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Systems for switch auctions utilizing risk position portfolios of a plurality of traders

  • US 6,996,540 B1
  • Filed: 10/05/2000
  • Issued: 02/07/2006
  • Est. Priority Date: 10/14/1997
  • Status: Expired due to Term
First Claim
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1. A system for performing a switch auction utilizing financial instruments portfolios related to at least a first trader and a second trader, comprising:

  • means for receiving financial instrument portfolios inputted by at least said first and second traders;

    means for calculating relative risk positions for said first and second traders based on the financial instrument portfolios obtained from the means for receiving financial instrument portfolios;

    means for determining an auction price based on the financial instrument portfolios obtained from the means for receiving financial instrument portfolios; and

    means for matching offsetting risk positions of said first and second traders using the relative risk positions and the auction price, and based on credit preferences of said first and second traders.

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