Fair value model based system, method, and computer program product for valuing foreign-based securities in a mutual fund
US7533048B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Apr 3, 2003 |
| Grant date | May 12, 2009 |
| Priority date | — |
| Expiry date | Feb 9, 2026 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A method for determining fair value prices of financial securities of international markets includes the steps of selecting a universe of securities of a particular international market; computing overnight returns of each security in the selected universe over a predetermined past period of time; selecting at least one return factor of a domestic financial market from a plurality of return factors; computing, for each selected return factor, the return factor's daily return over said predetermined past period of time; calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return; and storing each calculated return factor coefficient in a data file; wherein the stored return factor coefficients can be used in conjunction with current return factor daily return values to predict current overnight returns for all securities in the selected universe of securities, which predicted current overnight returns can be used in conjunction with closing prices on said particular international market of each se…
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.