Patent ID: 7356504
Filing Date: 2008-04-08
Classification: G06Q

Abstract:
1. A method of determining value-at-risk, comprising the steps of: electronically receiving financial market transaction data over an electronic network; electronically storing in a computer-readable medium said received financial market transaction data; constructing an inhomogeneous time series z that represents said received financial market transaction data; constructing an exponential moving average operator; constructing an iterated exponential moving average operator based on said exponential moving average operator; constructing a time-translation-invariant, causal operator Ω[z] that is a convolution operator with kernel ω and that is based on said iterated exponential moving average operator; electronically calculating values of one or more predictive factors relating to said time series z, wherein said one or more predictive factors are defined in terms of said operator Ω[z]; electronically storing in a computer readable medium said calculated values of one or more predictive factors; and electronically calculating value-at-risk from said calculated values.