Patent Publication Number: US-2012041897-A1

Title: Market Indicator Process and Method

Description:
RELATED APPLICATIONS 
     This application herein incorporates by reference U.S. Pat. No. 6,061,663, entitled “Index Rebalancing”, and issued on May 9, 2000. 
     This application herein incorporates by reference U.S. patent application Ser. No. 09/841,661, entitled “Extended Hours Trade Filtering”, and filed on Apr. 24, 2001. 
    
    
     BACKGROUND 
     This invention relates to market index indicators. 
     Stock indexes (e.g., the Dow Jones Industrial Average, the Nasdaq 100, the Standard &amp; Poor&#39;s 500, etc.) are grouping of various securities, which are traded in a stock market or on an exchange. These indexes are valued in a way that takes into account the value of each individual security included in the index, such that a variation in the value of an individual security affects the value of the stock index. 
     An example of a stock market is The Nasdaq Stock Market®, whereas an example of an exchange is the New York Stock Exchange®. 
     As a traditional, floor-traded, exchange, the New York Stock Market requires interaction on a trading floor between human traders to accomplish stock trades. This trading most typically occurs during regular trading hours (which is commonly referred to as the regular trading session). However, electronic trading has been proposed for exchanges such as the New York Stock Exchange. Stock markets which trade electronically, such as the Nasdaq Stock Market, additionally allow for automated “extended-hours” trading between traders via computers before and after normal trading hours. 
     As electronic or other types of trading allow for “extended-hours” trading, if a security included in a stock index is traded during these “extended-hours”, the value of that security will typically change as a result of this trading activity. Accordingly, the value of any stock index including the traded security will also change. Unfortunately, the value of this stock index which includes the traded security generally is not recalculated until the beginning of the regular trading session (i.e., non-extended-hours) for that stock market. 
     SUMMARY 
     According to an aspect of this invention, a market indicator process, residing on a server, predicts an opening index price of a security index including at least two discrete securities. A trade monitoring process monitors at least a portion of the trading of the discrete securities that occur outside of a regular trading session. A closing price variation calculation process, responsive to the trade monitoring process, calculates the predicated opening index price of the security index for the beginning of the next regular trading session with respect to a closing index price of the security index at the end of the previous regular trading session. The index prices are indicative of the cumulative value of the discrete securities. 
     One or more of the following features may also be included. The market indicator process further includes an index definition process for defining the security index including at least two discrete securities. The trade monitoring process is configured to monitor at least a trade price of each monitored trade of the discrete securities. 
     The security index is a market capitalization weighted index. The closing price variation calculation process includes a closing index market capitalization process for calculating a closing index market capitalization value for the security index. The closing index market capitalization value is the market capitalization value of the security index at the end of the previous regular trading session. 
     The closing price variation calculation process includes a current index market capitalization process for calculating a current index market capitalization value for the security index. The current index market capitalization value is the current market capitalization value of the security index. The current index market capitalization process includes a discrete security market capitalization process for calculating a discrete market capitalization value for each discrete security included in the security index. Each discrete market capitalization value is the product of the total number of outstanding shares of the discrete security and the trade price of the discrete security. The trade price represents the last trade value that the discrete security traded for. The current index market capitalization process includes an index market capitalization process, responsive to the discrete security market capitalization process, for summing each discrete market capitalization value to determine the current index market capitalization value for the security index. The closing price variation calculation process includes a market capitalization comparison process for comparing the closing index market capitalization value and the current index market capitalization value to calculate the predicated opening index price of the security index. 
     The security index is a stock weighted index. The closing price variation calculation process includes a closing index stock weighting process for calculating a closing index stock weighted value for the security index. The closing index stock weighted value is the stock weighted value of the security index at the end of the previous regular trading session. 
     The closing price variation calculation process includes a current index stock weighting process for calculating a current index stock weighted value for the security index. The current index stock weighted value is the current stock weighted value of the security index. The current index stock weighting process includes a discrete security trade value summing process for summing the trade price of each discrete security included in the security index to generate the current index stock weighted value. The trade price represents the last trade value that the discrete security traded for. The closing price variation calculation process includes a stock weighting comparison process for comparing the closing index stock weighted value and the current index stock weighted value to calculate the predicated opening index price of the security index. 
