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:
- monitoring, by a processor, trading activity of a trader on the exchange;
comparing, by a processor, trading activity of the trader on the exchange subsequent to the monitored trading activity with the monitored trading activity;
correlating, by the processor, the subsequent trading activity with an assessment of risk based on a determination that the subsequent trading activity varies from the monitored 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 subsequent trading activity varies from the monitored 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
20 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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monitoring, by a processor, trading activity of a trader on the exchange; comparing, by a processor, trading activity of the trader on the exchange subsequent to the monitored trading activity with the monitored trading activity; correlating, by the processor, the subsequent trading activity with an assessment of risk based on a determination that the subsequent trading activity varies from the monitored 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 subsequent trading activity varies from the monitored trading activity. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. 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 monitor trading activity of a trader on the exchange, compare trading activity of the trader on the exchange subsequent to the monitored trading activity with the monitored trading activity, correlate the subsequent trading activity with an assessment of risk based on a determination that the subsequent trading activity varies from the monitored 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 subsequent trading activity varies from the monitored trading activity. - View Dependent Claims (11, 12, 13, 14, 15, 16, 17, 18)
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19. A method of determining a margin requirement for a portfolio of a trader, the method comprising:
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monitoring trading activity associated with the trader; comparing, by a processor, subsequent trading activity with the monitored trader activity to correlate the subsequent and monitored 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 subsequent and monitored trading activity. - View Dependent Claims (20)
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Specification