WO2007021801A2 - Procede et appareil generant de la liquidite pour des actifs dissemblables au moyen de groupements par categorie - Google Patents

Procede et appareil generant de la liquidite pour des actifs dissemblables au moyen de groupements par categorie Download PDF

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Publication number
WO2007021801A2
WO2007021801A2 PCT/US2006/031142 US2006031142W WO2007021801A2 WO 2007021801 A2 WO2007021801 A2 WO 2007021801A2 US 2006031142 W US2006031142 W US 2006031142W WO 2007021801 A2 WO2007021801 A2 WO 2007021801A2
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contract
price
group
asset
assets
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PCT/US2006/031142
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English (en)
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WO2007021801A3 (fr
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Mark Daniel Jackson
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Microtick, Llc
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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR 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

Definitions

  • the present invention relates to a system, method and means for standardizing, pricing and trading derivative instruments on the financial markets, commodity markets, foreign exchange markets or other types of commercial or retail marketplaces.
  • the financial markets have a history of innovation aimed primarily at broadening trading opportunities and overcoming certain logistical obstacles to trading certain products.
  • One such product example that was designed to overcome logistical difficulties in risk management and hedging and which embodies ingenuity and inventiveness is the traded option.
  • the current invention which provides a solution to trading intangible assets, uses a type of option referred to as a MicroTick® option, as a basis for its marketplace. Black-Scholes option pricing model
  • the Black-Scholes pricing formula calculates the fair value of an option in part by assuming that fair value will be the price someone would pay in order to break even in the long run.
  • the model employs several parameters that can affect the value of an option, the most important of which are the price difference between the underlying instrument and the strike price of the option, the volatility of the underlying instrument's return, and the time to expiration of the option. ThFMicroTick® Marketplace
  • the MicroTick® marketplace is based on trading options that are always at-the-money with strike price determined through a feedback mechanism between market participants and the marketplace itself.
  • the marketplace and its operation is described in co-pending patent application serial number 10/999,806 filed November 30, 2004, which application is incorporated herein in its entirety by reference.
  • the implied underlying price can be treated as an expected value for the underlying asset and the option premiums as the expected volatility for future price movement over the option time duration.
  • the traditional MicroTick® marketplace allows (and in some embodiments depends on) options being exercised into the underlying units so they can be arbitraged externally.
  • the MicroTick® marketplace solves the 'liquidity of trading' problem for short-term micro-options by reducing the number of choices available for trading by offering issues based on time duration instead of fixed expiration times. Additionally, in order to guarantee the relevance of the strike price at any given time, the issues have floating strike prices, specified using a fixed amount either above or below the current price of the underlying instrument. As the underlying instrument varies in price, the floating strike price of the option does not change, and will continue to specify a fixed amount in relation to the current underlying price. Additionally, the MicroTick® marketplace uses a feedback mechanism between market makers for the short-term options and the marketplace itself. An arbitrary reference price for the underlying security is created that market participants agree will be the strike price for all options traded on the marketplace.
  • This arbitrary reference price is referred to as the "implied underlying price" for the market. If the price of floating calls is greater than the price of floating puts, the implied underlying price is raised. Conversely, if the price of floating calls is less than the price of floating puts, the implied underlying price is lowered.
  • This action of observing the prices market makers place on the issue, and adjusting the arbitrary Fefefence p ⁇ fce ⁇ irf"the "direction of the difference, is referred to in control systems as a feedback loop and has beneficial properties to the system as a whole if applied correctly. In the case of the MTM, the feedback allows the implied price to stabilize and also allows the marketplace to be self-contained and works because of the possibility of an option being exercised into the underlying asset.
  • Figure 1 Category / Asset Hierarchies Figure 2. Market Block Diagram Figure 3. Standalone MTM block diagram. Figure 4. Group contract valuation block diagram.
  • the present invention provides for grouping of similar assets into “categories” through priced linkages or associations between markets and enables traders (when referred to herein, the terms "traders”, “investors”, “speculators”, “hedgers” and
  • market makers can be collectively considered to be marketplace users as opposed to the operation of the marketplace itself, and as such, these terms should not be considered to be limiting with respect to the scope of the claims) to trade the categories as a proxy asset in addition to or in certain cases substituted for the composite assets.
  • the preferred embodiment of the invention provides for derivative securities (in particular a type of option with at least two strike prices which will be referred to as "group” contracts, “group options” or “category options” herein) to be traded that allow traders to cash settle or exercise the contract into at least one selected member asset of a category, depending in some embodiments on the correlation of an asset's price movement to a category price movement over the time period of the contract.
