Hybrid index derived using a kalman filter

US10489856B2 · kind B2 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Richard Co · Chicago, US
• John Nyhoff · Darien, US
• John Kerpel · Chicago, US
• John Labuszewski · Westmont, US
• Fred Sturm · Chicago, US

Key dates

• Filing date: Dec 19, 2013
• Grant date: Nov 26, 2019
• Expiry date: Aug 17, 2036

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A method of determining a hybrid index may include obtaining, by a computer device, financial transaction information about two or more financial products over a duration. The computer device may be configured to filter the financial transaction information to produce enhanced financial transaction information. The computer device may then determine a financial index value using the financial transaction information and the enhanced financial transaction information.