Generating dynamic date sets that represent market conditions

• US 8,036,971 B2
• Filed: 03/30/2007
• Issued: 10/11/2011
• Est. Priority Date: 03/30/2007
• Status: Active Grant

• Current Assignee: Palantir Technologies Incorporated
• Original Assignee: Palantir Technologies Incorporated
• Inventors: Miyake, Nick, Tan, Garry, Simler, Kevin, Aymeloglu, Andrew
• Primary Examiner(s): Patel; Jagdish
• Assistant Examiner(s): Bartley; Kenneth
• Application Number:
  US11/731,534
• Publication Number:
  US 20080243711A1
• Time in Patent Office: 1,656 Days
• Field of Search: 705/35, 705/36.R
• US Class Current: 705/36.00R
• 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 steps of:

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;

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, during which one or more market conditions existed for the market instrument, by applying the one or more date set computers based on the first time series and the one or more parameters, wherein when applied the one or more date set computers return the set of time periods, wherein the one or more parameters define the 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;

wherein each of the one or more date set computers comprises a set of instructions which, when executed by one or more processors, cause the one or more processors to examine the first time series and to determine one or more of the set of time periods during which the one or more market conditions existed for the market instrument;

wherein the set of time periods comprises;

a set of date ranges, wherein each date range of the set of date ranges includes a start date and an end date;

or

a set of specific dates; and

displaying a set of graphical representations that respectively correspond to the set of time periods overlaid on a graphical representation of the first time series in a graphical user interface, wherein the set of graphical representations indicate the set of time periods and the one or more market conditions which existed for the market instrument during the set of time periods;

wherein the steps of the method are performed by one or more computer systems.

2. The method of claim 1, wherein:

at least one parameter of the one or more parameters specifies a metric associated with the market instrument; and

prior to being received, the first time series is derived by determining the sequence of data values for the metric associated with the market instrument.

3. The method of claim 2, wherein the metric is any one of:

a closing price of the market instrument;

volatility of the market instrument; and

relative strength index (RSI) of the market instrument.

4. The method of claim 1, wherein:

the one or more date set computers are configured to identify time periods in which the first time series is trending; and

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

5. The method of claim 1, wherein:

the one or more date set computers are configured to identify time periods in which the first time series is above or below the certain threshold; and

the one or more parameters include a range value and a metric for generating the first time series.

6. The method of claim 5, wherein the metric is any one of:

a relative strength index (RSI) metric;

a market capitalization metric;

a volume metric;

a historical volatility (HVol) metric; and

an implied volatility (IVol) metric.

7. The method of claim 1, wherein:

the one or more date set computers are configured to identify time periods in which the first time series is at a peak or trough; and

the one or more parameters include a value specifying the maximum duration of the 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; and

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 8, wherein the combination is any one of a conjunctive combination and a disjunctive combination.

10. The method of claim 1, further comprising storing a market theme that comprises two or more of the date set computers used to generate the set of time periods and a combination function.

11. The method of claim 10, 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; and

correlating the market instrument to one or more other market instruments, of the plurality of other market instruments, during the set of time periods within the time window.

12. The method of claim 10, further comprising:

accessing the market theme and retrieving the set of time periods; and

evaluating a trading strategy over the set of time periods to determine what result would have been obtained if the trading strategy were actually executed during the set of time periods, wherein the trading strategy involves one or more trading actions with respect to one or more market instruments.

13. The method of claim 10, further comprising:

accessing the market theme and retrieving the set of time periods; and

evaluating an aggregate statistic associated with a particular market instrument by analyzing a particular time series of the particular market instrument over the set of time periods.

14. The method of claim 10, further comprising:

receiving third input that specifies a set of market instruments;

accessing the market theme and retrieving the set of time periods; and

applying the set of time periods to a set of time series associated with the set of market instruments in order to determine how the set of market instruments would have performed during the set of time periods.