  • Further functions capable of relating price movement of separate assets are comprised of but are by no means limited to products, sums or averages (arithmetic mean, geometric mean, harmonic mean or power mean for example) or differences in price movement, or price movement differentials over a standardized time period.
  • Group contracts as provided for by the system of the invention are similar to standardized M ⁇ croTic ' K® contracts with the exception they relate to two or more distinct underlying instruments as opposed to a single underlying instrument, specifically they are characterized by a) standardization based on time duration, b) floating strike prices for at least two underlying assets, and c) in some embodiments there may exist feedback between market makers and the marketplace using an adjustable price, index or weighting mechanism that may in some cases cause the system to become suitably stable.
  • Category markets as provided for by the system of the invention are derivative markets based on an intangible asset or assets whose primary value is derived from the relation of the category price movement to the price movement of the component assets that comprise or are otherwise related to the category.
  • assets are grouped into categories prior to trading by a separate authority, such as an independent third party, possibly a market maker or search engine, and these groupings do not change during the market operation.
  • groupings or linkages may be dynamically generated allowing for changing category taxonomies that are capable of evolving over time.
  • Figure 1 shows an example category taxonomy with hierarchical groupings between assets 103, sub-categories 102 and super-categories 101.
  • the system of the invention has the capability to group assets into sub-categories that in turn can be grouped into super-categories.
  • This example taxonomy is provided for example purposes but it should be understood that an infinite number of linkages between markets are theoretically possible, and in fact in some embodiments, these linkages can be created dynamically during market operation by market makers or other market participants.
  • Each individual asset or category market is capable of operating as a standalone MicroTick® marketplace in order to obtain an at-the-money price for the market.
  • the implied pricing and market maker quotations in individual markets use a feedback mechanism to achieve equilibrium.
  • the call and put prices available to trade on the MTM provide for estimates for the expected price volatility in the up and down direction respectively for the underlying asset.
  • the system of the invention in some embodiments provides for call and put quotes that can be themselves group contracts, that is, said call and put quotes provide for strike prices on at least two underlying assets and are listed by time duration with strike prices floating until time of purchase of the contract.
  • MTM markets using signal feedback can be built, for an MTM based on group contract options the same feedback mechanism can be used to achieve pricing stability, and in the preferred embodiment of the system of the invention, the implied price that is generated through such feedback is used to adjust relative weights used in valuing the group contracts.
  • Individual asset markets are grouped or linked to individual category markets or subcategory markets through a grouping function that in some embodiments include a number, weight or value that is assigned to the link. This weight is maintained by the marketplace in some embodiments as a means to achieve feedback in the system in a similar manner to the way the implied pricing is achieved in a standalone MTM, and is adjusted by the marketplace depending on and in response to the actions of traders buying and selling the individual assets, categories, and / or group contracts. As mentioned previously, not all embodiments combine signals through additive feedback, other means of signal combination, such as but not limited to products or phase adjustment are suitable for use as well.
  • the standalone MicroTick® marketplace is uniquely designed to be a liquid marketplace for at-the-money options, it is ideal for deriving and trading group contracts that can be used to generate liquidity between markets. This is because the at-the-money quality of MicroTick® options along with the balancing mechanism between calls and puts traded on the marketplace allow for price differentials to be traded on a standardized, ready market when treating such price differentials over a constant time duration.
  • the implied price generated by the MTM can be considered to ' ⁇ 'e ' an'applb ⁇ matibn'bf the expected value of the underlying asset.
  • a group contract by definition depends on the price movement of more than one asset or category (sometimes these are mathematical combinations of a plurality of asset and category prices) over a given time duration. Like MicroTick® options, group options have a time duration and a premium. However, group options additionally provide for multiple (at least two) strike prices that are the price of the respective input markets at the contract start time and a function that relates these strike prices and the price movement of at least two linked markets over the time duration to arrive at its value. In one preferred embodiment, this function is related to the covariance (product of the price differentials) of the underlying assets. In another preferred embodiment, this function is the geometric mean of the price differentials of the underlying assets. Geometric mean may be preferred in some embodiments because the contract can be easier to hedge by taking an opposing position to a previously opened position, because the value of an open position changes more linearly with correlated price movement.
  • the operation of a group contract is as follows.
  • the group contract is offered for sale by a market maker or trader that provides the purchaser a cash-settled amount that can be taken as a discount applied to the purchase of any single composite asset in a given category, based on the price movement of the basis prices over the time period of the contract.
