JP2005524913A - 財務における動的多因子モデルを解くための方法およびシステム - Google Patents

財務における動的多因子モデルを解くための方法およびシステム Download PDF

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JP2005524913A
JP2005524913A JP2004504167A JP2004504167A JP2005524913A JP 2005524913 A JP2005524913 A JP 2005524913A JP 2004504167 A JP2004504167 A JP 2004504167A JP 2004504167 A JP2004504167 A JP 2004504167A JP 2005524913 A JP2005524913 A JP 2005524913A
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factor
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exposure
return
rate
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JP2005524913A5 (enExample
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マルコフ、マイケル
モットル、ヴァディム
マッチニク、イリヤ
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マルコフ プロセッサズ インターナショナル、エルエルシー
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Publication of JP2005524913A publication Critical patent/JP2005524913A/ja
Publication of JP2005524913A5 publication Critical patent/JP2005524913A5/ja
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    • 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

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  • 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)
JP2004504167A 2002-05-07 2003-05-07 財務における動的多因子モデルを解くための方法およびシステム Pending JP2005524913A (ja)

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US37856202P 2002-05-07 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 (2)

Publication Number Publication Date
JP2005524913A true JP2005524913A (ja) 2005-08-18
JP2005524913A5 JP2005524913A5 (enExample) 2006-06-15

Family

ID=29420416

Family Applications (1)

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JP2004504167A Pending JP2005524913A (ja) 2002-05-07 2003-05-07 財務における動的多因子モデルを解くための方法およびシステム

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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)

Cited By (1)

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US11262407B2 (en) 2019-12-02 2022-03-01 Samsung Electronics Co., Ltd. Method and apparatus with battery state estimation

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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
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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Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US11262407B2 (en) 2019-12-02 2022-03-01 Samsung Electronics Co., Ltd. Method and apparatus with battery state estimation

Also Published As

Publication number Publication date
WO2003096254A1 (en) 2003-11-20
US20040083152A1 (en) 2004-04-29
US8600860B2 (en) 2013-12-03
CA2484649A1 (en) 2003-11-20
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
US7617142B2 (en) 2009-11-10
EP1508109A1 (en) 2005-02-23
US20110302107A1 (en) 2011-12-08
US8001032B2 (en) 2011-08-16

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