System and method for generating real-time indicators in a trading list or portfolio
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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Abstract
A system and method for detecting an abnormal trading condition of a security uses real-time and estimated values of one or more variables associated with the condition of the security to generate one or more analytic metrics that are compared to empirical distributions based on one or more peer groups for the security. An indicator can then be displayed to a trader as an indication of the abnormal condition.
84 Citations
96 Claims
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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:
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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. - 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, 30, 31, 32, 33)
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34. A system for generating an indicator of abnormality in the condition of a security traded on an exchange using real-time data from a remote source, said system comprising a computer including a processor and a memory device storing a set of machine readable instructions executable by said processor to:
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receive in real-time from the remote source a real-time value of a first variable related to a condition of the security;
retrieve historical market data for the security and estimate the value of the first variable based on the historical market data for the security;
calculate an analytic metric based on a relationship between the value received in real-time and the value obtained by estimating;
retrieve 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
compare the analytic quantity for the security with the empirical distribution of analytic metrics for the peer group to determine abnormality in the condition of the security. - View Dependent Claims (35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54, 55, 56, 57, 58, 59, 60, 61, 62, 63, 64, 65)
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66. A computer program product for generating an indicator of abnormality in the condition of a security traded on an exchange, said computer program product comprising a digital storage media and a set of machine readable instructions stored on said digital storage media, wherein said instructions are executable by a computer to:
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establish communication between the computer and a remote source;
receive a value of a first variable related to a condition of the security in real-time from the remote source;
retrieve historical market data for the security and estimate the value of the first variable based on the historical market data for the security;
calculate an analytic metric based on a relationship between the value received in real-time and the value obtained by estimating;
retrieve an empirical distribution of analytic quantities 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
compare the analytic quantity for the security with the empirical distribution of analytic quantities for the peer group to determine an abnormal condition of the security is abnormal. - View Dependent Claims (67, 68, 69, 70, 71, 72, 73, 74, 75, 76, 77, 78, 79, 80, 81, 82, 83, 84, 85, 86, 87, 88, 89, 90, 91, 92, 93, 94, 95, 96)
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Specification