  • the owner of the option can cash settle the group contract for its value or in some embodiments may be able to exercise the group contract into at least one underlying asset that is linked to the group.
  • Further embodiments provide for dynamically adjusting exercise quantities, instead of strictly cash-settling the contracts, based on the price movement of the composite asset and category price movements. Such exercise quantities become fixed only at contract expiration.
  • a group contract that can be exercised into a variable quantity X of an asset or category Y in the group where X is related to the price movement of a different member of the group is one type of group contract that is provided for by the ' s ' ystenfof the Invention * Both X and Y in this case refer to price differentials over the group contract's time duration.
  • FIG. 4 shows a block diagram of an apparatus capable of valuing a group contract derived from two or more MTM marketplaces, indicated by the dotted line in the diagram.
  • MTMs 401 operate in a standalone fashion and generate implied prices 402 as part of their normal operation. These implied prices are in some embodiments weighted 403 according to marketplace-assigned weights.
  • a sampler 404 is triggered at group contract start (which in the preferred embodiment is the time of purchase of the group contract of fixed time duration) and stop time by a timing mechanism 406. This results in price differentials 405 capable of being evaluated by valuation processing means 407, resulting in a contract value 408.
  • the contract value is the final value of the contract at or after expiration and is a function of the price differentials on the respective MTMs over the contract time duration generated by the timing block 406.
  • the system of figure 4 can easily be extended to more than two MTMs in parallel by adding additional inputs, weights, sampler inputs and outputs, and valuation inputs accordingly.
  • the valuation function 407 can be any of a number of valuation algorithms that will be discussed next. Note that there need be no distinction between asset or category markets with respect to MTMs 401 in the diagram. Any of the input MTMs 401 may be any combination of asset or category markets, depending on the desired system operation.
  • Marketplace assigned weights 403 may be in some embodiments adjusted periodically using any number of algorithms, including feedback from the output of other blocks or the contract value itself, depending on the desired system operation.
  • the MTMs 401 used as the group contract input may be replaced by mathematical combinations of one or more markets or even computed indexes that depend on but do not represent actual functioning markets (such as weighted averages of the implied prices of a plurality of MTMs) to yield a workable system.
  • the MTMs 401 are not considered to be part of the valuation mechanism, rather, they are a preferred means of generating an at-the-money price that can be used as an input to a group contract valuation apparatus in place of the implied price 402.
  • These inputs may in some embodiments be dynamically generated and change during operation of the system as a whole.
  • One preferred valuation mechanism is termed a "covariance contract" for which the contract valuation function 407 is the product of the price differentials 405 over the contract time duration.
  • a related type of valuation mechanism uses the geometric mean of price differentials over the contract time duration, as this type of valuation mechanism results in a pricing function that may make it easier for market participants to hedge open positions.
  • Covariance options are one type of covariance contract such that calls have value when the covariance valuation is greater than zero, and puts have value when the covariance valuation is less than zero.
  • Such opposing call and put contracts can be used in combination with feedback similar in manner to the operation of the MTM when adjusting weights for respective inputs.
  • a second type of valuation function 407 is the additive weighted sum of marketplace price differentials.
  • This type of multi-asset contract may take the form of calls and puts as group contracts using a weighted average of implied prices on the respective marketplaces as the valuation function. Such calls and puts have strike prices for each of the underlying assets of the group contract.
  • the weights may be periodically adjusted according to any of a various number of algorithms that can vary according to desired operation. In one preferred embodiment, these weights are adjusted according to a separate covariance function generated externally and use feedback as with the MTM to achieve price stability and premium parity between calls and puts.
  • a third type of group contract is termed a "category contract" which can be viewed as an option contract on any single asset in a group of assets.
  • the asset may be chosen during the contract's lifetime, or optionally at expiration by the owner of the contract.
  • the valuation function 407 reflects a single chosen price differential from the group of price differentials presented at its input.
  • one of the MTMs 401 may typically be a category MTM and the rest may be asset MTMs.
  • the contract's value will be the price differential over the contract time duration of any single asset's price movement over that time duration, where said single asset is chosen by the owner or purchaser of the contract.
  • the price differential is weighted depending on the single asset that is selected for exercise. For example, if asset A is trading at $5 (the $5 is the MicroTick® implied price) and asset B is trading at $10, and both assets are linked to category C, a category option on C would be able to be exercised into either A or B at a strike price of $5 or $10, depending on which asset was selected, in some embodiments weighted appropriately according to the relative weights of A or B.
  • the price for category C in some embodiments can be derived separately based on the purchases and sales of category options in the same manner as the asset markets using the MicroTick® implied pricing mechanism.
  • the marketplace uses dynamically adjusted weights assigned to the linkages between category markets and individual asset markets to adjust the value of the group contract. These weights may be assigned at contract purchase time or in some embodiments at contract expiration.
