公开(公告)号：US07533048B2

公开(公告)日：2009-05-12

申请号：US10405640

申请日：2003-04-03

申请人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zalutsky ,  Artem Asriev ,  Gabriel Butler

发明人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zalutsky ,  Artem Asriev ,  Gabriel Butler

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/06

摘要： A method for determining fair value prices of financial securities of international markets includes the steps of selecting a universe of securities of a particular international market; computing overnight returns of each security in the selected universe over a predetermined past period of time; selecting at least one return factor of a domestic financial market from a plurality of return factors; computing, for each selected return factor, the return factor's daily return over said predetermined past period of time; calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return; and storing each calculated return factor coefficient in a data file; wherein the stored return factor coefficients can be used in conjunction with current return factor daily return values to predict current overnight returns for all securities in the selected universe of securities, which predicted current overnight returns can be used in conjunction with closing prices on said particular international market of each security of said selected universe to determine a fair value price of each security of the selected universe. A system and computer program product for implementing the method also are provided.

摘要翻译： 确定国际市场金融证券公允价值的一种方法包括选择一个特定国际市场的证券世界的步骤; 在预定的过去一段时间内计算所选宇宙中每个安全性的过夜回报; 从多个回归因素中选择国内金融市场的至少一个回报因子; 对于每个所选择的返回因子，计算所述预定的过去时间段内的所述返回因子的每日回报; 通过执行时间序列回归来计算每个选定回报因子的每个证券的回报因子系数，以获得每个返回因子对证券的隔夜回报的回报的贡献; 并将每个计算的返回因子系数存储在数据文件中; 其中所存储的回报因子系数可以与当前的回报因子每日回报值一起使用，以预测所选证券领域中的所有证券的当前隔夜回报，其预测当前的隔夜回报可以与所述特定国际的收盘价一起使用 所选择的宇宙的每个安全性的市场，以确定所选择的宇宙的每个安全性的公允价值。 还提供了一种用于实现该方法的系统和计算机程序产品。

公开(公告)号：US08407127B2

公开(公告)日：2013-03-26

申请号：US13494225

申请日：2012-06-12

申请人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zalutsky ,  Artem Asriev ,  Gabriel Butler

发明人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zalutsky ,  Artem Asriev ,  Gabriel Butler

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/06

摘要： A system for determining fair value prices of financial securities of international markets includes selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and producing each calculated return factor coefficient in a data stream.

摘要翻译： 确定国际市场金融证券的公允价值价格的制度包括选择特定国际市场的证券的一个宇宙，在预定的过去一段时间内计算所选择的宇宙中每个证券的过夜回报，选择至少一个返回因子 根据多个返回因子对国内金融市场进行计算，对于每个所选择的返还因子，计算所述预定的过去时间段内的所述返回因子的每日回报，针对每个所选择的返回因子计算所选择的每个证券的返还因子系数 通过执行时间序列回归来获得每个返回因子对安全的隔夜回报的回报的贡献，并产生数据流中的每个计算的返回因子系数。

公开(公告)号：US20090281963A1

公开(公告)日：2009-11-12

申请号：US12463655

申请日：2009-05-11

申请人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zaltusky ,  Artem Asriev ,  Gabriel Butler

发明人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zaltusky ,  Artem Asriev ,  Gabriel Butler

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/06

摘要： A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.

摘要翻译： 确定国际市场金融证券的公允价值价格的制度和方法包括选择一个特定国际市场的证券的一个整体的步骤，在预定的过去一段时间内计算所选择的宇宙中每个证券的过夜回报，至少选择 根据多个返回因子计算国内金融市场的一个回归因子，对于每个选定的返回因子，计算所述预定的过去时间段内的返回因子的每日回报，针对每个所选择的返回因子计算每个返回因子的每个返回因子系数 通过执行时间序列回归以获得每个返回因子对安全性的隔夜返回的回报的贡献，并将每个计算的返回因子系数存储在数据文件中，在所选择的宇宙中的安全性。

公开(公告)号：US08015094B2

公开(公告)日：2011-09-06

申请号：US12463655

申请日：2009-05-11

申请人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zaltusky ,  Artem Asriev ,  Gabriel Butler

发明人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zaltusky ,  Artem Asriev ,  Gabriel Butler

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/06

摘要： A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.

