Patent ID: 7930232
Filing Date: 2011-04-19
Classification: G06Q

Abstract:
1. A machine-based method for predicting, for use by or on behalf of an investor, a joint multivariate probability distribution, of probabilities of values of multiple items occurring simultaneously at a future time, the multiple items comprising assets at least some of which are associated with data on prices of two or more options for each of the assets for an earlier time, the two or more options for each of the assets having corresponding different strike prices of the asset at the future time, the method comprising: by computer, deriving from the prices of the options for the earlier time, univariate probability distributions, for respective individual ones of the assets, of values of the asset at the future time, the derivation of each of the univariate probability distributions including by computer, deriving the joint multivariate probability distribution based on (a) the univariate probability distributions, and (b) a requirement that there be agreement of (i) correlations of returns of pairs of items, at the future time, that are represented by the derived joint multivariate probability distribution, with (ii) correlations of returns for pairs of the items, that occurred historically, prior to the earlier time; and presenting information associated with the derived joint multivariate probability distribution to a user as a prediction of the probabilities of simultaneous values of the items at the future time.