  • the weights can act as a multiplier for contract value, with strongly linked assets having a higher weight.
  • the weights can in some cases be used to adjust price (as in for cash settled contracts) or quantity.
  • One embodiment of the system of the invention provides for linkages between assets, sub categories and super categories to be dynamically weighted.
  • market makers can price cash-settled covariance options on any two markets. This is performed by quoting a fair price for covariance calls (which have value if the markets move in a correlated manner) and / or covariance puts (which have value if the markets move in a negatively correlated manner).
  • the marketplace uses the best bid / ask for these quotes to arrive at a fair estimate for the covariance (and hence, the correlation) of the markets.
  • the search function of the marketplace then ranks the markets by correlation when displaying search results or category contents to traders.
  • the purpose of the weighting is to achieve a feedback loop between the fair price for the chosen contract and the value of the weight. That is, if the price of the group call option rises with respect to the opposing put option, the marketplace should be able to adjust the appropriate weight to counteract this pricing In ofcIeFfor equilibrium to be achieved.
  • This feedback is the same general type of mechanism as described and used with the implied price for individual assets on a standard MTM.
  • a group contract does not have a fixed expiration nor fixed a strike price until the time the contract is purchased.
  • the strike prices are not assigned until the contract is exercised, when the trader or owner of the contract may choose which asset or assets the contract will be applied to.
  • the assets or categories the group contract applies to are selected at purchase and cannot be changed over the lifetime of the option.
  • the system of the invention provides a means for traders to trade broad categories of assets represented by category markets and to optionally narrow trading down to individual assets in a category possibly as a hedge or for other purposes. This accomplishes several purposes: it allows illiquid asset markets to be hedged by broad category markets and thereby increases the liquidity of the asset markets, and it makes it easier for marketplace participants to locate and find tradable contracts.
  • the liquidity of the category market helps channel liquidity to the individual asset markets by funneling trading activity.
  • One way this can be done is by assigning search terms to a category market that can be used to attract liquidity from traders.
  • Category markets used in this manner are related to search terms, such as "keywords" or other meaningful distinguishing identifiers that can be used to identify general group characteristics or group properties.
  • the marketplace implements a 'discovery' function consisting of a search mechanism combined with prioritized search results where traders identify and trade markets that span broad categories and the marketplace links then lead the traders down to the individual asset markets either through the possibility of exercising a category security into an individual asset in some embodiments, or by the rankings of markets in relation to their relevance to the general category in other embodiments.
  • links to asset markets are ordered " accofdmglo " relevance based on the prices of covariance group contracts relating the respective category and asset markets.
  • brokers at terminals 201 send search queries to control block 202 which returns a list of generic category markets 204 matching query. Trader can then trade a category 204 or transition to a more specific market, in this figure an asset market 203. In the figure, the category / asset hierarchy is only two levels. Orders subsequently placed using trader terminal 201 are routed through the control block 202 to the appropriate market. Asset / category links are prioritized in some embodiments based on covariance contracts indicating how strongly related the markets are in terms of expected common price movement over contract time duration.
  • a marketplace suitable for trading group contracts in the manner described is a distributed over-the-counter (OTC) marketplace operating as a bulletin board facilitating the trading of such options.
  • OTC over-the-counter
  • the trades taking place between counter parties would remain OTC but would be facilitated by a centralized server consisting primarily of a bulletin board and implied underlying price calculation service.
  • a central clearing member could be used to provide credit worthiness guarantees.
  • the centralized server contains data processing means consisting of one or more central processing units (CPU), one or more network connections and an application programming interface (API) for accessing services provided by the centralized server, data broadcasting means for disseminating contract price quotations and additionally in some embodiments a plurality of implied prices as well as optional weights to market participants, a cryptographic core capable of digitally signing trade data and for providing login authentication, time stamping and secure communications to market participants, and storage means capable of storing price quotations from a plurality of market participants.
  • data processing means consisting of one or more central processing units (CPU), one or more network connections and an application programming interface (API) for accessing services provided by the centralized server, data broadcasting means for disseminating contract price quotations and additionally in some embodiments a plurality of implied prices as well as optional weights to market participants, a cryptographic core capable of digitally signing trade data and for providing login authentication, time stamping and secure communications to market participants, and storage means capable of storing price quotations from a plurality of
  • the internet enables fast, convenient and easy sharing of information with anyone in the world. This convenience is highly useful for sharing information by enabling internet users to quickly find, access, download and share freely available