15. The method of claim 10, further comprising:

accessing the market theme and retrieving the set of time periods;

accessing a set of independent time series associated with one or more market instruments; and

performing a regression analysis over values in the set of independent time series to model a dependent time series.

16. 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; and

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

17. A non-transitory machine-readable storage medium storing one or more program instructions that comprise instructions which, when executed by one or more processors, cause the one or more processors to perform steps 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;

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, during which one or more market conditions existed for the market instrument, by applying the one or more date set computers based on the first time series and the one or more parameters, wherein when applied the one or more date set computers return the set of time periods, wherein the one or more parameters define the 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;

wherein each of the one or more date set computers comprises a set of instructions which, when executed by the one or more processors, cause the one or more processors to examine the first time series and to determine one or more of the set of time periods during which the one or more market conditions existed for the market instrument;

wherein the set of time periods comprises;

a set of date ranges, wherein each date range of the set of date ranges includes a start date and an end date;

or

a set of specific dates; and

displaying a set of graphical representations that respectively correspond to the set of time periods overlaid on a graphical representation of the first time series in a graphical user interface, wherein the set of graphical representations indicate the set of time periods and the one or more market conditions which existed for the market instrument during the set of time periods.

18. The machine-readable medium of claim 17, wherein:

at least one parameter of the one or more parameters specifies a metric associated with the market instrument; and

prior to being received, the first time series is derived by determining the sequence of data values for the metric associated with the market instrument.

19. The machine-readable medium of claim 18, wherein the metric is any one of:

a closing price of the market instrument;

volatility of the market instrument; and

relative strength index (RSI) of the market instrument.

20. The machine-readable medium of claim 17, wherein:

the one or more date set computers are configured to identify time periods in which the first time series is trending; and

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

21. The machine-readable medium of claim 17, wherein:

the one or more date set computers are configured to identify time periods in which the first time series is above or below the certain threshold; and

the one or more parameters include a range value and a metric for generating the first time series.

22. The machine-readable medium of claim 21, wherein the metric is any one of:

a relative strength index (RSI) metric;

a market capitalization metric;

a volume metric;

a historical volatility (HVol) metric; and

an implied volatility (IVol) metric.

23. The machine-readable medium of claim 17, wherein:

the one or more date set computers are configured to identify time periods in which the first time series is at a peak or trough; and

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

24. The machine-readable medium of claim 17, wherein:

the one or more date set computers include a first date set computer and a second date set computer; and

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.

25. The machine-readable medium of claim 24, wherein the combination is any one of a conjunctive combination and a disjunctive combination.

26. The machine-readable medium of claim 17, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause storing a market theme that comprises two or more of the date set computers used to generate the set of time periods and a combination function.

27. The machine-readable medium of claim 26, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, 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; and

correlating the market instrument to one or more other market instruments, of the plurality of other market instruments, during the set of time periods within the time window.

28. The machine-readable medium of claim 26, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

accessing the market theme and retrieving the set of time periods; and

evaluating a trading strategy over the set of time periods to determine what result would have been obtained if the trading strategy were actually executed during the set of time periods, wherein the trading strategy involves one or more trading actions with respect to one or more market instruments.

29. The machine-readable medium of claim 26, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

accessing the market theme and retrieving the set of time periods; and

evaluating an aggregate statistic associated with a particular market instrument by analyzing a particular time series of the particular market instrument over the set of time periods.

30. The machine-readable medium of claim 26, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

receiving third input that specifies a set of market instruments;

accessing the market theme and retrieving the set of time periods; and

applying the set of time periods to a set of time series associated with the set of market instruments in order to determine how the set of market instruments would have performed during the set of time periods.

31. The machine-readable medium of claim 26, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, cause:

accessing the market theme and retrieving the set of time periods;

accessing a set of independent time series associated with one or more market instruments; and

performing a regression analysis over values in the set of independent time series to model a dependent time series.

32. The machine-readable medium of claim 17, wherein the one or more program instructions further comprise instructions which, when executed by the one or more processors, 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; and

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