Source: http://www.google.com/patents/US5313560?dq=6702462
Timestamp: 2014-11-25 23:46:56
Document Index: 390376306

Matched Legal Cases: ['art.\n11', 'art.\n17', 'arts 705', 'art 705', 'art 704', 'art 2500', 'art 2500', 'art 2500', 'art 2500', 'art 2500', 'art 2500', 'art 2500', 'art 2500', 'art 2500', 'art 2500', 'art 2500', 'art 2500']

Patent US5313560 - Method for determining a supplemental transaction changing a decided ... - Google PatentsSearch Images Maps Play YouTube News Gmail Drive More »Sign inAdvanced Patent SearchPatentsA method of supporting the decision-making on the basis of a table type data is disclosed, which comprises the processes of defining a knowhow relating to the interpretation of the table type data, storing the knowhow in a storage unit, effecting the reasoning by application of the knowhow thus defined,...http://www.google.com/patents/US5313560?utm_source=gb-gplus-sharePatent US5313560 - Method for determining a supplemental transaction changing a decided transaction to satisfy a targetAdvanced Patent SearchPublication numberUS5313560 APublication typeGrantApplication numberUS 07/697,932Publication dateMay 17, 1994Filing dateMay 8, 1991Priority dateMay 11, 1990Fee statusLapsedAlso published asUS5544281Publication number07697932, 697932, US 5313560 A, US 5313560A, US-A-5313560, US5313560 A, US5313560AInventorsTetsuya Maruoka, Chizuko Yasunobu, Tadashi Hirose, Mayumi Kida, Kouichiro Ino, Yoshiya MiyagawaOriginal AssigneeHitachi, Ltd.Export CitationBiBTeX, EndNote, RefManPatent Citations (4), Non-Patent Citations (12), Referenced by (59), Classifications (12), Legal Events (7) External Links: USPTO, USPTO Assignment, EspacenetMethod for determining a supplemental transaction changing a decided transaction to satisfy a targetUS 5313560 AAbstract A method of supporting the decision-making on the basis of a table type data is disclosed, which comprises the processes of defining a knowhow relating to the interpretation of the table type data, storing the knowhow in a storage unit, effecting the reasoning by application of the knowhow thus defined, and evaluating the knowhow thus defined. (a) Information is applied by way of an input unit for starting any of the process of defining a knowhow, effecting the reasoning by application of the knowhow and ending the system process, (b) the information thus inputted is discriminated to execute a corresponding process of operation, and (c) if the corresponding process of operation is other than ending, the process is returned to step (a).
We claim: 1. A method of supporting decision-making for determining a supplemental transaction required for optimizing a decided transaction capable of being evaluated by a function applied from an information storage means, the method comprising steps of:analyzing a characteristic of an evaluation function of the decided transaction providing a total sum of evaluation functions of individual transactions making up the decided transaction; setting a regulation target for regulating said characteristic; and, determining the supplemental transaction changing the decided transaction to satisfy said regulation target. 2. The method of supporting the decision-making according to claim 1, wherein said setting the regulation target includes setting the regulation target of the evaluation function of the decided transaction and a value of a differential function relating to a parameter determined by an environment making up parameters of the evaluation function thereof.
3. The method of supporting the decision-making according to claim 1, wherein said setting the regulation target includes designating parameters of the evaluation function and setting a selected one of an optimum value and a target value of a differential function and the evaluation function associated with the designated parameter value.
4. The method of supporting the decision-making according to claim 1, wherein said setting the regulation target includes setting the regulation target of a value of the evaluation function and a differential function thereof by use of a symbol representing a qualitative characteristic.
5. The method of supporting the decision-making according to claim 4, wherein the symbol representing the qualitative characteristic of the evaluation function and the differential function thereof include one of a plurality of symbols of value indicating `positive`, `negative`, `zero,`, `ambiguous`, `increase` and `decrease`.
6. The method of supporting the decision-making according to claim 1, wherein said setting the regulation target includes attaching an order of priority to and weighting each regulation target for the evaluation function and a differential function thereof.
7. The method of supporting the decision-making according to claim 1, wherein said setting the regulation target includes providing a standard regulation target.
8. The method of supporting the decision-making according to claim 1, wherein said determining the supplemental transaction includes selecting an allowable range of a parameter of the evaluation function for the supplemental transaction and the individual transactions included in combinations thereof which is determinable with other than environmental parameters, and determining a parameter of the evaluation function within the allowable range.
9. The method of supporting the decision-making according to claim 8, wherein the allowable range is designated by maximum and minimum values of individual parameters and/or constraints to be satisfied by a plurality of parameters in the allowable range of parameters.
10. The method of supporting the decision-making according to claim 8, wherein a strategy selection rule of IF-THEN type having an IF part and THEN part is used in strategy selection, a strategy being proposed in the THEN part, the IF part confining characteristics of the evaluation function and a differential function thereof for the strategy described in the corresponding THEN part.
11. The method of supporting the decision-making according to claim 8, wherein the characteristic of the evaluation function and a differential function thereof is confined at an IF part of a strategy selection rule by use of symbols representing qualitative characteristics of the evaluation function and the differential function thereof.
12. The method of supporting the decision-making according to claim 11, wherein the symbols representing the qualitative characteristics of the evaluation function and the differential function thereof comprise at least one of a plurality of symbols of value indicating `positive`, `negative`, `zero`, `ambiguous`, `increase` and `decrease`.
13. The method of supporting the decision-making according to claim 8, wherein said step of determining the supplemental transaction comprises steps of:calculating the evaluation function and the differential function while setting a part of the parameter of the evaluation function and changing only independent ones of parameters of a transaction making up a strategy; and, displaying a state of satisfaction of the regulation target in accordance with a change in the independent ones of the parameters. 14. The method of supporting the decision-making according to claim 8, wherein said determining the supplemental transaction includes changing a selected one of a strategy selected at a strategy selecting step and a parameter regulated at a parameter regulation step.
15. The method of supporting the decision-making according to claim 1, wherein an allowable range is designated by maximum and minimum values of individual parameters and/or constraints to be satisfied by a plurality of parameters in the allowable range of parameters.
16. The method of supporting the decision-making according to claim 1, wherein a strategy selection rule of IF-THEN type having an IF part and a THEN part is used in strategy selection, a strategy being proposed in the THEN part, the IF part confining characteristics of the evaluation function and a differential function thereof for the strategy described in the THEN part.
17. The method of supporting the decision-making according to claim 1, wherein the characteristic of the evaluation function and a differential function thereof is confined at an IF part of a strategy selection rule by use of symbols representing qualitative characteristics of the evaluation function and the differential function thereof.
18. The method of supporting the decision-making according to claim 17, wherein the symbols representing the qualitative characteristics of the evaluation function and the differential function thereof include those symbols of value indicating `positive`, `negative`, `zero`, `ambiguous`, `increase` and `decrease`.
19. The method of supporting the decision-making according to claim 1, wherein said determining the supplemental transaction comprises steps of:calculating the evaluation function and a differential function while setting parameters of the evaluation function and changing only independent ones of the parameters of a transaction making up a strategy; and, displaying a state of satisfaction of the regulation target in accordance with a change in the independent ones of the parameters. 20. The method of supporting the decision-making to claim 1, wherein said determining the supplemental transaction includes changing a selected one of a strategy selected at a strategy selecting step and a parameter regulated at a parameter regulation step.
