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. 13, 2011
Filed:
Jul. 02, 2010
Ananth Madhavan, New York, NY (US);
Artem V. Asriev, Winchester, MA (US);
Scott J. Kartinen, New York, NY (US);
Jian Yang, Sharon, MA (US);
Vitaly Serbin, Boston, MA (US);
Ian Domowitz, New York, NY (US);
Kenneth E. Gosier, Cambridge, MA (US);
Ananth Madhavan, New York, NY (US);
Artem V. Asriev, Winchester, MA (US);
Scott J. Kartinen, New York, NY (US);
Jian Yang, Sharon, MA (US);
Vitaly Serbin, Boston, MA (US);
Ian Domowitz, New York, NY (US);
Kenneth E. Gosier, Cambridge, MA (US);
ITG Software Solutions, Inc., Culver City, CA (US);
Abstract
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.