Patent ID: 7925561

Claim:
A computer implemented method comprising: acquiring background data regarding securities positions and regarding real-time pricing data; performing, by a computer, calculations regarding intermediate measures of performance of said securities; receiving at least one request comprising a request for a value at risk report regarding said securities; calculating, by a computer, before the end of a current trading day, an estimated whole day volatility for the current trading day for at least one of said securities, wherein said estimated whole day volatility (V) calculation comprises calculating a Parkinson's volatility estimation of daily volatility based on an intra-period high and low during the current trading day and based on a √{square root over (T)} rule, wherein the √{square root over (T)} rule refers to, given a standard deviation for a period, a standard deviation for T periods being estimated as equal to √{square root over (T)} multiplied by said standard deviation for said period; and providing, by a computer, a value at risk report based on said background data, said intermediate measures, said estimated whole day volatility, and Parkinson's volatility estimation, wherein said estimated whole day volatility (V) is calculated using V = T ⁢ ⁢ D T ⁢ ⁢ 0 ⁢ 1 2 ⁢ ln ⁢ ⁢ 2 ⁢ ln ⁢ H L , wherein H is the intra-period high, L is the intra-period low, T D is the total time of the current trading day, and T 0 is the time period that has lapsed since the security started its trading for the current trading day.