21. The method of supporting the decision-making according to claim 1, wherein the analyzing is capable of being executed by any one of setting a regulation target, selecting a strategy and regulating a parameter.
22. The method of supporting the decision-making according to claim 1, wherein the analyzing includes analysis of characteristics of the evaluation function of the decided transaction, analysis of characteristics of the evaluation function of the supplemental transaction and analysis of characteristics of the evaluation function after addition of the supplemental transaction to the decided transaction.
23. The method of supporting the decision-making according to claim 1, wherein the method may be returned from any of the steps of setting a regulation target, selecting the strategy and regulating the parameter to the step preceding thereto respectively.
24. The method of supporting the decision-making according to claim 1, wherein said transaction is an executable financial transaction, said evaluation function is a payoff function, and said environmental parameter is the one determined by the trend of the market.
In a system for describing the knowhow of an expert in the form of knowledge presentation of a rule or the like, storing it in a knowledge base and utilizing it for various decisions or analyses, the knowledge stored in the knowledge base is required to be reasonable. The
evaluation for this purpose requires a task called knowledge regulation. An expert system structuring tool marketed now is such that this task is performed in such a manner that a hypothetical test case is inputted manually and the resultant output is examined manually, and if the result is undesirable, the case is traced to correct corresponding knowledge. An "ES/KERNEL" is Hitachi's conventional expert system structuring tool. According to the ES/KERNEL, data accessed by a rule is stored in a data storage area called a frame. Further, there is an area called a slot in the frame for storing individual data items. An arrangement may be used as a type of this slot.
On the other hand, there is a decision-making support system described below for position control of the dealer to conduct financial trading with a self-position. (a financial trading held by himself).
Generally, a method of supporting the determination of the optimum processing, behavior or operation includes a technique called the linear optimization method, the nonlinear optimization method and the combinational optimization method. According to the conventional nonlinear optimization method, as discussed in "Optimization", Information Science 19, Iwanami Shoten Lecture Series, pp. 61 to 77, for example, values x1, x2, . . . , xn minimizing an objective function f (x1, x2, . . . , xn) under a constraint gi (x1, x2, . . . , xn) ≦0 are determined.
Now explanation will be made about a method of supporting the determination of an outline of option trading, which is one of the financial tradings, and an optimum trading.
Specifically, the decision on the operational policy is to determine the style of the payoff function of the self-position in such a manner as to earn a profit in accordance with the move of the market price. Such a style is defined by the payoff function and the values of delta, gamma, theta or the like making up a differential function thereof for a certain value assumed by the environmental parameter (the bond price, volatility or the risk-free rate determined by the market trend) providing a part of the parameters of the payoff function. To recompile the contents of the self-position in conformity with the operational policy is to determine the contents of trading (type of option, strike price and the expiration required for satisfying a target of position tuning as a characteristic value including the payoff value, delta value, gamma value or the theta value as well as the value of the environmental parameter determined as an operational policy,) and to conduct the particular trading.
Also, a method using a constraint logic programming applied to the support of the position management task of a dealer may be utilized for determining the contents of the trading satisfying the target of position tuning coincidental with the contents of the operational policy given for an environmental parameter and a characteristic value. Specifically, an environmental parameter (the bond price, volatility or risk-free rate determined by the market trend) and the characteristic value (such values as payoff, delta, gamma, and theta) may be restrained to tuned position target thereby to determine a parameter (type of option, strike price, the expiration or the like determined by the user) representing the contents of the trading satisfying the restraint of the characteristic value and the environmental parameter. In this case, the problem has been posed that a table data is required to be registered as described above for all the combinations available for the parameters relating to these option tradings.
SUMMARY OF THE INVENTION Accordingly, an object of the present invention is to provide a method and an apparatus for supporting decision-making capable of supplying more sophisticated information than the one obtained as a result of applying knowhow as well as the processing data by calculation in the decision-making support based on a table type data.
BRIEF DESCRIPTION OF THE DRAWINGS FIG. 1A is a diagram showing a functional configuration of a system for realizing a method of supporting the decision-making according an embodiment of the present invention.
FIG. 10 is a flowchart showing the steps of evaluation of an IF part of a rule.
FIG. 64 is a flowchart showing the supplemental transaction determination step shown in FIG. 52.
FIG. 71 is a diagram for explaining an objective function used for the processing shown in FIG. 60.
FIG. 72 is a diagram for explaining a parameter regulation table by transaction used for the processing shown in FIG. 60.
DESCRIPTION OF THE PREFERRED EMBODIMENTS First, a method and system for decision-making support according to an embodiment of the present invention will be briefly described with reference to the functional diagram of FIG. 1A. This embodiment comprises a data-reading and processing section 3 for reading and processing raw data supplied thereto from an external source and preparing a table type of time series data 2, a rule group 4 for presenting various knowhow relating to the interpretation of the table type data 2 in rule form, a fuzzy definition group 5 for presenting this rule interpretation in ambiguous form, a memory unit 6 for storing the fuzzy definition as a knowhow, a knowhow application section 8 for generating the grade of each rule and a prediction result 7 by applying the rule group 4 to a generated time series data 2 and applying the result thereof to an output unit 13, a knowhow definition section 9 for adding, deleting or changing the knowhow 6a stored in the memory unit 6, a knowhow evaluation section 10 for repeatedly energizing the knowhow application section 8 at a past time point of the time series data to process the same data on the basis of the grade of each rule generated and the prediction result 7 and apply the result thereof to the output unit 13, and a control section 11 for discriminating the information applied from the input unit 12 to call a corresponding processing function in accordance with the information thus discriminated and repeat the executions of the same process.
Steps of processing according to an embodiment of the present invention are shown in the flowchart of FIG. 1A, and a hardware configuration for realizing an embodiment of the invention in FIG. 2. In FIG. 2, a display unit 201 is an output unit for displaying a graph or the like indicating a message or execution result from the system or a change in transaction data. A keyboard 202 is an input unit for entering answers to questions from the system or various parameters A mouse 3 is for receiving as an input the information for energizing various processings by designation on the screen of the display 201. A memory unit 206 is an information storage medium for holding various information including bond transaction data, various time series data processing therefrom, an intermediate result in the process of reasoning by the system and other tables such as for the final result. The memory unit 206 also has a knowledge base 207 for storing a rule of IF-THEN type. A communication unit 208 is for receiving transaction data sent thereto real time through a communication channel from another communication unit 209 connected thereto. The communication unit 209, which is connected to a processing unit 210 making up another computer unit, is supplied with transaction data from the processing unit 210. A processing unit 204, which is in charge of controlling these units, is adapted to write various data into or read various data from these units or inspect them by a program 205 stored therein.
