GENERATING DYNAMIC DATE SETS THAT REPRESENT MARKET CONDITIONS

• US 20120030140A1
• Filed: 10/11/2011
• Published: 02/02/2012
• Est. Priority Date: 03/30/2007
• Status: Active Grant

• Current Assignee: Andrew Aymeloglu, Garry Tan, Kevin Simler, Nick Miyake
• Original Assignee: Andrew Aymeloglu, Garry Tan, Kevin Simler, Nick Miyake
• Inventors: AYMELOGLU, Andrew, TAN, Garry, SIMLER, Kevin, MIYAKE, Nick
• Granted Patent: US 8,326,727 B2
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

In one embodiment, first input that specifies a market instrument is received. Second input that specifies one or more parameters for one or more date set computers associated with the market instrument is received. A first time series is received from a data repository, where the first time series is a sequence of data values associated with the market instrument. A set of time periods is extracted by applying the one or more date set computers based on the one or more parameters and the first time series. The set of time periods is displayed overlaid on a graphical representation of the first time series in a graphical user interface.

Claims

1. A machine-implemented method comprising:

receiving first input that specifies a market instrument;

receiving second input that specifies one or more parameters for one or more date set computers that are associated with the market instrument;

wherein the one or more parameters define one or more market conditions which include one or more of;

a trending condition which indicates that the first time series is trending up or down, an above/below condition which indicates that the first time series is above or below a certain threshold, and a peaks/troughs condition which indicates peaks or troughs in the first time series;

receiving a first time series from a data repository, wherein the first time series is a sequence of data values associated with the market instrument;

determining a set of time periods by applying the one or more date set computers based on the one or more parameters and the first time series;

displaying the set of time periods overlaid on a graphical representation of the first time series in a graphical user interface.

2. The method of claim 1, wherein the set of time periods comprises any of a set of date ranges, wherein each date range of the set of date ranges includes a start date and an end date, and a set of specific dates.

3. The method of claim 1, wherein at least one parameter of the one or more parameters specifies a metric associated with the market instrument;

the method further comprises deriving the first time series by determining the sequence of data values for the metric associated with the market instrument.

4. The method of claim 3, wherein the metric is any one of a closing price of the market instrument;

volatility of the market instrument;

relative strength index (RSI) of the market instrument.

5. The method of claim 1, wherein the one or more date set computers include a trending computer that identifies time periods in which the first time series is trending;

the one or more parameters include a duration value and a precision value that define trends associated with the market instrument.

6. The method of claim 1, wherein the one or more date set computers include an above/below computer that identifies time periods in which the first time series is above or below a certain threshold;

the one or more parameters include a range value and at least one parameter that specifies a metric for generating the first time series.

7. The method of claim 1, wherein the one or more date set computers include a peaks/troughs computer;

the one or more parameters include a value specifying the maximum duration of a peak or trough and one or more values specifying the minimum height of the peak or trough.

8. The method of claim 1, wherein the one or more date set computers include a first date set computer and a second date set computer;

the one or more parameters specify a combination of the first date set computer and the second date set computer, wherein the combination defines how any time periods generated by the first date set computer are related to any time periods generated by the second date set computer.

9. The method of claim 1, wherein the one or more date set computers include a first date set computer associated with a first metric specified by the one or more parameters and a second date set computer associated with a second metric specified by the one or more parameters;

wherein the method further comprises deriving the first time series for the first date set computer based on the first metric;

deriving a second time series for the second date set computer based on the second metric;

determining first one or more time periods, of the set of time periods, by applying the first date set computer to the first time series;

determining second one or more time periods, of the set of time periods, by applying the second date set computer to the second time series;

displaying the first one or more time periods and the second one or more time periods on a chart, wherein the chart plots graphical representations of the first time series and the second time series.

10. The method of claim 1, wherein the market instrument is a first market instrument, wherein the first input further specifies a second market instrument, and wherein the one or more date set computers include a first date set computer associated with a first metric, wherein the first metric is specified by the one or more parameters and is associated with the first market instrument;

a second date set computer associated with a second metric, wherein the second metric is specified by the one or more parameters and is associated with the second market instrument;

wherein the method further comprises;

deriving the first time series for the first date set computer based on the first metric;

deriving a second time series for the second date set computer based on the second metric;

determining first one or more time periods, of the set of time periods, by applying the first date set computer to the first time series;

determining second one or more time periods, of the set of time periods, by applying the second date set computer to the second time series;

displaying the first one or more time periods and the second one or more time periods on a chart, wherein the chart plots graphical representations of the first time series and the second time series.

11. The method of claim 1, further comprising storing a market theme that comprises the one or more date set computers used to generate the set of time periods.

12. The method of claim 11, further comprising:

accessing a specific market theme that defines a time window over which correlation is to be performed;

determining the set of time periods within the time window by applying to the first time series the one or more date set computers stored in the market theme;

evaluating, over the set of time periods within the time window, a plurality of time series associated with a plurality of other market instruments;

determining one or more other market instruments, of the plurality of other market instruments, which are correlated to the market instrument during the set of time periods within the time window.

