Other

The Olsen Group

Sulzer Brothers Limited

Olsen Data Ltd.

Ulrich A Müller

Richard B Olsen

Jonathan Robert Buchanan

Michel M Dacorogna

Olivier V Pictet

Rakhal D Davé´

Gilles O Zumbach

Lars A Jaeger

A preferred embodiment of the subject invention is directed to creation and pricing of an option related to a target zone in a time-price plot. If the price curve against time enters this zone (in a preferred embodiment, a 'box'), a fixed amount of money is paid to the owner of the option; if the curve misses the box, there is no payout to the option owner, who also forfeits the premium paid for the option. Software is described that enables an option buyer to easily create and set the parameters of such an option, that computes a premium for the option, and that manages payout and other functions related to the option. The above-described embodiment is a buy-to-hit option. Other embodiments are directed to sell-to-hit, buy-to-miss, and sell-to-miss options.

Method for creating and pricing options

The present invention is a method and apparatus for filtering high frequency time series data using a variety of techniques implemented on a computer. The techniques are directed to detecting and eliminating data errors such as the decimal error, monotonic series of quotes, long series of repeated quotes, scaling changes, and domain errors. Further, by means of comparison with nearby quotes in the time series, the techniques are also able to evaluate the credibility of the quotes.

Filtering of high frequency time series data

A preferred embodiment comprises a method for obtaining predictive information (e.g., volatility) for inhomogeneous financial time series. Major steps of the method comprise the following: (1) financial market transaction data is electronically received by a computer over an electronic network; (2) the received financial market transaction data is electronically stored in a computer-readable medium accessible to the computer; (3) a time series z is constructed that models the received financial market transaction data; (4) an exponential moving average operator is constructed; (5) an iterated exponential moving average operator is constructed that is based on the exponential moving average operator; (6) a linear, time-translation-invariant, causal operator &#x3a9;[z] is constructed that is based on the iterated exponential moving average operator; (7) values of one or more predictive factors relating to the time series z and defined in terms of the operator &#x3a9;[z] are calculated by the computer; and (8) the values calculated by the computer are stored in a computer readable medium.

Methods for analysis of financial markets

A method of trading assets on a market including: (1) receiving price data for an asset over one or more computer networks; (2) receiving current system position information; (3) storing the received asset price data and current system position information in a computer-readable medium; (4) calculating trade recommendation information form each of one or more trading sub-models, wherein each sub-model is based on a different time horizon, the calculation based on the received asset price data; and (5) calculating a trade recommendation regarding the asset based on the trade recommendation information from each of the trading sub-models. Each sub-model preferably includes: (1) a price collector component; (2) a price filter component; (3) a price database component; (4) a gearing calculator component; (5) a deal acceptor component; and (6) a book-keeper component.

Methods for trade decision making

A preferred embodiment of the subject invention automates the market making process for currency trading. When a quote request for a currency is received from a client (preferably over a computer network such as the Internet), software of a preferred embodiment calculates a real-time bid and ask price for the currency. The subject invention is applicable to any asset for which market making is appropriate, and is not restricted to currency exchange.

Method for market making

A preferred embodiment comprises a method for determining value-at-risk based on tick-by-tick financial data. Major steps of the method comprise the following: (1) financial market transaction data is electronically received by a computer; (2) the received financial market transaction data is electronically; (3) a time series z is constructed that models the received financial market transaction data; (4) an exponential moving average operator is constructed; (5) an operator is constructed that is based on the exponential moving average operator; (6) a causal operator &#x3a9;[z] is constructed that is based on the iterated exponential moving average operator; (7) values of predictive factors are calculated; (8) the values calculated by the computer are stored in a computer readable medium, and (9) value-at-risk is calculated from the values stored in step (8).

Methods for determining value at risk

The thermoacoustic device is provided with rod-like elements which are disposed in the vibration chamber between the heat source and the heat sink. The rod-like elements may be in the form of wires or other elements having a circular cross-section or a convexly curved surface. The elements may be supported directly on the vibration chamber wall, between holding elements which are supported on the vibration chamber wall and in perforated holding elements secured across the vibration chamber.

Growing community of inventors

Zurich, Switzerland

Ulrich A Müller