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, historical activity of the trader on the exchange with recent activity of the trader on the exchange;
determining whether the recent activity varies from the historical activity;
correlating, by the processor, the recent activity of the trader on the exchange with a risk assessment when it is determined that the recent activity varies from the historical activity; and
computing, by the processor, an increased margin requirement based on the portfolio of products and the risk assessment.
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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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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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comparing, by a processor, historical activity of the trader on the exchange with recent activity of the trader on the exchange; determining whether the recent activity varies from the historical activity; correlating, by the processor, the recent activity of the trader on the exchange with a risk assessment when it is determined that the recent activity varies from the historical activity; and computing, by the processor, an increased margin requirement based on the portfolio of products and the risk assessment. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10)
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11. 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 recent activity of the trader on the exchange with stored historical activity of the trader on the exchange, determine whether the recent activity varies from the historical activity, correlate the recent activity of the trader on the exchange with a risk assessment when it is determined that the recent activity varies from the historical activity, and compute an increased margin requirement based on the portfolio of positions on products and the risk assessment. - View Dependent Claims (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 on an exchange, the method comprising:
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monitoring current activity on the exchange associated with the trader; comparing, by a processor, the current trading activity with stored past activity to correlate the current and stored past 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 activity. - View Dependent Claims (20)
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Specification