Returning to FIG. 1B, the steps of processing will be described in detail. First, upon energization of the system, an instruction is given to the communication unit 208 for reading data The communication unit 208 then reads transaction data from another processing unit 210 through another communication unit 209 and stores the transaction data on the memory unit 206. The transaction data thus stored are then stored as a table type data described in a raw transaction data table 300 shown in FIG. 3 (step 101). As shown in FIG. 3, the raw transaction data table 300 includes the columns of a table arrangement number 301, a "date" 302 indicating the date of transaction, an "open price" 303 indicating the starting transaction price of the day, a "high quotation" 304 indicating the highest transaction price of the day, a "low quotation" 305 indicating the lowest transaction price of the day, and a "closed price" 306 indicating the final transaction price of the day. These data are indicated in unit of yen for all of the open price 303, the high quotation 304, the low quotation 305 and the closed price 306. Also, when the raw transaction data 300 is generated, the arrangement number 301 for the last day of storing the data is stored in an area of the origin day for reasoning 350 and an initial area of the origin day for reasoning 360.
As the next step, the knowhow stored in the knowledge base 207 is analyzed to prepare a knowhow list table 600 shown in FIG. 6 (step 103). This table, representing the ID of individual knowhows by chart (type of interpretation of the time series data), includes a chart name 601 and a knowhow (hereinafter called "the rule") number storage area 602 associated therewith. The chart called "candle stick (one)", for example, indicates that there are rules `101`, 102`, `103` and so on. Now, explanation will be made about a rule stored in the knowledge base 207. The "rule" here indicates the knowledge as to how an exert interprets the data existing in the raw transaction data table 300 and the feature data table 400. The method of this interpretation is classified into types different in the viewpoint of interpretation called in various charts according to the difference in the time series data referred to at the time of interpretation. The rule takes the type of presentation shown in FIGS. 7A and 7B stored in IF-THEN type as shown in the same diagrams. As an example of description, three rules 710, 720 and 730 are described. Each of these rules includes a rule number 701, an associated chart name 702, a rule name 703, a condition part of a rule 704 and a execution part of a rule (a predicted price change value 705 and a message 706). Two type of items including a pattern indicating the establishment of another rule and the comparison of feature data are described in the rule condition part. The interpretation of the rule 710 belongs to a chart "`127` in rule number with `candle stick (one)`, and has a rule name `upper cross`. If the value at the time point `0` of the time series data called the `stick` is equal to `0` with the value `upper wick` being `6` or more at the time point `0` of the time series data and the value `lower wick` being `18` or more at the time point `0` of the time series data, then the predicted value of the bond price fluctuates in the range from between -0.05 and 0.10 yen. Further, when this condition is established, the message is "Indicate `upper cross`". The meaning of the time point `0` on the time series data is that a time point on the time series data to which the application of the reasoning is intended is referred to as `0`, so that if it is desired to access data immediately preceding to this reference, description is made by a numeral `- 1` as relative to the reference. In view of the fact that according to this embodiment the transaction data on the bond price is stored daily as a time series data, the interpretation of the condition of the same rule could be actually understood more easily by the indication "if the day's `stick` is `0` or more with the day's `upper wick` 0.06 or more and the day's `lower wick` 0.18 or more, then . . . ". An interpretation in similar fashion of the rule 702 results in an instruction "The rule of what is called the bull trend associated with a chart called the moving average stick is such that the bond price of the next day will fluctuate by between 0.00 and 0.10 yen as compared with the day's level on the assumption that the day's shorter moving average is more than that of the preceding day, the day's middle moving average is more than that of the preceding day, the day's longer average is more than that of the preceding day, and that the condition of bull order is established on both the particular day and the preceding day. If such a condition is established, indicate bull as a message." Also, the condition `bull order` 707 stored in the rule condition section 704 of the rule 720 is defined in the rule 730. The interpretation of the rule 703 is for "the rule of what is called the bull order associated with a chart called the moving average stick and is such as to indicate the bull order as a message if the day's shorter moving average is more than the day's middle moving average and if the day's middle moving average is more than the day's longer moving average." According to this rule, the predicted price change value 705 is not specifically indicated. This means that the price is incapable of being predicted even if such a condition as this is established. As will be seen from these examples of description, each rule is classified in the framework called a chart (which may be considered a rule group). For this reason, a rule check table 600 with each rule group corresponding to an associated rule number is created. The object of this table is to display the rule check information for each rule group subsequently and to place the rule used for reasoning at the head of the list. A table is prepared in accordance with the order of rule storage in the knowledge base 207 as an initial value of the rule list. This table is created by fetching the rules one by one from the knowledge base 207, discriminating the chart name 702 described in the rules, and storing it sequentially in the rule number check area 602 corresponding to the chart name column 601 of the rule check table 600.
The reasoning at this step is executed by setting a reference of reasoning at the latest date (the final date for which a data is available) on the time series data. As shown in the raw transaction data table 300, for instance, assume that the data has the latest date of August 3. The value `100` providing the value of the arrangement number 301 where the data for the particular date is stored is stored in the area of the origin day for reasoning 350. The steps of processing the reasoning will be described in detail below.
In the case where a conditional clause is a pattern, it is checked whether the table contains a corresponding pattern with reference to the established pattern table 1200 (step 1004). The object of the established pattern table 1200 is to prevent repeated execution for decision of a rule once it is established. Even when the same pattern is described in the rule condition section for a plurality of rules, the definition rule for the particular pattern, once executed, is written into this table, so that the establishment of the pattern is decided by reference to this table for a second reference rule. In this way, the established pattern table 1200 is for storing the result of pattern decisions which have been found already established by the execution of a rule. This configuration, as shown in FIG. 12, is comprised of a pattern name 1201 which has been found established, a date 1202 indicating the displacement of the date on which the pattern is established from the arrangement number in the present area of origin day for reasoning 350, and a grade of establishment 1203 of the particular pattern. In the example shown, as a result of execution of another rule, it is already indicated that the pattern called the bull order is established with the grade of 0.8 on the same date as the present origin day for reasoning. This pattern collation is effected by comparing the pattern name 707 described in the conditional clause taken out at step 1002 and the value in the area of origin day for reasoning 350 less the value in the initial area of origin day for reasoning 360 plus the value of the date 708 surrounded by `(`,`)`, respectively with the pattern name 1201 and the data 1202, and those coincidental with each other are searched for from the table 1200. If such coincidental items are found, the collation is regarded successful, and vice versa (step 1005). If the collation is successful, the value of the grade 1203 on the corresponding line on the generated pattern table 1200 is taken out, and the process is passed to step 1014 for updating the grade. If the pattern collation ends in failure, on the other hand, the value in the area of origin day for reasoning 350 is rewritten in accordance with the date 708 of the pattern to be collated. This rewriting process is effected by subtracting the value of the date 708 from the value in the area of origin day for reasoning 350 followed by setting again in the area of origin day for reasoning 350.
for example, the upper wick is taken out. As the next step, a numeral for defining the membership function corresponding to the feature name thus taken out is collected from the fuzzy table 1400 (step 1302). In the case of the conditional clause mentioned above, the range 1402 providing the grade 0.5 corresponding to the upper wick is taken out, and therefore `0.03` of 1403 is collected. The feature data or the constant described on the left and right sides of a conditional clause is taken out (step 1303). Take the conditional clause mentioned above as an example. `0.05`, for instance, is taken out as the left side, and `0.06` as the right side. The steps of taking out the value of the feature data are realized by taking out the data at a point of arrangement number of the value stored in the area of origin day for reasoning 350, less the relative date surrounded by `(`,`)` described immediately following the feature data name of the conditional clause in the raw transaction data table 300 or the feature data table 400 having a feature data name 310 coincidental with the feature name involved.
