38. The machine-readable medium of claim 26, wherein the market instrument is a first market instrument, wherein the first input further specifies a second market instrument, and wherein:

the one or more date set computers include;

a first date set computer associated with a first metric, wherein the first metric is specified by the one or more parameters and is associated with the first market instrument; and

a second date set computer associated with a second metric, wherein the second metric is specified by the one or more parameters and is associated with the second market instrument;

the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause;

deriving the first time series for the first date set computer based on the first metric; and

deriving a second time series for the second date set computer based on the second metric;

the instructions that cause extracting the set of time periods further comprise instructions which, when executed by the one or more processors, cause;

determining first one or more time periods, of the set of time periods, by applying the first date set computer to the first time series; and

determining second one or more time periods, of the set of time periods, by applying the second date set computer to the second time series; and

the instructions that cause displaying the set of time periods further comprise instructions which, when executed by the one or more processors, cause displaying the first one or more time periods and the second one or more time periods on a chart, wherein the chart plots graphical representations of the first time series and the second time series.

39. The machine-readable medium of claim 26, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause storing a market theme that comprises the one or more date set computers used to generate the set of time periods.

40. The machine-readable medium of claim 39, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

accessing a specific market theme that defines a time window over which correlation is to be performed;

determining the set of time periods within the time window by applying to the first time series the one or more date set computers stored in the market theme;

evaluating, over the set of time periods within the time window, a plurality of time series associated with a plurality of other market instruments; and

determining one or more other market instruments, of the plurality of other market instruments, which are correlated to the market instrument during the set of time periods within the time window.

41. The machine-readable medium of claim 39, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

accessing the market theme and retrieving the set of time periods; and

evaluating a trading strategy over the set of time periods to determine what result would have been obtained if the trading strategy were actually executed during the set of time periods, wherein the trading strategy involves one or more trading actions with respect to one or more market instruments.

42. The machine-readable medium of claim 39, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

accessing the market theme and retrieving the set of time periods; and

evaluating an aggregate statistic associated with a particular market instrument by analyzing a particular time series of the particular market instrument over the set of time periods.

43. The machine-readable medium of claim 39, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

receiving third input that specifies a set of market instruments;

accessing the market theme and retrieving the set of time periods; and

applying the set of time periods to a set of time series associated with the set of market instruments in order to determine how the set of market instruments would have performed during the set of time periods.

44. The machine-readable medium of claim 39, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

accessing the market theme and retrieving the set of time periods;

accessing a set of independent time series associated with one or more market instruments; and

performing a regression analysis of the set of independent time series over the set of time periods in order to model a dependent time series.

45. The machine-readable medium of claim 26, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

storing a market theme that comprises the one or more date set computers and the one or more parameters;

accessing the market theme and retrieving the one or more date set computers;

applying the one or more date set computers to current values for one or more metrics of a particular market instrument in order to determine whether a current time period is included in time periods that would be generated by applying the market theme for the particular market instrument; and

sending a notification when the current time period is included in the time periods for the particular market instrument.