     The trade monitoring process includes a trade filtering process for filtering bad trades that occur outside of a regular trading session. 
     According to a further aspect of this invention, a market indicator method for predicting an opening index price of a security index including at least two discrete securities includes monitoring at least a portion of the trading of the discrete securities that occur outside of a regular trading session. The market indicator method calculates the predicated opening index price of the security index for the beginning of the next regular trading session with respect to a closing index price of the security index at the end of the previous regular trading session. The index prices are indicative of the cumulative value of the discrete securities. 
     One or more of the following features may also be included. The market indicator method further includes defining the security index including at least two discrete securities. The monitoring at least a portion of the trading includes monitoring at least a trade price of each monitored trade of the discrete securities. 
     The security index is a market capitalization weighted index. Calculating the predicated opening index price includes calculating a closing index market capitalization value for the security index. The closing index market capitalization value is the market capitalization value of the security index at the end of the previous regular trading session. 
     Calculating the predicated opening index price includes calculating a current index market capitalization value for the security index. The current index market capitalization value is the current market capitalization value of the security index. Calculating a current index market capitalization value includes calculating a discrete market capitalization value for each discrete security included in the security index. Each discrete market capitalization value is the product of the total number of outstanding shares of that discrete security and the trade price of that discrete security. The trade price represents the last trade value that that discrete security traded for. Calculating a current index market capitalization value includes summing each discrete market capitalization value to determine the current index market capitalization value for the security index. Calculating the predicated opening index price includes comparing the closing index market capitalization value and the current index market capitalization value to calculate the predicated opening index price of the security index. 
     The security index is a stock weighted index. Calculating the predicated opening index price includes calculating a closing index stock weighted value for the security index. The closing index stock weighted value is the stock weighted value of the security index at the end of the previous regular trading session. 
     Calculating the predicated opening index price includes calculating a current index stock weighted value for the security index. The current index stock weighted value is the current stock weighted value of the security index. Calculating a current index stock weighted value includes summing the trade price of each discrete security included in the security index to generate the current index stock weighted value. The trade price represents the last trade value that that discrete security traded for. Calculating the predicated opening index price includes comparing the closing index stock weighted value and the current index stock weighted value to calculate the predicated opening index price of the security index. Monitoring at least a portion of the trading includes filtering bad trades that occur outside of a regular trading session. 
     According to a further aspect of the invention, a computer program product residing on a computer readable medium having a plurality of instructions stored thereon which, when executed by the processor, cause that processor to monitor at least a portion of the trading of the discrete securities that occur outside of a regular trading session. Computer program product calculates the predicated opening index price of the security index for the beginning of the next regular trading session with respect to a closing index price of the security index at the end of the previous regular trading session. The index prices are indicative of the cumulative value of the discrete securities. 
     One or more advantages may be provided from one or more aspects of the invention. Trades that occur outside of a regular trading session (i.e., those that occur during extended-hours trading) can be scrutinized to determine their impact on a stock index. By monitoring these extended-hours trades, the opening value of a stock index can be predicted. By tailoring the size of a stock index, the scope of the index can be fine-tuned to reflect a specific sector of the stock market. Accordingly, by monitoring the extended-hours trading of the specific securities included in the stock index, the trend of that specific sector of the stock market can be monitored during these extended-hours. 
     The details of one or more embodiments of the invention are set forth in the accompanying drawings and the description below. Other features, objects, and advantages of the invention will be apparent from the description and drawings, and from the claims. 
    
    
     
       DESCRIPTION OF DRAWINGS 
         FIG. 1  is a diagrammatic view of a market indicator process; 
         FIG. 2  is a diagrammatic view of a market indicator method; 
         FIG. 3  is a diagrammatic view of another embodiment of the market indicator process; and 
         FIG. 4  is a diagrammatic view of another embodiment of the market indicator process. 
     
    
    
     DETAILED DESCRIPTION 
     Referring to  FIG. 1 , there is shown a market indicator process  10 . Market indicator process  10  resides on server  12  which is connected to a distributed computing network  14  (e.g., the Internet, an intranet, a local area network, or some other form of network). Computerized trading system  16 , which trades securities electronically and also resides on server  12 , processes trades  18  entered by user  20 . User  20  typically accesses computerized trading system  16  via a desktop application  22  (e.g., Microsoft Internet Explorer™, Netscape Navigator™, a specialized desktop interface, etc.) residing on a desktop computer  24 . When trades are processed by computerized trading system  16 , each trade  18  includes a trade volume “V”  26  and trade price “P”  28 . 
