Patent NZ-585199-A (NZ)
Title: A method and system for generating an asset index
Inventor: HARDMAN MATTHEW BYRCE
IPC: G06Q50/00
Filed: 2010-05-07
Abstract: A method and a system for generating a digitally encoded electric signal which represents an asset class capital gain index are disclosed. The system comprises (I) an asset data store into which is input asset data comprising asset attribute date, price data and time of sale data representing historical asset transactions in an predetermined asset class; (II) data manipulation means connected to the data store to manipulate the historical asset transaction data to adjust the magnitude of the price data taking onto account the time of sale data to create adjusted price data to represent the price of the asset transactions as if all transactions had occurred on a first base date; (III) transform means connected to the data manipulation means to transform the adjusted price data by a fixed monotonically increasing transform function to thereby create a transformed data set, the transform function having an inverse transform function; (IV) data fitting means connected to the transform means to fit the transformed data set via a generalized additive model to thereby create a value function for at least some of the asset attributes; (V) valuation function means connected to the data fitting means to apply the valuation function to all the assets in the transformed data set to thereby create transformed value estimates for each the asset; (VI) inverse transform means connected to the valuation function means to apply the inverse transform function to the transformed value estimates to thereby create a value estimate for each the asset; (VII) summing means connected to the inverse transform means to sum all the asset value estimates to form a total asset value as at the first base date which comprises the asset class capital gain index as at the first base date and (VIII) repetition means connected to the data store and each of the abovementioned means to permit: new asset transaction data having time of the sale data falling between successive base dates to be input into the data store to form an augmented historical asset transaction data set; (ii) the data manipulation means to repeat the data manipulation whereby the price data of the augmented asset transaction set is adjusted to represent the price of the new asset transactions as if the new transaction and the previous transactions had all occurred on the same date, (iii) the transform means to repeat the data transformation whereby the augmented price data is transformed to create a transformed augmented data set; (iv) the data fitting means to repeat the data fitting via the generalized additive model to thereby create an augmented valuation function for the new asset attributes; (v) the valuation function means to apply the augmented valuation function to thereby create augmented transformed value estimates for each the asset including the new assets; (vi) the inverse transform means to apply the inverse transform function to the augmented transformed value estimates to thereby create a value estimate for each the asset including the new assets; (vii) the summing means to sum all the asset value estimates to form a total augmented asset value as at the subsequent base date; (viii) the calculation of the change in the total augmented asset value between the successive base dates, and (ix) the multiplication of the asset class capital gain index as at the previous date by the change in the total augmented asset value as at the successive base date to thereby form the asset class capital gain index asset the successive base date. (61) Addition to 579105