Returning to FIG. 9, the steps of executing the rule THEN part at step 905 will be described in detail. This process is the one conducted when the rule IF part is established. Specifically, it is for analyzing and executing the presentation described in the rule THEN parts 705 and 703. Let us explain this process with reference to the flowchart of FIG. 17. First, with the establishment of the rule IF part, the pattern defined by the particular rule is registered in the established pattern table (step 1701). The steps of this processing will be explained with reference to the flowchart of FIG. 18. The rule name 703 indicating the pattern name defined by this rule and the value of the grade storage area 1100 set by the rule IF part evaluation 902 are taken out (step 1801). Then, the date on which the same rule is energized is taken out (step 1802). The date of rule energization represents the relative difference between the value set in the area of origin day for initial reasoning 360 and that in the area of origin day for reasoning 350. If this date is set, for example, to `100` initially and now stands at `95`, the actual date is determined as `-5` (=`95`-`100`). In this way, the date is calculated by subtracting the value in the initial area of origin day for reasoning 360 providing a reference date for the time point of taking out the rule at step 901 from the value in the area of origin day for present reasoning. By so doing, the requirement is met for the recursive evaluation of the rule IF part at step 1008. In the next step, it is decided whether or not a pattern having the same name and date as taken out at steps 1801 and 1802 is present in the generated pattern table 1200 (step 1803). This decision is effected in such a manner that the pattern 1201 coincidental to the rule name taken out is searched for, and becomes successful if the date 1202 on that particular line coincides with the date taken out as mentioned above. If as a result of the decision such a pattern already exists in the generated pattern table 1200, the grade taken out at step 1801 is compared with that in the table (step 1805), and if the value of the grade taken out at step 1801 is greater, the grade in the table is rewritten into the particular greater value (step 1806). Specifically, when a plurality of different rules define the same pattern, the value associated with the greatest grade is determined as appropriate. In the case where the step 1803 decides that a corresponding pattern is lacking in the generated pattern table, the name of the rule, the date and the value of the grade are additionally written into the generated pattern table 1200 (step 1804). Upon completion of the aforementioned steps, the number of the particular rule and the established grade of the rule IF part are written into the execution rule table 1900 (step 1702). The execution rule table 1900 includes, as shown in FIG. 19A, a column 1901 for storing the rule number executed and a column 1902 for storing the established grade of the particular rule IF part. This table has stored therein a history of the rule used (actually ignited) in the execution of reasoning. In the next step, the change prediction width of the bond price described in the rule THEN part 705 is taken out, so that the particular rule number, the value of the established grade 1100 of the rule IF part 704 and the value of the change prediction width are written into the prediction result table 2000 (step 1703). In view of the fact that there are as many prediction result tables 2000 as the charts (rule group), however, such a value is written into the table associated with the chart name (rule group) under reasoning as designated at step 801 in FIG. 8. The prediction result table 2000 includes, as shown in FIG. 20, an area 2001 indicating a chart (rule group), a column 2002 for storing the rule number, a column 2003 for storing the established grade of the rule IF part, a column 2004 for storing the low limit of reactive prediction width of the price and a column 2005 for storing the high limit thereof.
Explanation will be continued again with reference to FIG. 1B. As the next step, screens are displayed on the display unit 201 to indicate a chart graph of the time series data and the result of reasoning (step 105). The screens displayed at this step include the general prediction screen 2400 shown in FIG. 24 and the screen 2500 shown in detail for each chart in FIG. 25. The steps of this display will be explained with reference to the flowchart of FIG. 26.
The result of prediction by chart is then displayed on this general prediction screen 2400 (step 2602). Specifically, the values of the predicted low limit 2103 and the predicted high limit 2104 stored in the rule group execution result table 2100 are added to the closed price or the day. The closed price of the day is capable of being determined by taking out the value associated with the feature name 310 of the raw transaction data table 300 stored at the position of the arrangement number stored in the area of origin day for reasoning 350 on the column of the closed price. The resulting sum is produced as an output in the predicted high value limit display area 2403 and the predicted low value limit display area 2402 on the same row as the corresponding chart name 2401. In similar fashion, the values of the predicted low limit value 2202 and the predicted high limit value 2203 stored in the general result table 2200 are taken out, calculated and produced as an output in the predicted high limit value display area 2403 and the predicted low limit value display area 2402 on the same row as "Summarization" 2410 of the general prediction screen 2400. In the process, the predicted low limit 2103 and the predicted high limit 2104 in the rule group execution result table 2100 and the predicted low limit 2202 and the predicted high limit 2203 in the general result table are checked for positive or negative values or zero. The signs `↓`, `↑` and `.` are produced if they are negative, positive and zero respectively as an output similarly in the predicted low limit display area 2402 and the predicted high limit display area 2403 of the general prediction screen. Further, this step 2602 takes out the execution rule number 1901 sequentially from top, the rule of the particular number from the knowledge base 207 and the character train described in the message 706 of the particular rule with reference to the execution rule table 1900 indicating the rule executed at step 104 for execution of reasoning, thereby producing as an output the character train and the rule establishment grade 1902 in the message display area on the same row as the chart name 2401 corresponding to the chart associated with the particular rule.
After display of the general prediction screen, the screen by chart 2500 is displayed. The screen shown in FIG. 25 is one of the moving average stick providing an example of the screen by chart. Actually, there are a plurality of screens by chart, which are all displayed as the next step. First, it is checked whether or not all the screens by chart have been displayed (step 2604), and if there is any undisplayed, the particular undisplayed screen by chart 2500 is displayed (step 2605). In the process, as in the display of the general prediction screen of step 2601, the area of display is named and the data indicating the correspondence thereto is prepared in the table 2700.
Further, according to this embodiment, the rule check list information is displayed on the screen by chart 2500 collectively as a unit of rule group as actually used for reasoning. In addition, the data referred to by the particular rule group is displayed as a chart (graph) on the same screen. Therefore, it is possible for a dealing expert using the system to effectively decide, for instance, that "this rule should not be ignited under today's conditions" or the like while watching the actual chart conditions as compared with the ignited rule, thereby making it possible to easily determine a rule which requires regulation or change.
First, explanation will be made about the knowhow definition step 108. This step is literally the one for defining (deleting, correcting and newly registering) a rule providing a knowhow and is executed by the use of an exclusive editor against a designated rule. This step is energized by designating the rule name area 2503 of the screen by chart 2500 through the mouse 203. When any of the items of this area is designated, the pull-down menu 3000 shown in FIG. 30 appears in the neighbourhood of the area designated. The "rule definition" of 3001 is designated in any of the three areas of this menu thereby to energize the editor. The rule name display area 2503 designated has defined therein a "rule name 1", "rule name 2", . . . , "rule name 5" downward in that order. The last numeral of this name is taken out, and the value of the rule display head arrangement number storage area 650 corresponding to the numeral is added followed by subtraction of 1 therefrom leading to the arrangement number in the rule check table of the rule displayed in the designated area. The rule number 602 corresponding to the point of this arrangement number is taken out, and the rule of this rule number is fetched from the knowledge base 207 thereby to energize the step of rule editor. Upon energization of the rule editor, the screen shown in FIG. 31 is created to go through a predetermined process, and upon completion of this process, the present knowhow definition step 108 is ended. Details of the rule editor function will not be explained as it is considered unrelated to the present invention. The screen by chart 2500 has areas 2501 and 2502 for scrolling the rule check area. Upon designation of these areas by mouse, the value of the rule display head arrangement number storage area 650 is incremented by five in the former case (although no operation is performed if the sum exceeds the total number of rules of the corresponding chart) thereby to execute the process described at step 2600 in FIG. 26 and change the contents of the rule check list display. In the latter case, on the other hand, the value of the rule display head arrangement number storage area 650 is decremented by five (although no operation is performed if the difference is 0 or less) thereby to change the contents of the rule check list display through the process of the step 2606 in the same manner as in the former case.