摘要翻译： 确定国际市场金融证券的公允价值价格的制度和方法包括选择一个特定国际市场的证券的一个整体的步骤，在预定的过去一段时间内计算所选择的宇宙中每个证券的过夜回报，至少选择 根据多个返回因子计算国内金融市场的一个回归因子，对于每个选定的返回因子，计算所述预定的过去时间段内的返回因子的每日回报，针对每个所选择的返回因子计算每个返回因子的每个返回因子系数 通过执行时间序列回归以获得每个返回因子对安全性的隔夜返回的回报的贡献，并将每个计算的返回因子系数存储在数据文件中，在所选择的宇宙中的安全性。

公开(公告)号：US08200566B2

公开(公告)日：2012-06-12

申请号：US13224780

申请日：2011-09-02

申请人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zaltusky ,  Artem Asriev ,  Gabriel Butler

发明人： Ananth Madhavan ,  Jian Yang ,  Leonid Zosin ,  Konstantin Zaltusky ,  Artem Asriev ,  Gabriel Butler

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/06

摘要： A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.

摘要翻译： 确定国际市场金融证券的公允价值价格的制度和方法包括选择一个特定国际市场的证券的一个整体的步骤，在预定的过去一段时间内计算所选择的宇宙中每个证券的过夜回报，至少选择 根据多个返回因子计算国内金融市场的一个回归因子，对于每个选定的返回因子，计算所述预定的过去时间段内的返回因子的每日回报，针对每个所选择的返回因子计算每个返回因子的每个返回因子系数 通过执行时间序列回归以获得每个返回因子对安全性的隔夜返回的回报的贡献，并将每个计算的返回因子系数存储在数据文件中，在所选择的宇宙中的安全性。

公开(公告)号：US20070299758A1

公开(公告)日：2007-12-27

申请号：US11730750

申请日：2007-04-03

申请人： Leonid Zosin ,  Ananth Madhavan ,  Ian Domowitz

发明人： Leonid Zosin ,  Ananth Madhavan ,  Ian Domowitz

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： Methods and systems for optimizing a plurality of portfolios, each portfolio including one or more shares of one or more tradable assets, and may include the steps of: receiving asset data associated with the plurality of the portfolios; receiving one or more optimization constraints including at least one global constraint defining a constraint to be applied across an aggregate of the plurality of portfolios; for each portfolio, optimizing the asset data based on the one or more optimization constraints to create optimized portfolio data; aggregating the optimized portfolio data to create aggregate optimized asset data; determining if the aggregate optimized asset data satisfies the at least one global constraint; and only if the at least one global constraint is satisfied, outputting the optimized asset data.

摘要翻译： 用于优化多个投资组合的方法和系统，每个投资组合包括一个或多个可交易资产的一个或多个股份，并且可以包括以下步骤：接收与所述多个投资组合相关联的资产数据; 接收一个或多个优化约束，所述优化约束包括至少一个全局约束，所述约束定义要跨所述多个投资组合的聚合应用的约束; 对于每个投资组合，基于一个或多个优化约束优化资产数据以创建优化的投资组合数据; 聚合优化的投资组合数据以创建聚合优化的资产数据; 确定所述聚合优化资产数据是否满足所述至少一个全局约束; 并且仅当满足至少一个全局约束时，输出优化的资产数据。

公开(公告)号：US20120066151A1

公开(公告)日：2012-03-15

申请号：US13230528

申请日：2011-09-12

申请人： Ananth Madhavan ,  Artem V. Asriev ,  Scott J. Kartinen ,  Jian Yang ,  Vitaly Serbin ,  Ian Domowitz ,  Kenneth E. Gosier

发明人： Ananth Madhavan ,  Artem V. Asriev ,  Scott J. Kartinen ,  Jian Yang ,  Vitaly Serbin ,  Ian Domowitz ,  Kenneth E. Gosier

IPC分类号： G06Q40/06

CPC分类号： G06Q40/08 ,  G06Q10/087 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A computerized method for generating risk forecasts is provided. A set of securities is selected. A set of risk factors is selected. The risk factor returns a determined. A risk factor covariance matrix and an idiosyncratic variance matrix are constructed. For each risk factor, a factor loading coefficient is determined for each selected security. The risk factor covariance matrix is projected into a future forecast. The idiosyncratic variance matrix is projected into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities.

摘要翻译： 提供了一种用于生成风险预测的计算机化方法。 选择一组证券。 选择一组风险因素。 风险因素返回确定。 构建风险因子协方差矩阵和特征方差矩阵。 对于每个风险因素，为每个选定的证券确定因子负荷系数。 风险因子协方差矩阵被预测为未来的预测。 特殊方差矩阵预测为未来预测。 因子加载系数，风险因子协方差矩阵的未来预测以及特殊方差矩阵的未来预测可用于确定所选证券的方差 - 协方差矩阵的预测。

公开(公告)号：US08019670B2

公开(公告)日：2011-09-13

申请号：US12830017

申请日：2010-07-02

申请人： Ananth Madhavan ,  Artem V. Asriev ,  Scott J. Kartinen ,  Jian Yang ,  Vitaly Serbin ,  Ian Domowitz ,  Kenneth E. Gosier

发明人： Ananth Madhavan ,  Artem V. Asriev ,  Scott J. Kartinen ,  Jian Yang ,  Vitaly Serbin ,  Ian Domowitz ,  Kenneth E. Gosier

IPC分类号： G06Q40/00

CPC分类号： G06Q40/08 ,  G06Q10/087 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A computerized method for generating risk forecasts is provided. A set of securities is selected. A set of risk factors is selected. The risk factor returns a determined. A risk factor covariance matrix and an idiosyncratic variance matrix are constructed. For each risk factor, a factor loading coefficient is determined for each selected security. The risk factor covariance matrix is projected into a future forecast. The idiosyncratic variance matrix is projected into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities.

