System and method for activity based margining
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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Abstract
A system and method for factoring in a trader'"'"'s trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).
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Citations
26 Claims
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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:
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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. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
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12. A system for determining margin requirements for a portfolio of positions on products traded on an exchange by a trader, the system comprising:
a processor configured to compare 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, correlate 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 compute 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. - View Dependent Claims (13, 14, 15, 16, 17, 18, 19, 20, 21)
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22. A method of determining a margin requirement for a portfolio of a trader, the method comprising:
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monitoring current trading activity associated with the trader; comparing, by a processor, the current trading activity with stored past trader activity to correlate the current and stored past trading activity with an assessment of risk; and computing, by the processor, the margin requirement based on the comparison as a function of a variance between the current and past trading activity. - View Dependent Claims (23, 24, 25, 26)
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Specification