Patent ID: 8629872

Claim:
A method for displaying a matrix of correlations or other statistical measures of co-movement associated with a plurality of financial instruments, portfolios, indices, or asset classes, the method comprising: converting the matrix of correlations or other co-movement measures into a probability transition matrix; defining a corresponding abstract distance measurement between any two of the plurality of financial instruments, portfolios, indices, or asset classes based on the probability transition matrix; assigning coordinates in a Euclidean space to each of the plurality of financial instruments, portfolios, indices, or asset classes, wherein a Euclidean distance between any two financial instruments, portfolios, indices, or asset classes in the Euclidean space corresponds to the corresponding abstract distance measurement; displaying on a display device the plurality of financial instruments, portfolios, indices, or asset classes based on significant dimensions of the Euclidean space; and generating a measure of diversification of the financial instruments, portfolios, indices, or asset classes, wherein the measure of diversification comprises a global concentration, and the generating of the global concentration comprises: assigning a weight to each of the financial instruments, portfolios, indices, or asset classes; and weighting a contribution of each of the financial instruments, portfolios, indices, or asset classes by its respective said weight in the global concentration.