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System and method for activity based margining

  • US 8,595,126 B2
  • Filed: 10/11/2012
  • Issued: 11/26/2013
  • 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:

  • 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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