Patent ID: 8041625
Filing Date: 2011-10-18
Classification: G06Q

Abstract:
1. A non-transitory computer-readable medium, having instructions recorded thereon which, when executed on a computing system, perform a method for calculating an intraday indicative value of an exchange traded fund (“ETF”), the method comprising: retrieving an intraday current value for equity securities included in the ETF; calculating an intraday change in value of at least one derivative product included in the ETF; retrieving a daily accumulated change in value of the at least one derivative product, wherein the daily accumulated change includes a gain or loss of the at least one derivative product during a previous trading day; determining the intraday indicative value of the ETF by combining: the intraday current value for the equity securities; the daily accumulated change in value of the at least one derivative product; and the intraday change in value of the at least one derivative product; comparing the intraday value of the ETF to a current market price of the ETF; and identifying one or more intraday arbitrage opportunities based on the comparison.