Patent Document ID: 8719137
Application ID: 11811408
Patent Flag: 1

Claim One:
1. A method of calculating damages over a class period in which shares were daily traded at prices affected by a securities violation in securities litigation, the method comprising the steps of: a) retrieving all trades and quotes from a trade and quote (TAQ) database that lists daily intraday total transaction share volume, and calculating daily total sales of the shares to all market makers, and separately distinguishably calculating daily total purchases of the shares from all the market makers for each date from a number (N) of days prior to a start date of the class period until an end date of the class period, by operation of a programmed computer, the number N of days being determined from a ratio of a public share float expressed in units of shares and an adjusted daily volume expressed in units of shares per day; b) calculating daily average trade propensity as a function of daily bid-ask spreads that are defined as price differentials between quoted purchase prices and quoted sales prices from daily average bid-ask spread data from the TAQ database, by operation of the programmed computer, the daily average trade propensity being the probability that the shares are traded on a daily basis on average and being inversely related to the daily bid-ask spreads; c) calculating a total number of the shares that were damaged by the securities violation by i) dividing the class period into three subperiods: (1) a first day subperiod lasting the first day of the class period, (2) an initial subperiod starting after the first day subperiod and lasting for the number N of days to a last date, and (3) a subsequent subperiod starting after the last date of the initial subperiod and ending at the end date of the class period, ii) utilizing the calculated daily total purchases of the shares over the first day subperiod as a number of damaged shares over the first day subperiod, by operation of the programmed computer, iii) adjusting the calculated daily total sales of the shares as a function of the calculated daily average trade propensity over the initial subperiod, and subtracting the adjusted daily total sales of the shares from the calculated daily total purchases of the shares over the initial subperiod, to obtain a number of damaged shares over the initial subperiod, by operation of the programmed computer, iv) subtracting the calculated daily total sales of the shares from the calculated daily total purchases of the shares over the subsequent subperiod, to obtain a number of damaged shares over the subsequent subperiod, by operation of the programmed computer, and v) summing the numbers of damaged shares over the first day subperiod, the initial subperiod and the subsequent subperiod to obtain the total number of damaged shares over the class period; d) calculating the damages by multiplying the total number of the damaged shares by a price differential per share, by operation of the programmed computer; and e) displaying the damages calculated.