     Computerized trading system  16  allows for the definition of various security indexes  30   1-n , each of which includes various discrete securities  32   1-n . Examples of these discrete securities  32   1-n  are stocks, bonds, options, futures, etc. Examples of these security indexes  30   1-n  are the Dow Jones Industrial Average, the Standard &amp; Poor&#39;s 500, the Nasdaq 100, etc. These indexes each have a closing price  33   1-n  associated with them which takes into account the value of each individual security included in the index, such that a variation in the value of an individual security affects the value of the stock index. These closing prices  33   1-n  are indicative of some representation of the cumulative value of the discrete securities included in a particular security index  30   1-n . While only four security indexes  30   1-n  are shown, this is for illustrative purposes only. The actual number of indexes specified within computerized trading system  16 , which is configurable by administrator  34 , can be varied to accommodate specific market conditions or needs. Market indicator process  10  includes an index definition process  35  for allowing administrator  34  to define these security indexes  32   1-n . Additionally, while each index  30   1-n  is shown to include only two discrete securities  32   1-n  this is also for illustrative purposes only, as the number of discrete securities included in the index can be varied to adjust the scope of that index. 
     As computerized trading system  16  trades electronically (as opposed to trading on a trading floor), computerized trading system  16  can conduct trading for extended periods of time. An example of an electronically-traded trading system is the Nasdaq Stock Market™ and an example of a floor-traded trading system is the New York Stock Exchange™. As traditional, floor-traded, trading systems require interaction on a trading floor between human traders to accomplish stock trades, this trading most typically occurs during the regular trading hours or session (i.e., 9:30 a.m. to 4:00 p.m. ET). However, electronically traded stock markets additionally allow for automated “extended-hours” trading between traders via computers before and after normal trading hours. For example, the Nasdaq Stock Market™ allows trading before normal business hours (between 8:00 a.m. and 9:30 a.m. ET) and after normal business hours (between 4:00 p.m. and 6:30 p.m. ET). Please realize that any trading system that includes a computerized component for automated trading can trade electronically. Accordingly, even a floor-traded system can trade electronically if there is a computerized component, which facilitates the floor trades. Even for floor trading there is discussion concerning trading after hours. Therefore, the trading systems emcompassed herein could include systems such as the New York Stock Exchange. 
     During the course of the regular trading session, the discrete securities  32   1-n  included in an index  30   1-n  are traded and the value of these individual securities change with each trade. These variations in the value of the discrete securities included in a specific stock index have a direct impact on the value of that stock index. Often, the value of the index is periodically calculated to reflect changes in prices of the component securities. This value of the stock index will continue to vary until the end of the regular trading session. The value of the stock index at the end of the trading session is known as the closing price for that stock index. 
     Accordingly, each stock index  30   1-n  has a closing price  33   1-n  associated with it. This value, as stated above, is the value of the index at the end of the regular trading session. This closing price will remain constant until the beginning of the next regular trading session, which may be overnight or over a weekend. At the beginning of the next trading session, the value of the individual securities  32   1-n  included in the security index  30   1-n  will determine the value of the stock index  30   1-n This is known as the opening price for that stock index. 
     Market indicator process  10  includes a trade monitoring process  36  that monitors the trades (and related trade values) of the specific securities  32   1-n  included in a stock index  30   1-n  which occur outside of that stock market&#39;s regular trading session. As discussed above, this regular trading session is a defined time period, which for the Nasdaq Stock Market is typically 9:30 a.m. to 4:00 p.m. ET. Monitoring these trades enables market indicator process  10  to predict the opening price of the security index  30   1-n  at the beginning of the next regular trading session. 
     Administrator  34  can configure trade monitoring process  36  to monitor as many or as few trades of the securities  32   1-n  included in a stock index  30   1-n  as the specific application calls for. For example, administrator  34  can configure trade monitoring process  36  so that it monitors: every trade; every other trade; only trades involving two or more shares; all but the first and last trade; etc. Naturally, the level of accuracy of the predicted opening price is proportional to the number (or percentage) of trades monitored. 
