Methods and systems to quantify and index sentiment risk in financial markets and risk management contracts thereon

US11587172B1 · kind B1 · utility

Assignee

• ECONOMIC ALCHEMY INC. · US

Inventors

• Giselle Claudette Guzman · New York, US
• Lawrence Klein · Cambridge, US

Key dates

• Filing date: Nov 14, 2012
• Grant date: Feb 21, 2023
• Expiry date: Nov 14, 2032

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/08
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Systems and methods for creating an index to track sentiment risk in 1) the economy as measured by expectations for future economic (GDP) growth; 2) in financial markets as measured by sentiment for securities comprising a benchmark financial index; 3) or for individual securities comprising an individual portfolio; by combining multiple data sources including surveys, opinion polls, prediction markets, news, internet content, activity, and search query data, and extracting a common signal from multiple sources. An index can be created aggregating sentiment measures across securities which are the components of a well-known financial market index to track sentiment risk for that index. An index can be created by aggregating sentiment measures across securities which are the holdings in an individual portfolio. Security-specific sentiment measures can be created. Financial instruments—options, futures, options on futures, ETFs, ETNs and other financial instruments can be created to track the sentiment index and the sentiment measures for each underlying component, providing a way to hedge sentiment risk.