Patent ID: 7974905
Filing Date: 2011-07-05
Classification: G06Q

Abstract:
1. A computer-implemented method for processing a trade data set, the method comprising: using a processor to: apply a first trade detection methodology to the trade data set on an intra-day basis for identifying outliers in groups of trades in the trade data set, wherein identifying outliers with the first trade detection methodology includes analyzing each identified group of trades to determine whether a variance spread between the trades is outside at least one predetermined variation threshold range; apply a second trade detection methodology to the trade data set for identifying groups of trades in a pre-period and a post-period around a trade date for a security, wherein the second detection methodology includes: (i) calculating an extrapolated expected value in response to at least one value selected from the group consisting of a weighted average rebate rate for trades associated with the security in the pre-period and a weighted average rebate rate for trades associated with the security in the post-period, and (ii) analyzing the security trade in response to the extrapolated expected value and a variation threshold range around the extrapolated expected value to identify whether an outlier trade exists.