     A closing price variation calculation process  38  is responsive to trade monitoring process  36  monitoring trades of securities  32   1-n  that occur outside of the regular trading session. Closing price variation calculation process  38  calculates the predicted opening index price  42   1-n  of each of the monitored security indexes  30   1-n  for the beginning of the next regular trading session. This calculation of the predicted opening index price  42   1-n  of a security index  30   1-n  is based on the closing index price  33   1-n  of that specific security index  30   1-n  and the extended-hours trading activity of the securities  32   1-n  included in that security index  30   1-n . 
     The manner in which closing price variation calculation process  38  calculates the predicted opening index price  42   1-n  of each of the security indexes  30   1-n  varies depending on whether the index is a market capitalization weighted index or a stock weighted index. Accordingly, the two different types of stock indexes will be discussed separately. 
     For a Market Capitalization Weighted Index: 
     Closing price variation calculation process  38  includes a closing index market capitalization process  44  for calculating a closing index market capitalization value  46  for each security index  30   1-n  which is a market capitalization weighted index. This closing index market capitalization value  46  of a security index is the total market capitalization value of all the shares of each security  32   1-n  included in that index at the end of the regular trading session. As stated above, at the end of a regular trading session, each security index  30   1-n  has a closing price  33   1-n  associated with it. For a market capitalization weighted index, the closing index market capitalization value  46  for a particular security index is its closing price  33   1-n . For example, turning our attention to a specific index, security index  48  includes securities “A” and “B”. If security “A” is shares in a company “A Corp” which has one thousand outstanding shares which last traded (at the end of the last regular trading session) for $2.00 per share, the market capitalization for security “A” is $2,000. If security “B” is shares in a company “B Corp” which has five hundred outstanding shares which last traded (at the end of the last regular trading session) for $3.00 per share, the market capitalization for security “B” is $1,500. Accordingly, the closing index market capitalization value  46  of security index  48  is $3,500. The closing index market capitalization value of that index  48  at the end of the last regular trading session is a value that will remain constant until the next trading session begins. 
     Closing price variation calculation process  38  includes a current index market capitalization process  50  for calculating a current index market capitalization value  52  for the security indexes  30   1-n . In this particular example, there are four security indexes and they have closing prices  33   1-n  of $3,500, $5, $2,300, and $13.50 respectively. These closing prices  33   1-n  remain constant until the beginning of the next regular trading session. However, in the event that one or more of the securities that make up a particular security index are sold during extended-hours trading, these trades will most-likely alter the opening price for that stock index. The value that those securities were traded for will be used by market indicator process  10  to calculate a predicted opening index price  42   1-n  for that security. 
     When a trade which will effect the opening price for a particular stock index is monitored by trade monitoring process  36 , current index market capitalization process  50  will calculate a current index market capitalization value  52  for that particular stock index. This current index market capitalization value  52  is the market capitalization value of that particular stock index at the time immediately following the trade of one of the securities included within the particular stock index. Accordingly, each time an “extended-hours” trade is processed for a security included in a particular security index, that trade will effect the opening price of that security index. 
     Current index market capitalization process  50  includes a discrete security market capitalization process  54  for calculating a discrete market capitalization value for each discrete security included in the particular security index. Continuing with the above-stated example, if one hundred shares of “B Corp”, which traded during the regular trading session for $3.00 per share, were traded for $4.00 per share during extended-hours trading, the most current value for one share of “B Corp” is $4.00. Therefore, the market capitalization for security “B” is $2,000 (i.e. 500 shares worth $4.00 each). Assuming that security “B” is the only security in security index  48  that traded during the extended-hours trading, this is the only security that has to have its market capitalization recalculated. However, administrator  34  can decided whether to recalculate all securities included in that security index or only those securities that have been traded during the extend-hours period (i.e., only those securities that will have an impact on the current index market capitalization value  52  for that particular stock index). This will enable administrator  34  to balance server loading and accuracy. 
