CA2484649A1 - A method and system to solve dynamic multi-factor models in finance - Google Patents

A method and system to solve dynamic multi-factor models in finance Download PDF

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Publication number
CA2484649A1
CA2484649A1 CA002484649A CA2484649A CA2484649A1 CA 2484649 A1 CA2484649 A1 CA 2484649A1 CA 002484649 A CA002484649 A CA 002484649A CA 2484649 A CA2484649 A CA 2484649A CA 2484649 A1 CA2484649 A1 CA 2484649A1
Authority
CA
Canada
Prior art keywords
factor
time interval
return
asset collection
time
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Abandoned
Application number
CA002484649A
Other languages
English (en)
French (fr)
Inventor
Michael Markov
Vadim Mottl
Ilya Muchnik
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
Markov Processes International LLC
Original Assignee
Individual
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Individual filed Critical Individual
Publication of CA2484649A1 publication Critical patent/CA2484649A1/en
Abandoned legal-status Critical Current

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Classifications

    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/03—Credit; Loans; Processing thereof
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Landscapes

  • Business, Economics & Management (AREA)
  • Engineering & Computer Science (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Development Economics (AREA)
  • Technology Law (AREA)
  • Theoretical Computer Science (AREA)
  • Strategic Management (AREA)
  • Economics (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Marketing (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Game Theory and Decision Science (AREA)
  • Human Resources & Organizations (AREA)
  • Operations Research (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
  • Management, Administration, Business Operations System, And Electronic Commerce (AREA)
CA002484649A 2002-05-07 2003-05-07 A method and system to solve dynamic multi-factor models in finance Abandoned CA2484649A1 (en)

Applications Claiming Priority (3)

Application Number Priority Date Filing Date Title
US37856202P 2002-05-07 2002-05-07
US60/378,562 2002-05-07
PCT/US2003/015325 WO2003096254A1 (en) 2002-05-07 2003-05-07 A method and system to solve dynamic multi-factor models in finance

Publications (1)

Publication Number Publication Date
CA2484649A1 true CA2484649A1 (en) 2003-11-20

Family

ID=29420416

Family Applications (1)

Application Number Title Priority Date Filing Date
CA002484649A Abandoned CA2484649A1 (en) 2002-05-07 2003-05-07 A method and system to solve dynamic multi-factor models in finance

Country Status (6)

Country Link
US (5) US7617142B2 (enExample)
EP (1) EP1508109A4 (enExample)
JP (1) JP2005524913A (enExample)
AU (1) AU2003230405A1 (enExample)
CA (1) CA2484649A1 (enExample)
WO (1) WO2003096254A1 (enExample)

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US8812388B2 (en) * 2003-02-25 2014-08-19 Fiserv Investment Solutions, Inc. Systems and methods for multi-style portfolio (MSP) cash flow enhancement
US7809624B1 (en) * 2003-02-25 2010-10-05 Checkfree Corporation Drift determination in multi-style managed client investment account
US7822660B1 (en) * 2003-03-07 2010-10-26 Mantas, Inc. Method and system for the protection of broker and investor relationships, accounts and transactions
US7580852B2 (en) * 2004-04-15 2009-08-25 Sap Ag System and method for modeling non-stationary time series using a non-parametric demand profile
US20090043637A1 (en) * 2004-06-01 2009-02-12 Eder Jeffrey Scott Extended value and risk management system
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US20070050288A1 (en) * 2005-08-31 2007-03-01 General Electric Company System and method for integrating risk and marketing objectives for making credit offers
US7827046B2 (en) * 2005-11-22 2010-11-02 Plymouth Rock Assurance Corporation Premium transition factor
US8498915B2 (en) 2006-04-02 2013-07-30 Asset Reliance, Inc. Data processing framework for financial services
US20090063363A1 (en) * 2006-09-21 2009-03-05 F-Squared Investments, Llc Systems and methods for constructing exchange traded funds and other investment vehicles
US8255316B2 (en) * 2007-12-21 2012-08-28 General Electric Company Integrated business decision-making system and method
US20090281958A1 (en) * 2008-05-07 2009-11-12 Business Logic Corporation Benchmark and evaluation of reference-date dependent investments
US9147206B2 (en) * 2009-08-31 2015-09-29 Accenture Global Services Limited Model optimization system using variable scoring
US20110087616A1 (en) * 2009-10-09 2011-04-14 International Business Machines Corporation System and method for creating a graphical representation of portfolio risk
GB201000091D0 (en) * 2010-01-05 2010-02-17 Mura Michael E Numerical Modelling Apparatus for Pricing,Trading and Risk Assessment
US20110167034A1 (en) * 2010-01-05 2011-07-07 Hewlett-Packard Development Company, L.P. System and method for metric based allocation of costs
GB201000089D0 (en) * 2010-01-05 2010-02-17 Mura Michael E Numerical modelling apparatus
US8712738B2 (en) * 2010-04-30 2014-04-29 International Business Machines Corporation Determining ill conditioning in square linear system of equations
US8606681B2 (en) * 2011-03-04 2013-12-10 Ultratick, Inc. Predicting the performance of a financial instrument
US10157419B1 (en) * 2012-02-10 2018-12-18 Fmr Llc Multi-factor risk modeling platform
US20140108295A1 (en) * 2012-10-11 2014-04-17 Axioma, Inc. Methods and Apparatus for Generating Purified Minimum Risk Portfolios
DE202013004851U1 (de) 2013-05-27 2013-09-03 Labetherm Ltd. Tiegeldeckel mit Sensoren und Tiegelverschluss
CN109284320B (zh) * 2018-08-15 2021-10-26 上海派拉软件股份有限公司 大数据平台上的自动回归诊断方法
CN109635330B (zh) * 2018-11-08 2024-01-19 杭州电子科技大学 一种基于直接法的复杂优化控制问题准确和快速求解方法
US11403541B2 (en) * 2019-02-14 2022-08-02 Rockwell Automation Technologies, Inc. AI extensions and intelligent model validation for an industrial digital twin
KR102862042B1 (ko) 2019-12-02 2025-09-19 삼성전자주식회사 배터리 상태 추정 방법 및 장치
US20210304310A1 (en) * 2020-03-27 2021-09-30 Markov Processes International Inc. System and method for estimating multifactor models of illiquid, stale and noisy financial and economic data
CN111681113B (zh) * 2020-05-29 2023-07-18 泰康保险集团股份有限公司 一种基金产品对象配置的系统和服务器
US20210390618A1 (en) * 2020-06-16 2021-12-16 The Financial Risk Group Inc. Financial Risk Assessment
CN113190682B (zh) * 2021-06-30 2021-09-28 平安科技（深圳）有限公司 基于树模型的事件影响度获取方法、装置及计算机设备

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Also Published As

Publication number Publication date
WO2003096254A1 (en) 2003-11-20
US20040083152A1 (en) 2004-04-29
US8600860B2 (en) 2013-12-03
EP1508109A4 (en) 2006-06-07
US20100057638A1 (en) 2010-03-04
US20140122373A1 (en) 2014-05-01
AU2003230405A1 (en) 2003-11-11
US8306896B2 (en) 2012-11-06
US20130091073A1 (en) 2013-04-11
JP2005524913A (ja) 2005-08-18
US7617142B2 (en) 2009-11-10
EP1508109A1 (en) 2005-02-23
US20110302107A1 (en) 2011-12-08
US8001032B2 (en) 2011-08-16

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Legal Events

Date Code Title Description
EEER Examination request
FZDE Discontinued

Effective date: 20150811