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System and method for activity based margining

  • US 8,311,934 B2
  • Filed: 01/06/2012
  • Issued: 11/13/2012
  • Est. Priority Date: 09/10/2004
  • Status: Active Grant
First Claim
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1. A method of determining a margin requirement for a portfolio of positions on products traded on an exchange by a trader, the method comprising:

  • comparing, by a processor, trading activity of the trader on the exchange for a predetermined time period with stored past trading activity of the trader on the exchange which occurred before the predetermined time period;

    correlating, by the processor, the trading activity during the predetermined time period with an assessment of risk based on a determination that the trading activity during the predetermined time period varies from the stored past trading activity; and

    computing, by the processor, the margin requirement based on a portfolio of products of the trader and the assessment of risk wherein the margin requirement is increased if it is determined that the trading activity during the predetermined time period varies from the stored past trading activity.

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