  • I 2 Information "f'Kere'is'another type of information that is available on the internet - information for a fee available for download or view. Such information is everywhere - stock reports, images, shareware, and news feeds rank among some of the more prevalent. Buyers of information have a justifiable concern about the quality of the information they are about to access. The seller of the information may be overstating the value of the information. The buyer may not have any use for a particular piece of information. The buyer needs to make sure he gets an appropriate value for the price paid. Information sellers have a different set of equally valid concerns. Sellers have an incentive to stand behind the price with a quality guarantee or by allowing a free "peek" at content in order to overcome a buyer's hesitation in transacting. If a preview is offered, they run the risk of the buyer viewing the information, finding what is needed (or not) and deciding not to pay for it. Sellers also run the risk of buyers sharing the information with other parties who may not have paid for the information.
  • At-the-money options may help to solve the problems these counter parties have.
  • MTM in between the counter parties, a buyer will be able to buy a call on a particular piece of information in order to have the ability to view the information for a set period of time before making a decision to buy.
  • the buyer will not need a large period of time to make a decision, so the natural short- term nature of the options traded on an MTM are perfectly suited for this situation.
  • a seller facing the other side of the transaction, loses control of the information once it is downloaded. The seller faces the risk that the information buyer will decide not to transact once the information has been viewed.
  • an information marketplace By classifying information into categories, an information marketplace will be able to offer liquidity to bids and asks on search keywords. As mentioned previously, these categories might belong to a predetermined category taxonomy, or keyword categories might be dynamically created on an as-needed basis as market participants relate specific assets to new, previously non-existent keywords. In either case, the underlying operation of the marketplace is unchanged as the addition of a new category will not affect other parts of the category taxonomy.
  • Each category is initially classified through the keywords appearing in response to the buyer's queries and the seller's asset description in some embodiments.
  • the marketplace can use search technology to match buyers and sellers through these categories and a correlation ranking system described earlier.
  • An "information market" can therefore be thought of as a sophisticated internet-based search engine for paid information.
  • Real estate is an intangible asset that has been historically traded exclusively in an over-the-counter manner. Real estate is also an illiquid asset, with buying and selling a house or apartment typically requiring price agreement, financing, title insurance, commissions, and closing.
  • the intangible marketplace can help bring liquidity to real estate in the same way it works for other assets.
  • Homes can be grouped as "3 bedroom", “ranch style” or "2 car garage”, where these are properties of houses that can easily be categorized, as well as categories based on location (neighborhood, city, state, region) or vintage (new, 1920's, 1970's).
  • the MicroTick® marketplace combined with group contracts allows buyers, sellers, and speculators (such as Title companies, Insurance companies, and other interested parties who have a vested interest in the well-being and liquidity of the housing market) to have a liquid marketplace on future prices for individual homes or categories ⁇ ⁇ f Homes' (154 Main Street would be a specific home, while "Mountain View Subdivision" is a category containing all homes in that subdivision).
  • a real-estate marketplace using at-the-money options would have use for all counter parties. Buyers shopping for a house would buy a call on the house to reserve the current market price. Homeowners would be able to buy puts to protect an individual home from price decline. Speculators could speculate on the prices of any home, as well as capitalize on overpriced or under priced homes in a neighborhood.
  • the actual real estate transaction i.e. the closing price and time
  • the price agreement between buyer and seller is of interest in that it can be used to periodically mark-to-market a particular asset being traded against the implied price at the time of the respective MTM.
  • Prediction markets are used to harness the power of groups to in order to make predictions on the likelihood of certain events.
  • the markets are based on underlying assets that have value based on whether or not a certain event occurs.
  • the price of the asset is then interpreted as an insight into the probability of that certain event occurring.
  • MTMs to trade options on these predictive assets makes sense in that a single implied price is generated rather than a bid-ask spread.
  • the option prices themselves represent the uncertainty in a specific prediction price, something generally not readily available in current predictive markets.
  • group contracts to correlate predictive assets allows greater possible insights and more variety and flexibility in the types of markets possible than without the technology. With covariance group contracts and grouped markets for example, additional information and potentially probabilities of combinations or groups of events occurring could be generated, represented by category groups and covariance contracts as separate tradable markets in some embodiments of the system of the invention.
  • this system of trading allows a financial marketplace to be built that generates its liquidity by grouping sets of dissimilar elements ' by " cOm ⁇ no ⁇ characteristics in an expanding hierarchy of parent sets or any other desired relationship, rather than imposing the traditional requirement that all contracts on a given market be unique and that standardized units be created.
  • contracts traded might have different, unique and non-constant values for all three parameters of strike, expiration and quantity.