     Current index market capitalization process  50  includes an index market capitalization process  56  for summing each of the discrete market capitalization values calculated by discrete security market capitalization process  54  to determine the current index market capitalization value  52  for the security index impacted by extended-hours trading. Accordingly, index market capitalization process  56  will sum the $2,000 market capitalization value of “security “B” (i.e., the security who&#39;s market capitalization value has changed due to extended-hours trading) and the $2,000 market capitalization value of security “A” (i.e., the security who&#39;s market capitalization value has not changed since the end of the last trading session). This summing process by index market capitalization process  56  will result in the current index market capitalization value  52  being equal to $4,000. 
     Current index market capitalization value  52  and closing index market capitalization value  46  are provided to a market capitalization comparison process  58 . Market capitalization comparison process  58  compares these values  46  and  52  so that the predicted opening index price  42   1-n  can be calculated for the respective security index. This comparison can be handled in one of several ways. For example, in this particular example, the current index market capitalization value  52  is equivalent to the predicted opening index price for that particular security index, as current index market capitalization value  52  takes into account the current value of each security within security index  48 . Alternatively, a ratio (i.e., a multiplier) can be determined which will allow for calculation of the predicted opening price for that particular index. In this particular example, as the current index market capitalization value  52  is $4,000 and the closing index market capitalization value  46  is $3,500, the ratio would be 4,000/3,500 or 1.143. Therefore, this is indicative that the opening index price  42   1-n  for that particular security index will be approximately 14.3% greater than its closing price. 
     Administrator  34  may scale the value of a security index so that it only reflects an administrator-defined portion of the market capitalization value for that security index. For example, continuing on the above-started example, if security “A” had a market capitalization value of $40,000,000,000 and security “B” had a market capitalization value of $50,000,000,000, it would be awkward to have this security index close at a value of $90,000,000,000. Therefore, administrator  34  may chose to define the value of the security index to be 0.0000001% of its actual value. Accordingly, the value of this index would be $90, which is a much more manageable number. This scaling can occur in the current index market capitalization process  50  and closing index market capitalization process  44 , so that values  46  and  52  are pre-scaled before being provided to the market capitalization comparison process  58 . Alternatively, this scaling can occur in the market capitalization comparison process  58  itself. Additionally, administrator  34  may chose to bolster or limit the influence that certain securities have on a security index. For example, continuing with the above-stated example, security “A” has a market capitalization value of $2,000 and security “B” has a market capitalization value of $2,000. If a third security, namely security “Q” was added which had a market capitalization value of $50,000,000,000, it is easy to see that even a drastic movement in the market capitalization values of either or both securities “A” and “B” would have essentially no impact on the value of security index  48 . This is due to the fact that security “Q” accounts for 99.999992% of the total market capitalization for that security index. Therefore, administrator  34  may choose to limit the impact that a specific security can have on the value of a security index. This is often accomplished by limiting the amount that a discrete security&#39;s market capitalization value can be in relation to the security index&#39;s market capitalization value. Naturally, this limit can be expressed as either a percentage of the index&#39;s market capitalization value or a finite dollar amount. This method of index rebalancing is the subject of U.S. Pat. No. 6,061,663, entitled “Index Rebalancing”, which issued on May 9, 2000, and is herein considered incorporated by reference. 
     For a Stock Weighted Index: 
     Closing price variation calculation process  38  includes a closing index stock weighting process  60  for calculating a closing index stock weighted value  62  for each security index  30   1-n  which is a stock weighted index. This closing index stock weighted value  62  of a security index is the sum of the value of one share of each security  32   1-n  included in that index at the end of the regular trading session. As stated above, at the end of a regular trading session, each security index  30   1-n  has a closing price  33   1-n  associated with it. For a stock weighted index, the closing index stock weighted value  62  for a particular security index is its closing price  33   1-n . For example, turning our attention to a specific index, security index  64  includes securities “C” and “D”. If security “C” is shares in a company “C Corp” which last traded (at the end of the last regular trading session) for $2.00 per share, and security “D” is shares in a company “D Corp” which last traded (at the end of the last regular trading session) for $3.00 per share, the closing index stock weighted value  62  of security index  64  is $5. Again, the value of that index  64  at the end of the last regular trading session will remain constant until the next trading session begins. 
