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公开(公告)号：US20200226684A1
公开(公告)日：2020-07-16
申请号：US16835946
申请日：2020-03-31
发明人： Jennifer Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang
IPC分类号： G06Q40/04
摘要： A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.
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公开(公告)号：US20220270188A1
公开(公告)日：2022-08-25
申请号：US17725038
申请日：2022-04-20
发明人： Jennifer Yingying Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang , Xiaowen Xu , Shuo Liu , Sebastiano Rossi
摘要： A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.
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公开(公告)号：US20240354875A1
公开(公告)日：2024-10-24
申请号：US18752988
申请日：2024-06-25
发明人： Jennifer Yingying Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang , Xiaowen Xu , Shuo Liu , Sebastiano Rossi
CPC分类号： G06Q50/06 , G06F16/219 , G06F16/22 , G06Q40/04 , G06Q40/06 , H02J7/0013 , H02J7/00711 , H02J3/388
摘要： A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.
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公开(公告)号：US20170206601A1
公开(公告)日：2017-07-20
申请号：US15001997
申请日：2016-01-20
发明人： Jennifer Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang
CPC分类号： G06Q40/04
摘要： A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.
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公开(公告)号：US11966975B2
公开(公告)日：2024-04-23
申请号：US17839791
申请日：2022-06-14
发明人： Jennifer Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： 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.
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公开(公告)号：US11704751B2
公开(公告)日：2023-07-18
申请号：US17725038
申请日：2022-04-20
发明人： Jennifer Yingying Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang , Xiaowen Xu , Shuo Liu , Sebastiano Rossi
CPC分类号： G06Q50/06 , G06F16/219 , G06F16/22 , G06Q40/04 , G06Q40/06 , H02J7/0013 , H02J7/00711 , H02J3/388
摘要： A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.
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公开(公告)号：US20240212046A1
公开(公告)日：2024-06-27
申请号：US18600329
申请日：2024-03-08
发明人： Jennifer Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： 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 a transformation 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.
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公开(公告)号：US20230298113A1
公开(公告)日：2023-09-21
申请号：US18199495
申请日：2023-05-19
发明人： Jennifer Yingying Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang , Xiaowen Xu , Shuo Liu , Sebastiano Rossi
CPC分类号： G06Q50/06 , G06Q40/06 , G06Q40/04 , H02J7/0013 , G06F16/22 , G06F16/219 , H02J7/00711 , H02J3/388
摘要： A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.
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公开(公告)号：US20220335523A1
公开(公告)日：2022-10-20
申请号：US17839791
申请日：2022-06-14
发明人： Jennifer Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang
IPC分类号： G06Q40/04
摘要： 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.
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公开(公告)号：US11367152B2
公开(公告)日：2022-06-21
申请号：US17032064
申请日：2020-09-25
发明人： Jennifer Yingying Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang , Xiaowen Xu , Shuo Liu , Sebastiano Rossi
摘要： A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.
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