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Abstract

La présente invention concerne un système, un procédé et un moyen qui créent des marchés liquides capables de grouper des actifs par corrélation et de négocier/échanger les actifs groupés sous forme de marchés de la catégorie intangible s'ajoutant aux actifs individuels. Les marchés par catégories sont corrélés aux actifs individuels par des options de covariance normalisée. La place de marché résultante est utile pour le négoce/l'échange normalisé d'actifs dissemblables, les marchés d'information, les marchés de prédiction et la technologie des moteurs de recherche associée ainsi que pour d'autres marchés d'actifs.
PCT/US2006/031142 2005-08-11 2006-08-09 Procede et appareil generant de la liquidite pour des actifs dissemblables au moyen de groupements par categorie WO2007021801A2 (fr)

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Cited By (1)

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Publication number Priority date Publication date Assignee Title
TWI557670B (zh) * 2010-09-14 2016-11-11 Illustrated systems and computer program products related to financial products

Citations (2)

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Publication number Priority date Publication date Assignee Title
US20020010670A1 (en) * 1998-02-13 2002-01-24 Mosler Warren B. Method, system, and computer program product for trading interest rate swaps
US20050086152A1 (en) * 2003-10-20 2005-04-21 Espeed Inc. System and method for providing futures contracts in a financial market environment

Patent Citations (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US20020010670A1 (en) * 1998-02-13 2002-01-24 Mosler Warren B. Method, system, and computer program product for trading interest rate swaps
US20050086152A1 (en) * 2003-10-20 2005-04-21 Espeed Inc. System and method for providing futures contracts in a financial market environment

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
TWI557670B (zh) * 2010-09-14 2016-11-11 Illustrated systems and computer program products related to financial products

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