公开(公告)号：US20110191235A1

公开(公告)日：2011-08-04

申请号：US13085094

申请日：2011-04-12

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Tae Seok C. Yoo

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Tae Seok C. Yoo

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A hybrid cross-margining system is disclosed. The disclosed provides for both joint accounts, maintained by multiple exchanges, as well as non-joint accounts, whereby the system recognizes both intra-account offsets within the joint account and inter-exchange offsets between the joint account and accounts maintained by another exchange to minimize the margin requirement of the associated market participant with respect to the positions reflected in these accounts.

摘要翻译： 公开了一种混合交叉边缘系统。 所披露的条款规定了由多个交易所维持的联合账户以及非联合账户，系统确认联合账户内的账户内部抵消以及其他交易所维持的账户与账户之间的互换抵消 最小化相关市场参与者对这些帐户中反映的职位的保证金要求。

公开(公告)号：US07930245B2

公开(公告)日：2011-04-19

申请号：US12858911

申请日：2010-08-18

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Tae Seok C. Yoo

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Tae Seok C. Yoo

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A hybrid cross-margining system is disclosed. The disclosed provides for both joint accounts, maintained by multiple exchanges, as well as non-joint accounts, whereby the system recognizes both intra-account offsets within the joint account and inter-exchange offsets between the joint account and accounts maintained by another exchange to minimize the margin requirement of the associated market participant with respect to the positions reflected in these accounts.

摘要翻译： 公开了一种混合交叉边缘系统。 所披露的条款规定了由多个交易所维持的联合账户以及非联合账户，系统确认联合账户内的账户内部抵消以及其他交易所维持的账户与账户之间的互换抵消 最小化相关市场参与者对这些帐户中反映的职位的保证金要求。

公开(公告)号：US20100312720A1

公开(公告)日：2010-12-09

申请号：US12858911

申请日：2010-08-18

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Tae Seok C. Yoo

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Tae Seok C. Yoo

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A hybrid cross-margining system is disclosed. The disclosed provides for both joint accounts, maintained by multiple exchanges, as well as non-joint accounts, whereby the system recognizes both intra-account offsets within the joint account and inter-exchange offsets between the joint account and accounts maintained by another exchange to minimize the margin requirement of the associated market participant with respect to the positions reflected in these accounts.

摘要翻译： 公开了一种混合交叉边缘系统。 所披露的条款规定了由多个交易所维持的联合账户以及非联合账户，系统确认联合账户内的账户内部抵消以及其他交易所维持的账户与账户之间的互换抵消 最小化相关市场参与者对这些帐户中反映的职位的保证金要求。

公开(公告)号：US07801810B2

公开(公告)日：2010-09-21

申请号：US11452673

申请日：2006-06-14

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Tae Seok C. Yoo

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Tae Seok C. Yoo

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A hybrid cross-margining system is disclosed. The disclosed provides for both joint accounts, maintained by multiple exchanges, as well as non-joint accounts, whereby the system recognizes both intra-account offsets within the joint account and inter-exchange offsets between the joint account and accounts maintained by another exchange to minimize the margin requirement of the associated market participant with respect to the positions reflected in these accounts.

摘要翻译： 公开了一种混合交叉边缘系统。 所披露的条款规定了由多个交易所维持的联合账户以及非联合账户，系统确认联合账户内的账户内部抵消以及其他交易所维持的账户与账户之间的互换抵消 最小化相关市场参与者对这些帐户中反映的职位的保证金要求。

公开(公告)号：US10726479B2

公开(公告)日：2020-07-28

申请号：US11590540

申请日：2006-10-31

申请人： Paul Andrew Bauerschmidt ,  Dmitriy Glinberg ,  Edward M. Gogol ,  Stephen M. Goldman ,  Paul I. Lichter ,  Jeffrey Robert Mitchell ,  Ari L. Studnitzer ,  Tae Seok C. Yoo

发明人： Paul Andrew Bauerschmidt ,  Dmitriy Glinberg ,  Edward M. Gogol ,  Stephen M. Goldman ,  Paul I. Lichter ,  Jeffrey Robert Mitchell ,  Ari L. Studnitzer ,  Tae Seok C. Yoo

IPC分类号： G06Q40/00 ,  G06Q40/04

摘要： The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.

