System and method for displaying and analyzing financial correlation data
First Claim
1. A method for displaying, on a display device, correlations between N financial instruments, each of the N financial instruments being represented via a graphical representation on the display device such that distances between the graphical representations correspond to the correlations, the method comprising:
- identifying, by a computing device, correlation data of the N financial instruments, the correlation data being stored in an N×
N matrix of correlations;
remapping, by the computing device, the correlation data in the matrix of correlations for display in an M-dimensional Euclidean space, wherein N is larger than M, the remapping including;
generating, by the computing device, a probability transition matrix from the matrix of correlations;
defining, by the computing device, a corresponding abstract distance measurement between any two of the financial instruments based on the probability transition matrix; and
assigning, by the computing device, coordinates in the M-dimensional Euclidean space to each of the financial instruments corresponding to non-unit eigenvalues of the probability transition matrix, wherein a Euclidean distance between said any two of the financial instruments in the Euclidean space approximates the corresponding abstract distance measurement;
selecting, by the computing device, M most significant eigenvalues of the probability transition matrix;
rendering, by the computing device, on the display device, views of the graphical representations of the financial instruments based on particular dimensions of the Euclidean space corresponding to the selected M eigen values;
rotating, zooming, or panning, by an input controller coupled to the computing device, the views of the graphical representations of the financial instruments on the display device in response to a first corresponding user commands;
displaying, by the computing device, an identifying label for each of the financial instruments in the M-dimensional Euclidean space; and
adjusting by the computing device, an attribute of the identifying label to correspond to a respective value of an additional numerical characteristic being displayed in the M-dimensional Euclidean space.
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Abstract
A method for displaying a matrix of correlations or other statistical measures of co-movement associated with a plurality of financial instruments, portfolios, indices, or asset classes is disclosed. The method includes: converting the matrix of correlations or other co-movement measures into a probability transition matrix; defining a corresponding abstract distance measurement between any two of the plurality of financial instruments, portfolios, indices, or asset classes based on the probability transition matrix; assigning coordinates in a Euclidean space to each of the plurality of financial instruments, portfolios, indices, or asset classes, wherein a Euclidean distance between any two financial instruments, portfolios, indices, or asset classes in the Euclidean space corresponds to the corresponding abstract distance measurement; and displaying on a display device the plurality of financial instruments, portfolios, indices, or asset classes based on more significant dimensions of the Euclidean space.
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Citations
33 Claims
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1. A method for displaying, on a display device, correlations between N financial instruments, each of the N financial instruments being represented via a graphical representation on the display device such that distances between the graphical representations correspond to the correlations, the method comprising:
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identifying, by a computing device, correlation data of the N financial instruments, the correlation data being stored in an N×
N matrix of correlations;
remapping, by the computing device, the correlation data in the matrix of correlations for display in an M-dimensional Euclidean space, wherein N is larger than M, the remapping including;generating, by the computing device, a probability transition matrix from the matrix of correlations; defining, by the computing device, a corresponding abstract distance measurement between any two of the financial instruments based on the probability transition matrix; and assigning, by the computing device, coordinates in the M-dimensional Euclidean space to each of the financial instruments corresponding to non-unit eigenvalues of the probability transition matrix, wherein a Euclidean distance between said any two of the financial instruments in the Euclidean space approximates the corresponding abstract distance measurement; selecting, by the computing device, M most significant eigenvalues of the probability transition matrix; rendering, by the computing device, on the display device, views of the graphical representations of the financial instruments based on particular dimensions of the Euclidean space corresponding to the selected M eigen values; rotating, zooming, or panning, by an input controller coupled to the computing device, the views of the graphical representations of the financial instruments on the display device in response to a first corresponding user commands; displaying, by the computing device, an identifying label for each of the financial instruments in the M-dimensional Euclidean space; and adjusting by the computing device, an attribute of the identifying label to correspond to a respective value of an additional numerical characteristic being displayed in the M-dimensional Euclidean space. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29)
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30. A system for displaying a correlations between N financial instruments, portfolios, indices, or asset classes, each of the N financial instruments, portfolios, indices, or asset classes being represented via a graphical representation on the display device such that distances between the graphical representations correspond to the correlations, the system comprising:
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computing device; a display device coupled to the computing device; and a nonvolatile storage device coupled to the computing device and storing instructions that, when executed by the computing device, respectively cause the computing device to; identify correlation data of the N financial instruments, the correlation data being stored in an N×
N matrix of correlations;remap the correlation data in the matrix of correlations for display in an M-dimensional Euclidean space, wherein N is larger than M, the remapping including; generate a probability transition matrix from the matrix of correlations; define a corresponding abstract distance measurement between any two of the financial instruments based on the probability transition matrix; and assign coordinates in the M-dimensional Euclidean space to each of the financial instruments corresponding to non-unit eigenvalues of the probability transition matrix, wherein a Euclidean distance between said any two of the financial instruments in the Euclidean space approximates the corresponding abstract distance measurement; select M most significant eigenvalues of the probability transition matrix; and render, on the display device, views of the financial instruments based on particular dimensions of the Euclidean space corresponding to the selected M eigenvalues; an input controller coupled to the computing device, the input controller for rotating, zooming, or panning the views of the graphical representations of the financial instruments on the display device in response to a corresponding user command. - View Dependent Claims (31, 32, 33)
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Specification