13. The method of claim 1, further comprising:

storing a market theme that comprises the one or more date set computers and the one or more parameters;

accessing the market theme and retrieving the one or more date set computers;

applying the one or more date set computers to current values for one or more metrics of a particular market instrument in order to determine whether a current time period is included in time periods that would be generated by applying the market theme for the particular market instrument;

sending a notification when the current time period is included in the time periods for the particular market instrument.

14. A machine-readable storage medium having one or more program instructions recorded thereon, which instructions, when executed by one or more processors, cause:

receiving first input that specifies a market instrument;

receiving second input that specifies one or more parameters for one or more date set computers that are associated with the market instrument;

wherein the one or more parameters define one or more market conditions which include one or more of;

a trending condition which indicates that the first time series is trending up or down, an above/below condition which indicates that the first time series is above or below a certain threshold, and a peaks/troughs condition which indicates peaks or troughs in the first time series;

receiving a first time series from a data repository, wherein the first time series is a sequence of data values associated with the market instrument;

determining a set of time periods by applying the one or more date set computers based on the one or more parameters and the first time series;

displaying the set of time periods overlaid on a graphical representation of the first time series in a graphical user interface.

15. The machine-readable storage medium of claim 14, wherein the set of time periods comprises any of a set of date ranges, wherein each date range of the set of date ranges includes a start date and an end date, and a set of specific dates.

16. The machine-readable storage medium of claim 14, wherein at least one parameter of the one or more parameters specifies a metric associated with the market instrument;

wherein the machine-readable storage medium further comprises instructions which when executed cause deriving the first time series by determining the sequence of data values for the metric associated with the market instrument.

17. The machine-readable storage medium of claim 16, wherein the metric is any one of a closing price of the market instrument;

volatility of the market instrument;

relative strength index (RSI) of the market instrument.

18. The machine-readable storage medium of claim 14, wherein the one or more date set computers include a trending computer that identifies time periods in which the first time series is trending;

the one or more parameters include a duration value and a precision value that define trends associated with the market instrument.

19. The machine-readable storage medium of claim 14, wherein the one or more date set computers include an above/below computer that identifies time periods in which the first time series is above or below a certain threshold;

the one or more parameters include a range value and at least one parameter that specifies a metric for generating the first time series.

20. The machine-readable storage medium of claim 14, wherein the one or more date set computers include a peaks/troughs computer;

the one or more parameters include a value specifying the maximum duration of a peak or trough and one or more values specifying the minimum height of the peak or trough.

21. The machine-readable storage medium of claim 14, wherein the one or more date set computers include a first date set computer and a second date set computer;

the one or more parameters specify a combination of the first date set computer and the second date set computer, wherein the combination defines how any time periods generated by the first date set computer are related to any time periods generated by the second date set computer.

22. The machine-readable storage medium of claim 14, wherein the one or more date set computers include a first date set computer associated with a first metric specified by the one or more parameters and a second date set computer associated with a second metric specified by the one or more parameters;

wherein the machine-readable storage medium further comprises instructions which when executed cause deriving the first time series for the first date set computer based on the first metric;

deriving a second time series for the second date set computer based on the second metric;

determining first one or more time periods, of the set of time periods, by applying the first date set computer to the first time series;

determining second one or more time periods, of the set of time periods, by applying the second date set computer to the second time series;

displaying the first one or more time periods and the second one or more time periods on a chart, wherein the chart plots graphical representations of the first time series and the second time series.

23. The machine-readable storage medium of claim 14, wherein the market instrument is a first market instrument, wherein the first input further specifies a second market instrument, and wherein the one or more date set computers include a first date set computer associated with a first metric, wherein the first metric is specified by the one or more parameters and is associated with the first market instrument;

a second date set computer associated with a second metric, wherein the second metric is specified by the one or more parameters and is associated with the second market instrument;

wherein the machine-readable storage medium further comprises instructions which when executed cause deriving the first time series for the first date set computer based on the first metric;

deriving a second time series for the second date set computer based on the second metric;

determining first one or more time periods, of the set of time periods, by applying the first date set computer to the first time series;

determining second one or more time periods, of the set of time periods, by applying the second date set computer to the second time series;

displaying the first one or more time periods and the second one or more time periods on a chart, wherein the chart plots graphical representations of the first time series and the second time series.

24. The machine-readable storage medium of claim 14, further comprising instructions which when executed cause storing a market theme that comprises the one or more date set computers used to generate the set of time periods.

25. The machine-readable storage medium of claim 24, further comprising instructions which when executed cause:

accessing a specific market theme that defines a time window over which correlation is to be performed;

determining the set of time periods within the time window by applying to the first time series the one or more date set computers stored in the market theme;

evaluating, over the set of time periods within the time window, a plurality of time series associated with a plurality of other market instruments;

determining one or more other market instruments, of the plurality of other market instruments, which are correlated to the market instrument during the set of time periods within the time window.

26. The machine-readable storage medium of claim 14, further comprising instructions which when executed cause:

storing a market theme that comprises the one or more date set computers and the one or more parameters;

accessing the market theme and retrieving the one or more date set computers;

applying the one or more date set computers to current values for one or more metrics of a particular market instrument in order to determine whether a current time period is included in time periods that would be generated by applying the market theme for the particular market instrument;

sending a notification when the current time period is included in the time periods for the particular market instrument.