First, the re-execution of reasoning with a rule changed is effected in such a manner that the reasoning is applied only to the rule group associated with the change rule, the result thereof is displayed, and the synthesis of the change price prediction is recalculated. This process will be explained with reference to the flowchart of FIG. 32. The process shown in this flowchart is energized by changing the rule at step 108 and designating the "end of change" in the area 2512 of the screen by chart 2500 through the mouse 203. First, the screen name where an instruction has been inputted is taken out. This screen name is a rule group name (step 3201). Then the rule group reasoning is executed for this rule group name (step 802). Further, the result of reasoning of the rule group is summarized (step 803), followed by summarizing all the rule group results (step 805). After that, the prediction result by chart of a designated chart is produced as an output on the general prediction screen 2400 (step 3202), and a rule check list and the result of execution are displayed on a screen by chart 2500 corresponding to the particular rule group (step 2606). The steps 802, 803 and 805 are already explained with reference to FIG. 8. Step 3202, on the other hand, is such that step 2602 is applied to a designated chart name, followed by referring to the general result table 2200 and displaying the same in the area 2401 "summarization" of the screen 2400. Also, step 2600 is the same as the corresponding step described in FIG. 26.
The process of further executing the reasoning by recalculating the feature data at the time of changing a parameter in an individual chart will be explained with reference to the flowchart of FIG. 33. This process is started by designating by mouse 203 the parameter value display area surrounded by a rectangular frame of the parameter display area 2509 of the screen by chart 2500 (step 3301). The areas individually designated are named "parameter 2", . . . , "parameter 5" respectively In the next step, the keyboard cursor is indicated in the designated area to input a new parameter value by way of keyboard (step 3302). The new parameter value thus input and the last digit of the area name input are taken out to update the parameter table 2900. This updating process is such that a chart name 2901 coinciding with the screen name input is searched for, so that the parameter value 2903 at a point having the last number of the area name taken out which coincides with the number as counted from the top of the parameters is updated. Further, the recalculation feature name 2904 of that row is taken out (step 3303). After that, the recalculation feature name 2904 present on the left side of the feature data definition table 500 is found, and the feature data is recalculated in accordance with the formula in the definition table thereby to set the row of the feature name 310 again (step 3304). Further, on the basis of the feature data thus set, the change graph thereof is redisplayed on the screen by chart 2500 inputted with a parameter change (step 3305). The graph is rewritten by executing the step 2607 in FIG. 26. After that, in order to execute the reasoning of the rule group of the particular chart, the process proceeds to the step 802 shown in FIG. 32 thereby to continue the remaining processes. Assume, for example, that the value of "period "a" providing a parameter of the chart (rule group) moving average stick shown in FIG. 25 is changed from `3` on display to `4`. Then the value `3` of the top parameter 2903 in the moving average stick of the chart name 2901 is updated to `4` in the parameter table 2900, thereby taking out the `short moving average` of the recalculation feature name 2905. The feature data definition table 500 having this `short moving average` on the left side is searched for, and in accordance with the calculation formula thereof, the values in the rows of the feature data table 400 of the `short moving average` are rewritten. After that, the feature name in graph display on the row having the `moving average stick` as a chart name 2801 in the display graph table 2800 is taken out, the value in the feature data table 400 of the particular feature name is also taken out, and the change thereof is plotted and redisplayed as a graph. Since the specific value of the feature data has been changed, the rule associated with the moving average stick rule group is re-executed.
Now, explanation will be made about the process of executing the reasoning by setting a reference for application of the reasoning to a given date on a time series data as the last function of the knowhow application step 109. First, this step is started by designating `simulation` of the general prediction screen 2400 by the mouse 203 (step 3401). Then, a given point in the graph display area is further designated by the mouse 203, and the coordinate data of that point is inputted (step 3402). Of this coordinate data, the X coordinate is taken out, and applying this to Xi of the equation 2 above, the corresponding arrangement number i of the time series data is determined. Since the arrangement number is of course an integer, the orders below the integral point are discarded in the conversion from right to left sides (step 3403). After that, the values of the date, open price, high quotation, low quotation and closed price on the customer data table 300 at the point of the arrangement number are taken out and produced as an output in a display area corresponding to al the screens by chart 2500 (step 3404). Further, the value of the corresponding arrangement number i is written in the area of origin day for reasoning 350 (step 3405). All the rules are then subjected to reasoning again (step 104), and the result thereof is displayed in the general prediction screen 2400 and all the screens by chart (step 406). In the process, the reasoning execution step 104 functions in the same manner as described with reference to FIG. 1B. The result of reasoning is displayed at step 3406 by executing the steps of screen display of step 105 in FIG. 1B except for those related to screen creation. The explanation about the knowhow application of step 109 is now over.
First, the rule evaluation will be explained with reference to the flowchart of FIG. 35. This process is started by designating any of the rule name display areas 2503 of the screen by chart 2500 through the mouse 203, and by further designating the "rule evaluation" 3002 of the pull-down menu 3000 subsequently displayed through the mouse 203. The rule number designated at this stage is capable of being taken out through the steps similar to those for taking out a designated rule number in the knowhow definition step 109. First, the rule evaluation screen 3600 shown in FIG. 36 is displayed (step 3501). Although various data values and a histogram are displayed as shown, the display is limited to the titles and frames at this stage. In the next step, the rule 710 corresponding to the rule number taken out is taken out of the knowledge base 207 (step 3502). After that, the range of reasoning application is set in the form of a period from one to another given day on a time series data (step 3503). This setting covers the entire range of existence of the time series data. In other words, the arrangement numbers `1` to `100` are covered in the case of FIG. 4. Then, the head arrangement number `1` in this range is set in the area of origin day for reasoning 350 and the initial area of origin day for reasoning 360 (step 3504). Then, evaluation is made as to whether the rule section 704 of the rule 710 taken out at step 3502 is established or not (step 902), with the result that whether the IF part is established or not is decided (step 903) If the IF part is established, the value of the area of origin day for reasoning 350 in which the arrangement numbers of the time series data under reasoning and the grade of rule establishment are stored sequentially in the established date storage table 3700 (step 3505) Unless the rule is established, the step 3505 is not executed. The established date storage table 3700, as shown in FIG. 37, is comprised of an area 3701 for storing a plurality of arrangement numbers of a time series data and an area 3702 for storing a rule establishment grade associated therewith. Then, the values in the area of origin day for reasoning 350 and the initial area of origin for reasoning 360 are incremented by one (step 3506). Subsequently, it is decided whether the value of the area of origin day for reasoning 350 exceeds the range of reasoning application (step 3507). If this value does not exceed the range of reasoning application as yet, the process is returned to step 902. In the case where the range of reasoning is exceeded, by contrast, various data for taking out achievement data are applied as an input, and according to these parameters, the established date storage table 3700 is referred to while at the same time taking out the achievement data, which is processed with the result thereof produced as an output on the rule evaluation screen (step 3508). The step 3508 will be explained more in detail with reference to the flowchart of FIG. 38.
