Patent ID: 7246090

Claim:
A computer implemented method for identifying aberrant behavior of a financial instrument comprising: (a) providing a computer; (b) retrieving from a source of market data, closing price, volume and number of transactions conducted for the financial instrument in a selected trading session; (c) recording in memory accessible by the computer, the closing price, volume and number of transactions conducted for the financial instrument in the selected trading session; (d) identifying a plurality of time periods of different sizes, each of said time periods terminating with the trading session of the financial instrument immediately preceding the selected trading session; (e) obtaining and providing in memory accessible by the computer, the average and standard deviation of the closing price, volume and number of transactions during each of the time periods; (f) determining whether the closing price, differs from the average of the corresponding component during each of the time periods by a selected number of standard deviations and for each case in which such a difference is sufficiently large, recording an associated aberrant flag; (g) determining whether the volume and number of transactions are each greater than the average of the corresponding component during each of the time periods by a selected number of standard deviations and for each case in which such a difference is sufficiently large, recording an associated aberrant flag; (h) counting the number of aberrant flags; (i) identifying behavior of the financial instrument as aberrant, or not aberrant, based on the total number of aberrant flags counted; and (j) creating a report indicating the aberrancy, or lack thereof, of the financial instrument.