Fair value model based system, method, and computer program product for valuing foreign-based securities in a mutual fund

US8200566B2 · kind B2 · utility

Assignee

• ITG Software Solutions, Inc. · US

Inventors

• Ananth Madhavan · New York, US
• Jian Yang · San Jose, US
• Leonid Zosin · Waltham, US
• Konstantin Zaltusky · Bethlehem, US
• Artem V. Asriev · Winchester, US
• Gabriel Butler · Somerville, US

Key dates

• Filing date: Sep 2, 2011
• Grant date: Jun 12, 2012
• Expiry date: Sep 2, 2031

Classification

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

Abstract

A system and method for determining fair value prices of financial securities of international markets includes 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.