Modeling financial instruments using bid and ask prices
DCFirst Claim
1. A method for performing automated trades of at least one financial instrument, using a computer, the method comprising the steps of:
- a) predicting by the computer at least one future value of a numerical investment significant parameter of each of the at least one financial instrument, the at least one future value of the numerical investment significant parameter of each financial instrument predicted using at least one of a bid stream of the bid prices of a corresponding financial instrument or an ask stream of the ask prices of the corresponding financial instrument;
b) for each of the at least one financial instrument, using the computer, determining trend data of the corresponding financial instrument by comparing the at least one future value of the numerical investment significant parameter predicted in step (a) to at least one most recent actual value of the numerical investment significant parameter of the corresponding financial instrument;
c) automatically placing a buy order for one of the financial instruments modeled in step (a) if the corresponding trend data determined in step (b) meets a buy criterion for the one of the financial instruments; and
d) automatically placing a sell order for one of the financial instruments modeled in step (a) if the corresponding trend data determined in step (b) meets a sell criterion for the one of the financial instruments.
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Abstract
A method for modeling an investment significant parameter of a financial instrument, using a computer. At least one series of historical bid prices of the financial instrument or historical ask prices of the financial instrument is provided. A financial model type that has at least one variable parameter is selected. The variable parameter(s) of the selected financial model type is initialized. The series of historical bid prices and/or historical ask prices is applied to the initialized financial model type to estimate the variable parameter(s). The resulting model of the financial instrument may be used to predict future values of the investment significant parameter of the financial instrument. These predicted future values may be used to determine whether to perform automated trades of the financial instrument.
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Citations
27 Claims
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1. A method for performing automated trades of at least one financial instrument, using a computer, the method comprising the steps of:
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a) predicting by the computer at least one future value of a numerical investment significant parameter of each of the at least one financial instrument, the at least one future value of the numerical investment significant parameter of each financial instrument predicted using at least one of a bid stream of the bid prices of a corresponding financial instrument or an ask stream of the ask prices of the corresponding financial instrument; b) for each of the at least one financial instrument, using the computer, determining trend data of the corresponding financial instrument by comparing the at least one future value of the numerical investment significant parameter predicted in step (a) to at least one most recent actual value of the numerical investment significant parameter of the corresponding financial instrument; c) automatically placing a buy order for one of the financial instruments modeled in step (a) if the corresponding trend data determined in step (b) meets a buy criterion for the one of the financial instruments; and d) automatically placing a sell order for one of the financial instruments modeled in step (a) if the corresponding trend data determined in step (b) meets a sell criterion for the one of the financial instruments. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27)
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Specification