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:
Sep. 06, 2011
Filed:
May. 11, 2009
Ananth Madhavan, New York, NY (US);
Jian Yang, Sharon, MA (US);
Leonid Zosin, Waltham, MA (US);
Konstantin Zaltusky, Bethlehem, PA (US);
Artem Asriev, Winchester, MA (US);
Gabriel Butler, Somerville, MA (US);
Ananth Madhavan, New York, NY (US);
Jian Yang, Sharon, MA (US);
Leonid Zosin, Waltham, MA (US);
Konstantin Zaltusky, Bethlehem, PA (US);
Artem Asriev, Winchester, MA (US);
Gabriel Butler, Somerville, MA (US);
ITG Software Solutions, Inc., Culver City, CA (US);
Abstract
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.