公开(公告)号：US20130159211A1

公开(公告)日：2013-06-20

申请号：US13528464

申请日：2012-06-20

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.

摘要翻译： 披露了一种系统和方法，用于分析交易员提供的资产与抵押品之间的相关性以及该交易者的未平仓头寸。 因此，如果抵押品与交易者的敞口头寸相关，则可以给出一些偏移量。 如果没有相关性，则以常规方式评估抵押品。 例如，如果交易者提供账单作为T账单中具有未平仓头寸（例如短期期货）的抵押品，那么该交易者的账户可以从T账单和T账单的价值中扣除一定的抵消 期货高度相关。

公开(公告)号：US08341062B2

公开(公告)日：2012-12-25

申请号：US13300881

申请日：2011-11-21

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q20/102 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/08

摘要： A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.

摘要翻译： 公开了一种用于确定固定回报产品的履约保证金的系统和方法，即基于潜在事件的结果而支付固定金额的合同，而不管其价值如何。 计算可能包含更多多个工具的整体投资组合的最糟糕的结果，允许投资组合在同一基础事件上兼顾长仓和空头头寸，并在投资组合中的工具之间进行抵消。 构建结果的整体包括具有单一结果的单事件及其概率，以及具有多个结果的单个事件，每个具有概率。 每个结果都有相关的价格和概率。 低概率事件将具有低值，导致较低的保证金要求。 因此，保证金要求是根据其概率进行调整的投资组合对潜在事件的任何可能结果所能承受的最大损失的金额。

公开(公告)号：US20120303550A1

公开(公告)日：2012-11-29

申请号：US13570061

申请日：2012-08-08

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

IPC分类号： G06Q40/06

CPC分类号： G06Q40/06 ,  G06Q40/025 ,  G06Q40/04

摘要： A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes comparing a first market response of a first product in the portfolio with a second market response of a second product in the portfolio where the first and second market responses result from a change in market data, calculating an offsetting effect between the first market response and the second market response where the first and second market responses are substantially different responses to the same change in the market data, determining a diversification spread based on the offsetting effect derived between the first product and the second product, calculating a diversification spread credit based on the determined diversification spread, and adjusting a margin requirement for the portfolio based on the diversification spread credit.

摘要翻译： 公开了一种用于分析与包括在交易所上交易的多个产品的投资组合相关联的风险偏移的计算机实现的方法。 该方法包括将投资组合中的第一产品的第一市场反应与投资组合中的第二产品的第二市场反应进行比较，其中第一和第二市场反应由市场数据的变化产生，计算第一市场之间的抵消效应 响应和第二个市场反应，其中第一和第二市场反应与市场数据的相同变化的响应大不相同，基于在第一产品和第二产品之间产生的抵消效应来确定多元化扩展，计算多样化扩展信用 基于确定的多元化差距，并根据多元化扩张信贷调整投资组合的保证金要求。

公开(公告)号：US20120296850A1

公开(公告)日：2012-11-22

申请号：US13561997

申请日：2012-07-30

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/06

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

摘要： A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.

摘要翻译： 公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。 常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。 然而，期望允许非对称偏移。 在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。 改变产品之间的偏移有很多原因。 不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。 由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。

公开(公告)号：US08249973B2

公开(公告)日：2012-08-21

申请号：US13284336

申请日：2011-10-28

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

摘要： A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.

摘要翻译： 公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。 常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。 然而，期望允许非对称偏移。 在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。 改变产品之间的偏移有很多原因。 不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。 由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。