System and method for determining implied market information
First Claim
1. A method for determining implied market information in an electronic market environment, the method comprising:
- selecting by a computing device a first tradable object;
generating by the computing device a plurality of identity vectors, each identity vector representing a different tradable object of a plurality of tradable objects related to the first tradable object, wherein the plurality of tradable objects includes the first tradable object, and wherein each identity vector is of a dimension equal to a number of tradable objects in the plurality of tradable objects;
generating by the computing device a plurality of definition vectors, each definition vector representing a strategy market comprising two or more of the plurality of tradable objects, wherein each definition vector is of a dimension equal to the number of tradable objects in the plurality of tradable objects;
determining by the computing device a plurality of market combinations associated with the plurality of tradable objects, wherein each of the plurality of market combinations represents the first tradable object, wherein each market combination is expressed as a market combination vector of a dimension equal to the number of tradable objects in the plurality of tradable objects, and wherein each market combination vector is a sum of at least two vectors from the identity vectors and the definition vectors corresponding to at least two tradable objects associated with the market combination; and
determining by the computing device implied market information for the first tradable object using the plurality of market combinations.
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Accused Products
Abstract
Implied prices and their quantities are computed. Markets are characterized by exhaustively computing one or more combinations of other related markets. Each combination when summed in a particular way results in the market under consideration. In a described embodiment, the number of market combinations found is an exhaustive list of market combinations such that the market under consideration can be fully and completely characterized, such that each combination provides implied market information about the market under consideration. Implied market information can include implied prices and their quantities, which are computed for each combination and used accordingly in displays or used by automated or semi-automated trading tools.
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Citations
10 Claims
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1. A method for determining implied market information in an electronic market environment, the method comprising:
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selecting by a computing device a first tradable object; generating by the computing device a plurality of identity vectors, each identity vector representing a different tradable object of a plurality of tradable objects related to the first tradable object, wherein the plurality of tradable objects includes the first tradable object, and wherein each identity vector is of a dimension equal to a number of tradable objects in the plurality of tradable objects; generating by the computing device a plurality of definition vectors, each definition vector representing a strategy market comprising two or more of the plurality of tradable objects, wherein each definition vector is of a dimension equal to the number of tradable objects in the plurality of tradable objects; determining by the computing device a plurality of market combinations associated with the plurality of tradable objects, wherein each of the plurality of market combinations represents the first tradable object, wherein each market combination is expressed as a market combination vector of a dimension equal to the number of tradable objects in the plurality of tradable objects, and wherein each market combination vector is a sum of at least two vectors from the identity vectors and the definition vectors corresponding to at least two tradable objects associated with the market combination; and determining by the computing device implied market information for the first tradable object using the plurality of market combinations. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A computer readable medium having stored therein instructions for execution on a computer to perform the following method steps:
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selecting by a computing device a first tradable object; generating by the computing device a plurality of identity vectors, each identity vector representing a different tradable object of a plurality of tradable objects related to the first tradable object, wherein the plurality of tradable objects includes the first tradable object, and wherein each identity vector is of a dimension equal to a number of tradable objects in the plurality of tradable objects; generating by the computing device a plurality of definition vectors, each definition vector representing a strategy market comprising two or more of the plurality of tradable objects, wherein each definition vector is of a dimension equal to the number of tradable objects in the plurality of tradable objects; determining by the computing device a plurality of market combinations associated with the plurality of tradable objects, wherein each of the plurality of market combinations represents the first tradable object, wherein each market combination is expressed as a market combination vector of a dimension equal to the number of tradable objects in the plurality of tradable objects, and wherein each market combination vector is a sum of at least two vectors from the identity vectors and the definition vectors corresponding to at least two tradable objects associated with the market combination; and determining by the computing device implied market information for the first tradable object using the plurality of market combinations.
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Specification