Feature-based similarity measure for market instruments
US8494941B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Sep 25, 2007 |
| Grant date | Jul 23, 2013 |
| Priority date | — |
| Expiry date | Jan 1, 2031 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q30/02
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
In one embodiment, first, second, and third inputs are received. The first input specifies a first market instrument and the second input specifies start and end dates of a first time series for the first market instrument. The third input specifies a feature set computer and the values of zero or more parameters thereof. A first feature set of the first market instrument is determined by applying the feature set computer to the first time series. A second feature set of a second market instrument is determined by applying the feature set computer to a second time series for the second market instrument, where the second time series is bounded by the start and end dates. The second feature set is correlated to the first feature set to determine a similarity score for the second market instrument, where the similarity score is a measure of the relationship between the second market instrument and the first market instrument.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.