The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Apr. 23, 2024
Filed:
Jun. 14, 2022
Applicant:
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Inventors:
Jennifer Weng, Brooklyn, NY (US);
Nikhil Joshi, New York, NY (US);
Guo Chen, Chicago, IL (US);
Siwen Yang, Chicago, IL (US);
Zijiang Yang, Chicago, IL (US);
Assignee:
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Attorney:
Primary Examiner:
Int. Cl.
CPC ...
G06Q 40/04 (2012.01);
U.S. Cl.
CPC ...
G06Q 40/04 (2013.01);
Abstract
A system may be configured to generate an estimate of value at risk and may include a processor to process instructions that cause the system to generate a rolling time series of value data having a plurality of dimensions, perform rotation transform of the time series, perform variance scaling and correlation scaling on transformed time series, reverse transform the results of the scaling, and estimate of a value-at-risk for the value data.