First, by reference to the evaluation parameter tables 3900, the standard values of the parameters stored in the table in advance are displayed on the rule evaluation screen 3600 (step 3801). The evaluation parameter table 3900 is configured of an area name column 3901 on the screen for displaying parameters and the parameter values 3902 displayed therein, as shown in FIG. 39. As a result, these tables are taken out one by one, and the value written in the display area on the actual rule evaluation screen 3600 coinciding with the name written in the display area name 3901 is produced as an output, thereby making it possible to display a standard value of each parameter. Then, various inputs for starting the process are applied by designating an area on the screen through the mouse 203 (step 3802). The type of the area thus inputted is determined (step 3803), and if any of the parameter display areas 3601, 3602, 3603 and 3606 is designated, a new parameter value is inputted from that particular area through the keyboard 202 while updating the parameter value of the corresponding evaluation parameter table 3900 (step 3804) If the area designated is `End` 3606, on the other hand, the rule evaluation screen 3600 is erased (step 3805) thereby to end the process. In the case where the designated area is `Execution of Rule Evaluation` 3604, the evaluation result table 4000 shown in FIG. 40 is prepared. The steps of processing the preparation of this table will be explained with reference to the flowchart of FIG. 41. The parameter values of the low extraction grade limit 3601 and the high extraction grade limit of the evaluation parameter table 3900 are taken out (step 4101), and an established date storage table 3700 having a range of these two parameters covering the particular establishment grade 3702 is searched for, so that the related established arrangement number 3701 is sequentially stored in the established date arrangement number 4001 of the evaluation result table 4000 (step 4102). Specifically, the date of establishment of the evaluation rule is further reduced to the days covering a specific range of establishment grade. Then the arrangement numbers stored in the established date arrangement number 4001 of the evaluation result table 4000 are sequentially taken out (step 4103), and if there is no data (step 4104), the process is ended, while if there is any data, the value of the particular arrangement number on the closed price column of the raw transaction data table 300 is taken out (step 4105). And the parameter value of the compared result number of days 3603 of the evaluation parameter table 3900 is taken out (step 4106), and added to the arrangement number taken out at step 4103. The high and low quotations and the closed price at a point associated with the resulting sum are taken out from the raw transaction data table 300 (step 4107). The closed price of the established date taken out at step 4105 is subtracted from the values of the high and low quotations and the closed price taken out at step 4107, and the respective differences are stored in the low quotation achievement 4002, high quotation achievement 4003 and the closed price achievement 4004 of the evaluation result table 4000 respectively (step 4108). This process prepares a data indicating a change that the transaction data as of a designated number of days after the day when the rule is established has undergone from the closed price of the established date.
First, the range of search application is set (step 3502). The range of search application means that of reasoning application, which is set by a process similar to that of step 3502 used for the rule evaluation in FIG. 35. Then, the initial value of the range of reasoning application is set in the area of origin day for reasoning 350 and the initial area of origin day for reasoning 360 (step 3503), followed by execution of reasoning (step 5101). This step of reasoning execution is similar to step 104, except that the same stick as the various tables created at step 104 is not accessed but a different stick having the same structure. As a consequence, the execution rule table 1950 is prepared. This table, as shown in FIG. 19B, has the same structure as the execution rule table 1900. More specifically, an execution rule for the latest day for which the transaction data is available is stored in the execution rule table 1900, while the execution rule table 1950 has stored therein an execution rule for a past day presently intended for search. Then, the degree of analogy is determined by comparing these two tables with each other (step 5102). The steps of this process will be explained in detail with reference to FIG. 52. First, it is checked to see whether the execution rule numbers 1901 stored in the execution rule tables 1900 and 1950 coincide completely with each other (step 5201), and if any one of them is incoincident, the process is ended with the analogy set to `0.0` (step 5203). If the execution rule numbers are exactly coincident with each other, the initial value `1.0` is set to the program variable `analogy max` (step 5302). The values of the grade 1902 of the corresponding rule number 1901 are taken out one by one and stored in the program variables G1 and G2 respectively (step 5204). After that, the value determined by the formula 1.0-|G1-G2| is set to the program variable ` analogy a` representing the individual analogy (step 5205). It is checked whether this individual `analogy a` is smaller than `analogy max` (step 5206). And if so, the value of `analogy a` is set to the `analogy max` (step 5207). Otherwise, the step 5207 is not executed. After that, it is checked whether or not the grades for all the execution rule numbers 1901 have been taken out (step 5208), and if all of them are not yet taken out, the process returns to step 5204 to take out the next execution rule number. If all the execution rule numbers 1901 have been taken out, on the other hand, the value of the `analog max` is employed as an analogy to end the process (step 5209). Upon completion of analogy calculation, this value is decided to determine whether it is analogous (step 5103). The analogy is considered present if the figure is larger than `0.0`. When it is decided that analogy exists, it is classified by the degree of analogy thereby to determine the type of the marker produced as an output at a subsequent step 5105 (step 5104). When the analogy is 0.5 or less, for example, the marker type `x` is determined as `Δ` for 0.8 larger than 0.5 and as `0` for larger than 0.8. Further, the marker type thus determined is produced as an output by determining a position on a change graph presently subjected to reasoning (step 510). A position on the graph is determined by a method in which the arrangement number stored in the area of origin for reasoning 350 is applied to the variable i in equation 1 thereby to calculate the X coordinate thereof. Also, the Y coordinate is determined in such a manner that the equation of the X coordinate shown by equation 1 is replaced by the Y coordinate from the closed price data (table 300) of the arrangement number in the area of origin day for reasoning 350 and the minimum and maximum values of the graph display area.
After that, the values in the area of origin day for reasoning 350 and the initial area of origin day for reasoning 360 are incremented by 1 (step 3506), followed by checking whether this value exceeds the range of reasoning application (step 3507). If not, the process proceeds to step 5101, while otherwise the process is ended. According to the present embodiment, a day analogous to the latest day on the time series data is indicated on the graph representing the change in time series data, and therefore it is possible for the user to view a chart graph actually to refer to an analogous past point automatically in the system, thereby making possible accurate display of an analogous point. Also, an application of this process to a specific rule group facilitates the finding of an analogous day on a specific chart, while at the same time easily realizing the marker indication of the date of establishment of an individual rule on the graph by designating the particular individual rule. Further, since the marker types indicated on the graph are different depending on analogy, not only information about an analogous date but also the extent of analogy are presented very clearly to the user. Further, assume that the general prediction screen 2400 and the graph display area of the screen by chart 2500 are designated by mouse 203 and the value of the abscissa of the input coordinate is applied to Xi in the equation 2 above, then a time series data arrangement number corresponding to the input position is determined, so that the data at the point of the arrangement number by the feature data displayed on the input screen is capable of being taken out by mouse 203. By displaying this value, the data value at a point designated by mouse 203 may be presented as a specific numeric character train This process may be combined to observe a detailed data value at the point involving the marker display.
