Apparatus, Method and System for Designing and Trading Macroeconomic Investment Views
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Abstract
The disclosure details the implementation of an apparatus, method, and system for a macroeconomic equity investment design and trade system (the Wavefront system). The disclosure teaches a set of quantitative tools to help investors design trades around macro themes. Part of the approach is a linked set of models called Wavefronts, which describe how economic shocks ripple through the economy into company performance, market value and equity returns in the US market. In one embodiment, the modeling may be viewed as having in three parts. The first converts an economic shock into a comprehensive set of shifts in the economy. The second takes those economic shifts and drives them into company fundamentals. The third values those fundamentals based on what the market normally pays. As a consequence, the Wavefront system maps economic views and risks into predictions of what the market will pay for those changes, and the industries and companies that will over- and under-perform, which allows for and results in the construction of more risk-efficient portfolios. In an alternative embodiment, the Wavefront system may also inverse the progression of the three parts to uncover and move industry specific information to uncover macroeconomic themes.
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Citations
64 Claims
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1-7. -7. (canceled)
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8. A computer-implemented method for trading securities, comprising:
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generating on a computer system an economic model on a computer system, including, tracking economic triggering events, tracking on the computer system other economic events, and generating on the computer system a measure of impact of an economic triggering event on all economic events throughout the economic triggering event; generating on the computer system a valuation model, including; tracking economic sector performance, tracking company performance, generating a measure of impact of the economic triggering event on economic sector performance throughout the economic triggering event, and generating on the computer system a measure of impact of the economic triggering event on company performance throughout the economic triggering event; linking on the computer system the economic and valuation models, wherein valuation performance is aggregated back into the economic model; and transmitting on the computer system an execution order to execute at least one securities trade based on linked economic and valuation model forecasts. - View Dependent Claims (9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25)
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26-56. -56. (canceled)
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57. A non-transitory medium readable by a processor to trade securities, comprising:
instruction signals in the processor readable medium, wherein the instruction signals are issuable by the processor to; generate an economic model on a computer system, including, track economic triggering events, track other economic events, and generate a measure of impact of an economic triggering event on all economic events throughout the economic triggering event; generate a valuation model, including; track economic sector performance, track company performance, generate a measure of impact of the economic triggering event on economic sector performance throughout the economic triggering event, and generate a measure of impact of the economic triggering event on company performance throughout the economic triggering event; link the economic and valuation models, wherein valuation performance is aggregated back into the economic model; and transmit an execution order to execute at least one securities trade based on linked economic and valuation model forecasts.
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58-62. -62. (canceled)
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63. An apparatus to trade securities, comprising:
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a memory; a processor disposed in communication with said memory, and configured to issue a plurality of processing instructions stored in the memory, wherein the instructions issue signals to; generate an economic model on a computer system, including, track economic triggering events; track other economic events; generate a measure of impact of an economic triggering event on all economic events throughout the economic triggering event; generate a valuation model, including; track economic sector performance, track company performance, generate a measure of impact of the economic triggering event on economic sector performance throughout the economic triggering event, generate a measure of impact of the economic triggering event on company performance throughout the economic triggering event; link the economic and valuation models, wherein valuation performance is aggregated back into the economic model; and transmit an execution order to execute at least one securities trade based on linked economic and valuation model forecasts.
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64-66. -66. (canceled)
Specification