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System and method for generating real-time indicators in a trading list or portfolio

  • US 20070143198A1
  • Filed: 06/29/2006
  • Published: 06/21/2007
  • Est. Priority Date: 06/29/2005
  • Status: Active Grant
First Claim
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1. A method of detecting an abnormal condition of a security traded on an exchange, said method comprising the steps of:

  • receiving in real-time a value of a first variable related to a condition of the security;

    estimating the value of the first variable based on historical market data for the security;

    calculating an analytic metric based on a relationship between the value obtained by real-time monitoring and the value obtained by estimating;

    retrieving an empirical distribution of analytic metrics for a peer group of the security, wherein the empirical distribution is based on a relationship of empirical values of the first variable for members of the peer group; and

    comparing the analytic metric for the security with the empirical distribution of analytic metrics for the peer group to determine whether the condition of the security is abnormal.

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