Detection and mitigation of effects of high velocity price changes

US8660936B1 · kind B1 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Scott D. Banke · Hinsdale, US
• Stanislav Liberman · Buffalo Grove, US
• Neil A. Lustyk · Chicago, US
• James Bailey · Ontarioville, US
• Ashraf Ansari · Paddy Lane, US
• Pearce Peck-Walden · Chicago, US
• John Scheerer · Chicago, US
• Haifeng Zheng · Wilmette, US
• Matthew J. Kelly · Greenville, US
• Brian M. Wolf · Roselle, US
• Troy C. Kane · Chicago, US

Key dates

• Filing date: Oct 2, 2012
• Grant date: Feb 25, 2014
• Expiry date: Oct 2, 2032

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/04
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

The disclosed embodiments relate to mechanisms to rapidly detect and respond to situations where a market is not operating in a fair and balanced manner or otherwise where the market value is not reflective of a true consensus of the value of the traded products among the market participants. In particular, the disclosed embodiments continually scan for, rapidly detect and respond to extreme changes, either up (“spike”) or down (“dip”) in the market, such as a “flash crash,” where a precipitous market move occurs. Generally, the disclosed embodiments determine when a market for a particular product moves too quickly in too short of period of time, e.g. the velocity of the market exceeds a defined threshold limit.