Fair Value Model for Futures
First Claim
Patent Images
1. A computer implemented method for determining fair-value prices of a futures contract of index i having foreign constituent securities, comprising the steps of:
- at a computer, receiving electronic data for the index i;
at a computer, calculating alpha (α
) and beta (β
) coefficients using a regression analysis, wherein the alpha (α
) coefficient represents a risk-adjusted measure of return on the index i, and the beta (β
) coefficient represents a metric that is related to a correlation between an overnight return of the index i and a proxy market;
at a computer, receiving a settlement price (SETTi) of the futures contract for index i; and
at a computer, calculating a fair-value adjusted price for the futures contract of index i based at least in part on the alpha (α
) and beta (β
) coefficients, the settlement price (SETTi) of the futures contract for index i, and at least one return of a predetermined factor (Zt) during a stale period.
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Accused Products
Abstract
A computer implemented method and system for determining fair-value prices of a futures contract of index i having foreign constituent securities includes using a computer to receive electronic data for the index i. A computer can be used to calculate alpha (α) and beta (β) coefficients using a regression analysis. The alpha (α) coefficient represents a risk-adjusted measure of return on the index i, and the beta (β) coefficient represents a metric that is related to a correlation between an overnight return of the index i and a proxy market. A computer can receive a settlement price (SETTi) for a futures contract for index i, and calculate a fair-value adjusted price for the futures contract of index i based at least in part on the alpha (α) and beta (β) coefficients, the futures contract settlement price (SETTi) for index i, and at least one return of a predetermined factor (Zt) during a stale period.
14 Citations
24 Claims
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1. A computer implemented method for determining fair-value prices of a futures contract of index i having foreign constituent securities, comprising the steps of:
-
at a computer, receiving electronic data for the index i; at a computer, calculating alpha (α
) and beta (β
) coefficients using a regression analysis, wherein the alpha (α
) coefficient represents a risk-adjusted measure of return on the index i, and the beta (β
) coefficient represents a metric that is related to a correlation between an overnight return of the index i and a proxy market;at a computer, receiving a settlement price (SETTi) of the futures contract for index i; and at a computer, calculating a fair-value adjusted price for the futures contract of index i based at least in part on the alpha (α
) and beta (β
) coefficients, the settlement price (SETTi) of the futures contract for index i, and at least one return of a predetermined factor (Zt) during a stale period. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A system for determining fair-value prices of a futures contract of index i having foreign constituent securities, the system comprising:
a fair-value computation server connected to an electronic data network and configured to receive electronic data for the index i from data sources via the electronic data network, to calculate alpha (α
) and beta (β
) coefficients using a regression analysis, receive a futures contract settlement price (SETTi) for index i, and calculate a fair-value adjusted price for the futures contract of index i based at least in part on the alpha (α
) and beta (β
) coefficients, the settlement price (SETTi) of the futures contract for index i, and at least one return of a predetermined factor (Zt) during a stale period, wherein the alpha (α
) coefficient represents a risk-adjusted measure of return on the index i, and the beta (β
) coefficient represents a metric that is related to a correlation between an overnight return of the index i and a proxy market.- View Dependent Claims (10, 11, 12, 13, 14, 15, 16)
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17. A system for determining fair-value prices of a futures contract of index i having foreign constituent securities, comprising:
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means for receiving electronic data for the index i; means for calculating alpha (α
) and beta (β
) coefficients using a regression analysis, wherein the alpha (α
) coefficient represents a risk-adjusted measure of return on the index i, and the beta (β
) coefficient represents a metric that is related to a correlation between an overnight return of the index i and a proxy market;means for receiving a settlement price (SETTi) of the futures contract for index i; and means for calculating a fair-value adjusted price for the futures contract of index i based at least in part on the alpha (α
) and beta (β
) coefficients, the settlement price of the futures contract (SETTi) for index i, and at least one return of a predetermined factor (Zt) during a stale period. - View Dependent Claims (18, 19, 20, 21, 22, 23, 24)
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Specification
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Current AssigneeVirtu ITG Software Solutions LLC
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Original AssigneeITG Software Solutions, Inc. (Virtu Financial, Inc.)
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InventorsNowak, Nicholas, Serbin, Vitaly
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Application NumberUS12/620,998Publication NumberTime in Patent OfficeDaysField of SearchUS Class Current705/36.RCPC Class CodesG06Q 40/06 Asset management; Financial...