The position table 6076 in FIG. 58 is prepared by description, and has written thereinto the call/put/spot the option and spot bond tradings, buy or sell, strike price, strike date (expiration), amount of transaction (trading) (face value of transaction (trading) amount in the case of spot bond).
In the flow of steps shown in FIG. 56B, the process is started at step 6066, environmental parameters are written by way of the environmental parameter table 6073 included in the environmental data storage section 6717 (step 6067), the contents of transaction (trading) are read from the position table 6976 included in the decided transaction storage section 6719 or the supplemental transaction (trading) table 6273 included in the supplemental transaction storage section 6752 described later (step 6068), the values of the position characteristics (including the position payoff position delta, position gamma, position theta and position kappa) with a designated environmental parameter changed are calculated by the use of the equations 6034, 6036, 6037, 6038, 6039, 6040, 6041, 6043, 6046, 6049 and 6052 at the decided transaction characteristics calculation section 6722 with the calculation result written into the position characteristic table 6079 included in the decided transaction characteristic storage section 6725 (step 6069), thereby ending the process (step 6070). The present embodiment, however, deals with only a case in which the bond price of all the environmental parameters is changed by units of 10 sen in the range of the present bond price between +1.00 and -1.00 yen. Also, the decided transaction characteristic calculation section 6722 calculates the position characteristic value in accordance with the flow of steps shown in FIG. 56B in response to the demand from each processing section described later.
The regulation target (objective) setting screen 6111 in FIG. 63 is displayed on the CRT 6025 of FIG. 54. Numeral 6123 in the screen designates a display section and numeral 6126 a setting section. Numeral 6129 in the display section 6123 designates a display column of the regulation target pattern No. In order to display the regulation policy for each position characteristic index 6132 associated with a particular pattern and the present value of the position characteristic, the screen also includes a regulation policy display column 6135 and a column 6138 for displaying the present value of the position characteristic. Also, the setting section 6126 includes, for enabling the user to designate a regulation point of an environmental parameter, a bond price setting column 6141, a date setting column 6144, a volatility setting column 6147, a risk free rate setting column 6150, and an after-regulation target (objective) setting column 6153 for setting a target value, a value representing the amount of regulation of each position characteristic (hereinafter called "the regulation value"), the direction of regulation and the weight, a regulation value setting column 6156, a regulation direction setting column 6159 and a weight setting column 6162.
In the decided transaction regulation target setting step 6010 (FIG. 53), upon starting the process (step 6081), the following steps are executed at the decided transaction regulation target setting processing section 6728. A regulation target setting screen 6111 is displayed on the CRT 6025 (FIG. 54) thereby to read the regulation target pattern 1 at the head of the regulation target pattern table 6105 included in the decided transaction regulation target pattern storage section 6731. The regulation policy of each position characteristic index is displayed in the regulation policy display column 6135 of the setting screen. Then, the present environment is read from the environmental parameter table 6013 and displayed in the regulation point setting column 6141, 6144, 6147 and 6150 of the setting screen (step 6084). If the regulation target pattern displayed is not the one intended for by the user, the
is displayed by being read from the regulation target pattern table. According to the present embodiment, the regulation target pattern 1 is selected to end pattern selection (step 6085). In the next step, the user corrects and sets the regulation point of an environmental parameter if required (step 6087). Upon this setting, the position characteristic value at the regulation point thus set (with the bond price of 100.00, regulation time point of 0, volatility of 3.0, and risk from rate of 4.5) is calculated at the decided transaction characteristic calculation section 6722 according to the flow of steps shown in FIG. 56B. Then the position characteristic values at the regulation point (position payoff of 3.99, position delta of 1.24, position gamma of 8.40, position theta of -0.103 and position kappa of 1.11) are read and displayed in the present value display column 6135 of the regulation target setting screen 6111 (step 6090). Then, the user sets the target value after regulation, the regulation value and weight. In the process, with regard to the characteristic index position payoff for which 0 is set as the weight, `*` is set in the columns of the target value after regulation, regulation value and direction of regulation for exclusion from the position regulation target. By inputting a selected one of the target value after regulation and the regulation value, on the other hand, the other is determined and set automatically from the relationship "Target value after regulation=Present value+Regulation value". According to this embodiment, the target value after regulation is inputted, so that according to the regulation policy, the target value 0 after position delta regulation is set to "approach 0" for the position delta, the target value 10.00 after position gamma regulation is set to "further increase the positive value" for the position gamma, the target value -0.103 after position theta regulation is set to "approach the present value" for the position theta, and the target value 1.11 after position kappa regulation providing a value for maintaining the present condition is set "to assume a positive value" for the position kappa. The regulation values are automatically set in the regulation value setting column 6156 on the basis of the above-mentioned relationship in such a manner that the position delta regulation value assumes -1.24, the position gamma regulation value +1.60, the position theta regulation value 0 and the position kappa regulation value 0. Also, with regard to the direction of regulation, on the other hand, with the directivity of the regulation value viewed qualitatively, the position delta direction `-` and the position gamma direction `+` of regulation are set in the regulation direction setting column 6159, while the position theta and the position kappa, which are liable to satisfy the regulation target regardless of whether regulated to the direction `+` or `-`, are such that the position theta direction `*` and the position kappa direction `*` of regulation are automatically set. With regard to the weight, the position payoff weight 0, the position delta weight a, the position gamma weight b, the position theta weight c and the position kappa weight d (a, b, c and d given positive numbers) are set in the weight setting column 6162. In spite of this, a standard value of 1 may be set as the weight in advance. In this step, the target value after regulation and the regulation value may be set as a standard value determined from the regulation policy and the present value in advance (step 6093). Then, the target value after regulation, the direction of regulation and the weight thus set are written in the regulation target table 6108 included in the decided transaction regulation target storage section 6734 (step 6096), and when setting the next regulation target, the process is returned to step 6084, while when the next regulation target is not set (step 6097), the process is ended (step 6099).
First, the transaction strategy selecting step 6168 is processed at the automatic strategy selecting section 6737, so that when the step 6168 is started (step 6177), an inquiry as to whether the transaction strategy is to be selected automatically is issued from the system. If the automatic selection is not involved, the transaction strategy selection support step 6192 is executed to end the process (step 6195). If the automatic selection is intended for, on the other hand, the direction of regulation set at the decided transaction regulation target setting step 6010 is read from the regulation target table 6108 (step 6183), thereby matching the pattern of the direction of regulation thus read [payoff *, delta -, gamma +, theta * and kappa *] with that of the IF part of the transaction strategy selection rule table 6198 included in the strategy selection knowledge storage section 6740. In the process, the symbol * indicating the impossibility of determining the direction of regulation at `+` or `-` is matched with the rule No. 2 because it can be matched with any of `+`, `0` and `-` of the rule IF part according to this embodiment. In the case where a plurality of regulation targets are set, a rule is selected satisfying a plurality of directions of regulation at the same time (step 6186). The contents of the two transactions written in the THEN part of the rule No. 2 are written into the transaction strategy table 6201 included in the strategy storage section 6743 and further displayed on the transaction strategy selecting screen 6204. At the same time, the range of strike price [S-1, S, S+1] is applied as an output to the table after being substituted by the present bond price S of 100 yen (step 6189). After that, the transaction strategy selection support step 6192 is executed at the strategy selection support section 6746 thereby to end the process (step 6195).
