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:
Feb. 05, 2008
Filed:
Sep. 23, 1999
Amos Yahil, Stony Brook, NY (US);
Richard Puetter, San Diego, CA (US);
Amos Yahil, Stony Brook, NY (US);
Richard Puetter, San Diego, CA (US);
Pixon, LLC, Stony Brook, NY (US);
Abstract
A computer-based system and method are provided to determine the minimum number of factors required to account for input data by seeking an approximate minimum complexity model. In an exemplary embodiment, covariance in the daily returns of financial securities is estimated by generating a positive-definite estimate of the elements of a covariance matrix consistent with the input data. Complexity of the covariance matrix is minimized by assuming that the number of independent parameters is likely to be much smaller than the number of elements in the covariance matrix. Each variable is described as a linear combination of independent factors and a part that fluctuates independently. The simplest model for the covariance matrix is selected so that it fits the data to within a specified level as determined by the selected goodness-of-fit criterion.