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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：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：US20170221145A1
公开(公告)日：2017-08-03
申请号：US15404915
申请日：2017-01-12
发明人： Jennifer Weng , Ziyi Wang , Xianqing Zou , Yingwen Liu , Shuo Liu , Chenda Huang
IPC分类号： G06Q40/04
摘要： A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and also permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.
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公开(公告)号：US10380690B2
公开(公告)日：2019-08-13
申请号：US14718670
申请日：2015-05-21
发明人： Jennifer Weng , Nataliya Frost , Shuo Liu , Panagiotis Xythalis , Lingrui Xiang , Xianqing Zou , Hariharan Kesavarao , Jie Zhu , Abhinaw Prakash
IPC分类号： G06Q40/06 , G06F16/215
摘要： Datasets may be characterized by patterns. The patterns may be caused or otherwise influenced by external factors, such as temporal, meteorological, and/or system factors. The external factors, as well as the patterns which result in the data values of the dataset because of the external factors, may provide for techniques used to account for missing data elements, outlier data elements and/or otherwise cleanse the dataset. New elements may be generated to provide for the missing data elements, and derivative datasets may be generated based on one or more cleansed datasets.
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公开(公告)号：US20170243261A1
公开(公告)日：2017-08-24
申请号：US15052409
申请日：2016-02-24
发明人： Jennifer Weng , Panagiotis Xythalis , Yingwen Liu , Lingrui Xiang , Shuo Liu , Sixiang Li , Chenda Huang , Ziyi Wang , Nataliya Frost , Xianqing Zou
CPC分类号： G06Q30/0283 , G06Q30/0206 , G06Q40/04
摘要： Systems and methods are provided for efficiently determining prices of futures, spreads and swaps by considering product interdependencies. The disclosed systems and methods use interpolation, extrapolation and backward propagation to produce accurate results.
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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：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：US10529022B2
公开(公告)日：2020-01-07
申请号：US15404915
申请日：2017-01-12
发明人： Jennifer Weng , Ziyi Wang , Xianqing Zou , Yingwen Liu , Shuo Liu , Chenda Huang
摘要： A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and also permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.
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公开(公告)号：US20200175594A1
公开(公告)日：2020-06-04
申请号：US16700382
申请日：2019-12-02
发明人： Jennifer Weng , Ziyi Wang , Xianqing Zou , Yingwen Liu , Shuo Liu , Chenda Huang
摘要： A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.
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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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