First, when the transaction strategy selection support step 6192 is started (step 6202), a strategy, if any is stored in the transaction strategy table 6201, is read and displayed on the transaction strategy selecting screen 6204 (step 6205), thus enabling the user to select whether or not the transaction strategy is to be analyzed (step 6207). If no analysis is made, the parameter regulation support is not effected, and if required, the user sets the range of the transaction strategy parameter (step 6222), thus ending the process (step 6225). In the case where the transaction strategy is analyzed, by contrast, four of the six parameters K1, t1, L1, K2, t2 and L2 in the transaction strategy selecting screen 6204 the values of which are fixed (K1, L1, K2 and L2 according to the present embodiment) are selected, and the values thereof (K1=100.00, L1=10, K2=100.00 and L2=10 according to the present embodiment) are selected by being picked up on the screen by way of mouse 6022. In a system according to the present invention, a maximum of two parameters may be changed and the result of analysis thereof may be displayed on the graph. Therefore, all the parameters except for two or less independently changeable (t1, t2 according to the present embodiment) ones are fixed. In the case of a strategy having three transactions with nine parameters, for example, seven parameters are fixed. Further, the range of independently changeable parameters is set (step 210). Then, as a form of the graph for displaying the result of analysis, a parameter assumed on the abscissa of the two independent parameters (t1 according to the present embodiment) and a parameter displayed with the graph line type changed (t2 according to the present embodiment) are selected. Further, as an evaluation value assuming the ordinate, the position characteristic or an objective function is selected (step 6213). On the basis of this setting, the position characteristic or the objective function is calculated at the decided transaction characteristic calculation section 6722, and the combination of values most satisfying the regulation target (t1= 10 and t2=30 according to the present embodiment) in the ranges (10, 20, 30) of the parameters t1 and t2 set free is displayed by attaching the mark * on the transaction strategy selecting screen 6204 and produced as an output on the graph (step 6216). Then, the process is returned to step 6207, and the user selects whether or not the analysis is to be continued. If the analysis is to be continued, steps 6210, 6213 and 6216 are executed repeatedly. If the analysis is ended, on the other hand, the user decides whether or not the transaction strategy should be corrected on the basis of the analysis result. In the case where the transaction strategy should be corrected, the call/put/spot, sell or buy, the range of strike price, the range of period before the strike date (expiration) and the range of transaction amount (the range of the face value of the transaction, amount in the case of spot trading) and the relationship of parameters providing the contents of the strategy are set again in the transaction strategy selecting screen 6204, and the resulting data is written into the transaction strategy table 6201 (step 6222), thereby ending the process (step 6225).
The transaction parameter regulation step 6171 uses an objective function in order to determine the transaction parameter, the strike price K, the period T before the strike date and the transaction amount L suitable for satisfying the regulation target for the characteristics including the position payoff II, the position delta Δ, the position gamma Γ, the position theta Θ position kappa K. Such an objective function will be explained with reference to FIG. 71.
In such a manner as to take a minimum value when satisfying the target value after regulation for each position characteristic index set in the regulation target table 6108, assume that the objective functions determined for each characteristic index are Qπ, Qδ, Qγ, Qθ and K respectively. Then the objective function for optimizing all the characteristic indexes may be presented in the form as shown by equation 6521 with the respective objective functions coupled in linear fashion. The objective function for each characteristic index according to the present embodiment assumes a minimum value when satisfying the target value after regulation and the regulation pattern selected at the regulation target setting step 6010 (FIG. 60), and may be determined in such a manner as to be subjected to penalty for other values. More specifically, Qδ is subjected to penalty when Δ assumes a value other than the target value 0; Qγ when Γ assumes a value smaller than the target value 10.0; Qθ when Θ assumes a value other than the target value of -0.103; and Qz when K assumes a value other than the target value of -1.11 as shown in equations 6522, 6523, 6524 and 6525 respectively. Since the weighting of the position payoff II is 0, however, no objective function for II is set.
First the process is started (step 6336) and the position is grasped with the position characteristic thereof calculated (step 6339). Then, the position characteristic is analyzed (step 6340), and a position regulation target is set (step 6345). A transaction is then selected (step 6345),and the transaction parameter regulated (step 6351). Finally, the position characteristic after regulation is analyzed (step 6354), thus ending the process (step 6357). In this way, by analyzing the position characteristic after determining a supplemental transaction, the grasping of the position characteristic after the position restructuring is facilitated. The position characteristic analysis step 6340 may be done without, depending on the judgement of the user. Further, the position characteristic analysis steps 6341, 6342 and 6343 may be executed by transferring the control to the position characteristic analysis section 6704 in the process of the position regulation target setting step 6345, the transaction strategy selecting step 6348 and the transaction parameter regulation step 6351. From the position characteristic analysis step 6342 or any subsequent step, the process may be returned to the immediately preceding step.
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AmburnMethod and apparatus for automated trading of equity securities using a real time data analysisUS8843408Oct 26, 2010Sep 23, 2014Ip Reservoir, LlcMethod and system for high speed options pricingUS20030115128 *Apr 2, 2002Jun 19, 2003Jeffrey LangeDerivatives having demand-based, adjustable returns, and trading exchange thereforWO2000046714A2 *Feb 4, 2000Aug 10, 2000Berry CoxTechniques for measuring transaction costs and scheduling trades on an exchangeWO2001048668A1 *Dec 28, 2000Jul 5, 2001Xbond CorpMethod and system for rebrokering orders in a trading systemWO2001055927A1 *Dec 15, 2000Aug 2, 2001Arvind NarainMethod closing sales over an open network using an automated haggling systemWO2001097141A1 *Jun 15, 2001Dec 20, 2001Sergio PiccioliMethod for predictive determination of financial investment performance* Cited by examinerClassifications U.S. Classification706/50, 706/925, 706/900, 706/52, 705/37International ClassificationG06N5/04Cooperative ClassificationY10S706/90, Y10S706/925, G06Q40/04, G06N5/04European ClassificationG06Q40/04, G06N5/04Legal EventsDateCodeEventDescriptionJul 11, 2006FPExpired due to failure to pay maintenance feeEffective date: 20060517May 17, 2006LAPSLapse for failure to pay maintenance feesNov 30, 2005REMIMaintenance fee reminder mailedSep 26, 2001FPAYFee paymentYear of fee payment: 8Sep 26, 1997FPAYFee paymentYear of fee payment: 4Sep 6, 1994CCCertificate of correctionMay 8, 1991ASAssignmentOwner name: HITACHI, LTD., JAPANFree format text: ASSIGNMENT OF ASSIGNORS INTEREST.;ASSIGNORS:MARUOKA, TETSUYA;YASUNOBU, CHIZUKO;HIROSE, TADASHI;AND OTHERS;REEL/FRAME:005705/0631Effective date: 19910430RotateOriginal ImageGoogle Home - Sitemap - USPTO Bulk Downloads - Privacy Policy - Terms of Service - About Google Patents - Send FeedbackData provided by IFI CLAIMS Patent Services©2012 Google