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:
- storing past trading activity in a database, wherein the past trading activity occurred before a predetermined time period;
comparing, by a processor, the trading activity for the predetermined time period with the stored past trading activity;
determining, by the processor, that trading activity of the portfolio of products on the exchange during the predetermined time period varies substantially from the stored past trading activity;
correlating, by the processor, trading activity of the portfolio of products on the exchange during the predetermined time period with an assessment of risk based on the determining; and
computing, by the processor, the margin requirement based on the portfolio of products and the assessment of risk wherein the margin requirement is increased if it is determined that the trading activity of the portfolio of products on the exchange during the predetermined time period varies substantially from the stored past trading activity.
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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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Citations
18 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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storing past trading activity in a database, wherein the past trading activity occurred before a predetermined time period; comparing, by a processor, the trading activity for the predetermined time period with the stored past trading activity; determining, by the processor, that trading activity of the portfolio of products on the exchange during the predetermined time period varies substantially from the stored past trading activity; correlating, by the processor, trading activity of the portfolio of products on the exchange during the predetermined time period with an assessment of risk based on the determining; and computing, by the processor, the margin requirement based on the portfolio of products and the assessment of risk wherein the margin requirement is increased if it is determined that the trading activity of the portfolio of products on the exchange during the predetermined time period varies substantially from the stored past trading activity. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. 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 database configured to store past trader activity; a memory configured to store trading activity associated with the portfolio of positions on products on the exchange during a trading time period; 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, wherein the processor is further configured to compare the trading activity for the trading time period with the stored past trader activity and compute the margin requirement based on the comparison, the margin requirement being increased when the activity during the trading time period substantially varies from the past trader activity. - View Dependent Claims (10, 11, 12, 13)
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14. 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 as a function of a variance between the current and past trading activity. - View Dependent Claims (15, 16, 17, 18)
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Specification