Modeling financial instruments using bid and ask prices

  • US 8,156,035 B2
  • Filed: 04/13/2009
  • Issued: 04/10/2012
  • Est. Priority Date: 10/31/2005
  • Status: Expired due to Fees
First Claim
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1. A method for performing automated trades of at least one financial instrument, using a computer, the method comprising the steps of:

  • a) predicting by the computer at least one future value of a numerical investment significant parameter of each of the at least one financial instrument, the at least one future value of the numerical investment significant parameter of each financial instrument predicted using at least one of a bid stream of the bid prices of a corresponding financial instrument or an ask stream of the ask prices of the corresponding financial instrument;

    b) for each of the at least one financial instrument, using the computer, determining trend data of the corresponding financial instrument by comparing the at least one future value of the numerical investment significant parameter predicted in step (a) to at least one most recent actual value of the numerical investment significant parameter of the corresponding financial instrument;

    c) automatically placing a buy order for one of the financial instruments modeled in step (a) if the corresponding trend data determined in step (b) meets a buy criterion for the one of the financial instruments; and

    d) automatically placing a sell order for one of the financial instruments modeled in step (a) if the corresponding trend data determined in step (b) meets a sell criterion for the one of the financial instruments.

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