SYSTEM AND METHOD FOR ACTIVITY BASED MARGINING
First Claim
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1. A method of determining a margin requirement for a portfolio of products traded on an exchange, the method comprising:
- correlating, by a processor, trading activity of the portfolio of products on the exchange during a predetermined time period with an assessment of risk; and
computing, by the processor, the margin requirement based on the portfolio of products and the assessment of risk.
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Abstract
A system and method for factoring in a trader'"'"'s trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).
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20 Claims
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1. A method of determining a margin requirement for a portfolio of products traded on an exchange, the method comprising:
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correlating, by a processor, trading activity of the portfolio of products on the exchange during a predetermined time period with an assessment of risk; and computing, by the processor, the margin requirement based on the portfolio of products and the assessment of risk. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A system for determining margin requirements for a portfolio of positions on products traded on an exchange, the system comprising:
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a memory configured to store trading activity associated with the portfolio of positions on products on the exchange during a trading period; and a processor configured to correlate the trading activity with an assessment of risk and compute the margin requirement based on the portfolio of positions of products and the assessment of risk. - View Dependent Claims (11, 12, 13, 14, 15)
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16. A method of determining a margin requirement for a portfolio, the method comprising:
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storing past trader activity in a database; monitoring current trading activity associated with the portfolio; comparing, by a processor, the current trading activity with the stored past trader activity to correlate the portfolio with an assessment of risk; and computing, by the processor, the margin requirement based on the comparison. - View Dependent Claims (17, 18, 19, 20)
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Specification