摘要翻译： 提供了一种用于生成风险预测的计算机化方法。 选择一组证券。 选择一组风险因素。 风险因素返回确定。 构建风险因子协方差矩阵和特征方差矩阵。 对于每个风险因素，为每个选定的证券确定因子负荷系数。 风险因子协方差矩阵被预测为未来的预测。 特殊方差矩阵预测为未来预测。 因子加载系数，风险因子协方差矩阵的未来预测以及特殊方差矩阵的未来预测可用于确定所选证券的方差 - 协方差矩阵的预测。

公开(公告)号：US07752099B2

公开(公告)日：2010-07-06

申请号：US10406282

申请日：2003-04-04

申请人： Ananth Madhavan ,  Artem V. Asriev ,  Scott J. Kartinen ,  Jian Yang ,  Vitaly Serbin ,  Ian Domowitz ,  Kenneth E. Gosier

发明人： Ananth Madhavan ,  Artem V. Asriev ,  Scott J. Kartinen ,  Jian Yang ,  Vitaly Serbin ,  Ian Domowitz ,  Kenneth E. Gosier

IPC分类号： G06Q40/00

CPC分类号： G06Q40/08 ,  G06Q10/087 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A factor risk model based method for generating risk forecasts. In one embodiment, the method includes: selecting a set of securities; selecting a set of risk factors; determining the risk factor returns; constructing a risk factor covariance matrix; constructing an idiosyncratic variance matrix; determining, for each risk factor, a factor loading coefficient for each selected security; projecting the risk factor covariance matrix into a future forecast; and projecting the idiosyncratic variance matrix into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities. In some embodiments, the step of estimating factor loadings includes performing a time series regression to obtain the sensitivity of each stocks' return to variations in the factor's return.

摘要翻译： 一种基于风险模型的风险预测方法。 在一个实施例中，该方法包括：选择一组证券; 选择一组风险因素; 确定风险因素回报; 构建风险因子协方差矩阵; 构造特殊方差矩阵; 为每个风险因素确定每个选定证券的因子负荷系数; 将风险因子协方差矩阵预测为未来预测; 并将特征方差矩阵预测为未来预测。 因子加载系数，风险因子协方差矩阵的未来预测以及特殊方差矩阵的未来预测可用于确定所选证券的方差 - 协方差矩阵的预测。 在一些实施例中，估计因子负荷的步骤包括执行时间序列回归以获得每个股票的回报对因子回报的变化的敏感度。

公开(公告)号：US20110196773A1

公开(公告)日：2011-08-11

申请号：US12876929

申请日：2010-09-07

申请人： Jon FATICA ,  Michael Williams ,  David Turner ,  Kevin O'connor ,  Joseph Emanuelli ,  Milan P. Borkovec ,  Ananth Madhavan ,  Artem V. Asriev ,  Kumar Giritharan ,  Thomas Strande

发明人： Jon FATICA ,  Michael Williams ,  David Turner ,  Kevin O'connor ,  Joseph Emanuelli ,  Milan P. Borkovec ,  Ananth Madhavan ,  Artem V. Asriev ,  Kumar Giritharan ,  Thomas Strande

IPC分类号： G06Q40/00

CPC分类号： G06Q40/00 ,  G06Q40/04 ,  G06Q40/06

摘要： A system and method for comparing investment transaction costs of institution peers includes database and a processor coupled to a network. The processor may be configured receive, via the network, security transaction data of investment institutions, which included data for traded securities, transaction order sizes, execution prices, peer identities and timestamps. The processor is further capable of grouping transaction data into groups of orders, calculating order costs and environmental factors for each order, and calculating a peer's average order cost within each group. The data are stored in the database so that it may be retrieved and displayed.

摘要翻译： 用于比较机构对等体的投资交易成本的系统和方法包括数据库和耦合到网络的处理器。 处理器可以被配置为经由网络接收投资机构的安全交易数据，其中包括交易证券的数据，交易订单大小，执行价格，对等标识和时间戳。 处理器还能够将交易数据分组成一组订单，计算每个订单的订单成本和环境因素，以及计算每个组中对等体的平均订单成本。 数据存储在数据库中，以便可以检索和显示数据。