     Closing price variation calculation process  38  includes a current index stock weighting process  66  for calculating a current index stock weighted value  68  for the security indexes  30   1-n . In this particular example, there are four security indexes and they have closing prices  33   1-n  of $3,500, $5, $2,300, and $13.50 respectively. These closing prices  33   1-n  remain constant until the beginning of the next regular trading session. However, in the event that one or more of the securities which make up a particular security index are sold during extended-hours trading, these trades will most-likely alter the opening price for that stock index and, therefore, the value that these securities were traded for will be used by market indicator process  10  to calculate a predicted opening index price  42   1-n  for that security. 
     When a trade which will effect the opening price for a particular stock index is monitored by trade monitoring process  36 , current index stock weighting process  66  will calculate a current index stock weighted value  68  for that particular stock index. This current index stock weighted value  68  is the current stock weighted value of that particular stock index at the time immediately following the trade of one of the securities included within the particular stock index. Accordingly, each time an “extended-hours” trade is processed for a security included in a particular security index, that trade will effect the opening price of that security index. 
     Current index stock weighting process  66  includes a discrete security trade value summing process  70  for summing the trade price of one share of each discrete security included in the security index to generate the current index stock weighted value  68 . This current index stock weighted value  68  of the security index is the summation of the current trade price of each security  32   1-n  included in that index. These current trade prices represent the last trade value that the discrete security traded for. 
     Continuing with the above-stated example, if one thousand shares of “C Corp”, which traded during the regular trading session for $2.00 per share, were traded for $3.00 per share during extended-hours trading, the most current value for one share of “C Corp” is $3.00. Assuming that security “C” is the only security in security index  64  that traded during the extended-hours trading, discrete security trade value summing process  70  will sum the $3 per share value of “C Corp” and the $3 per share value of “D Corp” to generate a current index stock weighted value  68  of $6 for security index  64 . 
     Current index stock weighted value  68  and a closing index stock weighted value  62  are provided to a stock weighting comparison process  72 . Stock weighting comparison process  72  compares these values  62  and  68  so that the predicted opening index price  42   1-n  can be calculated for the respective security index. As above, this comparison can be handled in one of several ways. For example, in this particular example, the current index stock weighted value  68  is equivalent to the predicted opening index price for that particular security index, as current index stock weighted value  68  takes into account the current value of each security within security index  64 . Alternatively, a ratio (i.e., a multiplier) can be determined that will allow for calculation of the predicted opening price for that particular index. In the particular example, as the current index stock weighted value  68  is $6 and the closing index stock weighted value  62  is $5, the ratio would be 6/5 or 1.20. Therefore, this is indicative that the opening index price  42   1-n  for that particular security index will be approximately 20% greater than its closing price. 
     Administrator  34  may scale the value of a security index so that it only reflects an administrator-defined portion of the stock weighted value for that security index. For example, continuing on the above-started example, as security “C” trades for $3 per share and security “D” trades for $3 per share, this security index  64  would close at a value of $6, which might be considered too low a value for an index. Therefore, administrator  34  may chose to define the value of this security index to be ten times its actual value. Accordingly, the value of this index would be $60, which may be considered a more desirable number. As above, this scaling can occur in the current index stock weighting process  66  and closing index stock weighting process  60 , so that values  62  and  68  are pre-scaled before being provided to the stock weighting comparison process  72 . Alternatively, this scaling can occur in the stock weighting comparison process  72  itself. Additionally, as above, administrator  34  may chose to bolster or limit the influence that certain securities have on a security index. For example, continuing with the above-stated example, security “C” trades for $3 per share and security “D” trades for $3 per share. If a third security, namely security “R”, was added which traded for $200 per share, it is easy to see that even a drastic movement in the trade value of either or both securities “C” and “D” would have essentially no impact on the value of security index  64 . This is due to the fact that security “R” accounts for 97.08% of the sum of the total share values for that security index. Therefore, administrator  34  may choose to limit the impact that a specific security can have on the value of a security index. This is often accomplished by limiting the amount that a discrete security&#39;s trade value can be in relation to the security index&#39;s stock weighted value. As above, this limit can be expressed as either a percentage of the index&#39;s stock weighted value or a finite dollar share value limit. This method of index rebalancing is the subject of U.S. Pat. No. 6,061,663, entitled “Index Rebalancing”, which issued on May 9, 2000, and is herein considered incorporated by reference. 
