System and method for generating real-time indicators in a trading list or portfolio
First Claim
Patent Images
1. A computer implemented method of detecting an abnormal condition of a security traded on an exchange, said method comprising the steps of:
- receiving on a computer in real-time data from a remote data source via a digital communications link including a value of a first variable related to a condition of a first security;
estimating with a computer the value of the first variable based on historical market data for the first security;
calculating with a computer a first analytic metric based on a relationship between the value obtained by real-time monitoring and the value obtained by estimating;
retrieving with a computer a plurality of values of the first variable related to the condition of each of a plurality of securities in a peer group of the first security;
estimating with a computer a plurality of values of the first variable based on historical market data for each of the plurality of securities in the peer group;
calculating with a computer an empirical distribution of analytic metrics for the peer group, wherein the analytic metrics are based on relationships between the values of the first variable retrieved for members of the peer group and the values obtained by estimating;
comparing with a computer the first analytic metric for the first security with the empirical distribution of analytic metrics for the peer group to determine whether the condition of the first security is abnormal; and
displaying on a computer display an indicator reflective of abnormality in the condition of the first security.
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Abstract
A system and method for detecting an abnormal trading condition of a security uses real-time and estimated values of one or more variables associated with the condition of the security to generate one or more analytic metrics that are compared to empirical distributions based on one or more peer groups for the security. An indicator can then be displayed to a trader as an indication of the abnormal condition.
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Citations
26 Claims
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1. A computer implemented method of detecting an abnormal condition of a security traded on an exchange, said method comprising the steps of:
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receiving on a computer in real-time data from a remote data source via a digital communications link including a value of a first variable related to a condition of a first security; estimating with a computer the value of the first variable based on historical market data for the first security; calculating with a computer a first analytic metric based on a relationship between the value obtained by real-time monitoring and the value obtained by estimating; retrieving with a computer a plurality of values of the first variable related to the condition of each of a plurality of securities in a peer group of the first security; estimating with a computer a plurality of values of the first variable based on historical market data for each of the plurality of securities in the peer group; calculating with a computer an empirical distribution of analytic metrics for the peer group, wherein the analytic metrics are based on relationships between the values of the first variable retrieved for members of the peer group and the values obtained by estimating; comparing with a computer the first analytic metric for the first security with the empirical distribution of analytic metrics for the peer group to determine whether the condition of the first security is abnormal; and displaying on a computer display an indicator reflective of abnormality in the condition of the first security. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13)
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14. A system for generating an indicator of abnormality in the condition of a security traded on an exchange using real-time data from a remote source, said system comprising:
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a computer including a processor and a memory device storing a set of machine readable instructions executable by said processor; means for receiving data in real-time from the remote source via a digital communications link electronic including a real-time value of a first variable related to a condition of a first security; and estimate means for retrieving historical market data for the first security and estimating the value of the first variable based on the historical market data for the first security; means for calculating a first analytic metric for the first security based on a relationship between the value received in real-time and the value obtained by estimating; means for retrieving a plurality of values of the first variable related to the condition of each of a plurality of securities in a peer group of the first security; means for estimating a plurality of values of the first variable based on historical market data for each of the plurality of securities in the peer group; means for calculating an empirical distribution of analytic metrics for the peer group, wherein the analytic metrics are based on relationships between the values of the first variable retrieved for members of the peer group and the values obtained by estimating; means for comparing the first analytic metric for the first security with the empirical distribution of analytic metrics for the peer group to determine abnormality in the condition of the first security; and means for displaying an indicator reflective of abnormality in the condition of the first security. - View Dependent Claims (15, 16, 17, 18, 19, 20, 21, 22, 23, 24)
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25. A computer program product for generating an indicator of abnormality in the condition of a security traded on an exchange, said computer program product comprising a digital storage media and a set of machine readable instructions stored on said digital storage media, wherein said instructions are executable by a computer to:
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establish communication between the computer and a remote source; receive electronic data via a digital communications link including a value of a first variable related to a condition of a first security in real-time from the remote source; retrieve historical market data for the first security and estimate the value of the first variable based on the historical market data for the first security; calculate a first analytic metric based on a relationship between the value received in real-time and the value obtained by estimating; retrieve a plurality of values of the first variable related to the condition of each of a plurality of securities in a peer group of the first security; estimate a plurality of values of the first variable based on historical market data for each of the plurality of securities in the peer group; calculate an empirical distribution of analytic metrics for the peer group, wherein the analytic metrics are based on relationships between the values of the first variable retrieved for members of the peer group and the values obtained by estimating; compare the first analytic metric for the first security with the empirical distribution of analytic quantities for the peer group to determine whether a condition of the first security is abnormal; and display an indication reflective of abnormality in the condition of the first security. - View Dependent Claims (26)
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Specification