     As the accuracy of the predicted opening index prices 42 1-n  generated by market indicator process  10  is directly dependant on the accuracy of the trade values for securities traded during extended-hours, it is important that these trade values be accurately reported and filtered to remove any bad trades. Trade monitoring process  36  includes a trade filtering process  74  for filtering out bad trades that occur during this extended-hours trading session. This method of filtering is the subject of U.S. patent application Ser. No. 09/841,661, entitled “Extended Hours Trade Filtering”, which was filed on Apr. 24, 2001, and is herein considered incorporated by reference. 
     Referring to  FIG. 2 , there is shown a market indicator method  100  for predicting an opening index price of a security index including at least two discrete securities. Method  100  monitors  102  at least a portion of the trading of the discrete securities that occur outside of a regular trading session and calculates  104  the predicated opening index price of the security index for the beginning of the next regular trading session with respect to a closing index price of the security index at the end of the previous regular trading session. These index prices are indicative of the cumulative value of the discrete securities. 
     Method  100  defines  105  the security index including at least two discrete securities. 
     Monitoring  102  at least a portion of the trading includes monitoring  106  at least a trade price of each monitored trade of the discrete securities. 
     The security index is a market capitalization weighted index. Calculating  104  the predicated opening index price includes calculating  108  a closing index market capitalization value for the security index. The closing index market capitalization value is the market capitalization value of the security index at the end of the previous regular trading session. Calculating  104  the predicated opening index price includes calculating  110  a current index market capitalization value for the security index. The current index market capitalization value is the current market capitalization value of the security index. Calculating  110  a current index market capitalization value includes calculating  112  a discrete market capitalization value for each discrete security included in the security index. Each discrete market capitalization value is the product of the total number of outstanding shares of that discrete security and the trade price of that discrete security. The trade price represents the last trade value that that discrete security traded for. Calculating  110  a current index market capitalization value includes summing  114  each discrete market capitalization value to determine the current index market capitalization value for the security index. Calculating  104  the predicated opening index price includes comparing  116  the closing index market capitalization value and the current index market capitalization value to calculate the predicated opening index price of the security index. 
     The security index is a stock weighted index. Calculating  104  the predicated opening index price includes calculating  118  a closing index stock weighted value for the security index. The closing index stock weighted value is the stock weighted value of the security index at the end of the previous regular trading session. Calculating  104  the predicated opening index price includes calculating  120  a current index stock weighted value for the security index. The current index stock weighted value is the current stock weighted value of the security index. Calculating  120  a current index stock weighted value includes summing  122  the trade price of each discrete security included in the security index to generate the current index stock weighted value. The trade price represents the last trade value that that discrete security traded for. Calculating  104  the predicated opening index price includes comparing  124  the closing index stock weighted value and the current index stock weighted value to calculate the predicated opening index price of the security index. 
     Monitoring  102  at least a portion of the trading includes filtering  126  bad trades that occur outside of a regular trading session. 
     Referring to  FIG. 3 , there is shown a computer program product  150  residing on a computer readable medium  152  having a plurality of instructions  154  stored thereon. When executed by processor  156 , instructions  154  cause processor  156  to monitor  158  at least a portion of the trading of the discrete securities that occur outside of a regular trading session. Computer program product  150  calculates  160  the predicated opening index price of the security index for the beginning of the next regular trading session with respect to a closing index price of the security index at the end of the previous regular trading session. The index prices are indicative of the cumulative value of the discrete securities. 
     Typical embodiments of computer readable medium  152  are: hard drive  162 ; tape drive  164 ; optical drive  166 ; RAID array  168 ; random access memory  170 ; and read only memory  172 . 
     Now referring to  FIG. 4 , there is shown a processor  200  and memory  202  configured to monitor  204  at least a portion of the trading of the discrete securities that occur outside of a regular trading session. Processor  200  and memory  202  calculate  206  the predicated opening index price of the security index for the beginning of the next regular trading session with respect to a closing index price of the security index at the end of the previous regular trading session. The index prices are indicative of the cumulative value of the discrete securities. 
     Processor  200  and memory  202  may be incorporated into a personal computer  208 , a network server  210 , or a single board computer  212 . 
     A number of embodiments of the invention have been described. Nevertheless, it will be understood that various modifications may be made without departing from the spirit and scope of the invention. Accordingly, other embodiments are within the scope of the following claims.