US 10,504,175 B2Granted

Method, system and machine readable program for mitigating effects of spikes in financial data

AssigneeRefinitiv US Organization LLC

InventorsVictor Gorelik, Philip C. Doyle

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Abstract

A method for analyzing financial data generated in an exchange in communication with a client/server network. The method includes the steps of receiving a first set of data related to a financial instrument on the exchange, the first set of data being within a time interval and including: a high value for the financial instrument during the time interval; a low value for the financial instrument during the time interval; an opening value for the financial instrument during the time interval; and a closing value for the financial instrument during the time interval. The method also detects a spike in the time interval using a confidence value based upon the first set of data and displays a graph of a set of transactions of the financial instrument, the graph being scaled to prevent the spike from substantially affecting visual information relating to the set of transactions.

Claims21

Dependent claims

A computer-implemented method of adjusting the scale resolution of a displayed set of data values of a chart associated with a financial instrument displayed in a graphical user interface (GUI), the method comprising:

monitoring the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;
determining that the spike is an anomaly;
removing the spike from the set of data values based on the spike being an anomaly;
automatically rescaling the chart with the spike removed such that the scale resolution of the chart is increased:
and
displaying the rescaled chart on the GUI with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the determining that the spike is an anomaly is determined by:
a) identifying a time interval associated with the financial instrument, the financial instrument having a first set of data related thereto, wherein the first set of data includes a plurality of values selected from the group consisting of:
(i) a first value associated with a high value for the financial instrument during the time interval,
(ii) a second value associated with a low value for the financial instrument during the time interval,
(iii) a third value associated with an opening value for the financial instrument during the time interval, and
(iv) a fourth value associated with a closing value for the financial instrument during the time interval,
b) based upon the first set of data, analyzing whether the time interval includes the spike, and based upon a pre-determined confidence C, determining that the time interval includes the spike
C
=
[
1
-
∞
⁢
∫
R
⁢
⁢
dx
⁢
∞
⁢
∫
R
⁢
⁢
f
⁡
(
x
,
y
)
⁢
dy
]
*
⁢
100
⁢
%
wherein R is a user selected threshold, x is equal to the high value minus the closing value, and y is equal to the high value minus the opening value.

44 more elements

A computer system that adjusts the scale resolution of a displayed set of data values of rescale a chart associated with a financial instrument for display comprising:

a hardware processor that executes one or more processes;
a graphical user interface (GUI) operatively connected to the hardware processor;
and a computer readable non-transitory memory operatively connected to the hardware processor and storing a process, the process, when executed by the hardware processor, causes the hardware processor to:
monitor the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;
determine that the spike is an anomaly;
remove the spike from the set of data values:
automatically rescale the chart with the spike removed such that the scale resolution of the chart is increased:
and
display the rescaled chart on the GUI with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the hardware processor performs the following steps to determine that the spike is an anomaly:
a) identify a time interval associated with the financial instrument, the financial instrument having a first set of data associated therewith including a plurality of values selected from the group consisting of:
(i) a first value associated with a high value for the financial instrument during the time interval,
(ii) a second value associated with a low value for the financial instrument during the time interval,
(iii) a third value associated with an opening value for the financial instrument during the time interval,
(iv) a fourth value associated with a closing value for the financial instrument during the time interval, and
(v) the plurality data points for the financial instrument corresponding to a reading every time interval from the opening value to the closing value,
b) analyze whether the time interval includes the spike using a confidence value “C” based upon a pre-determined confidence C, determining that the time interval includes the spike
C
=
[
1
-
∞
⁢
∫
R
⁢
⁢
dx
⁢
∞
⁢
∫
R
⁢
⁢
f
⁡
(
x
,
y
)
⁢
dy
]
*
⁢
100
⁢
%
wherein R is a user selected threshold, x is equal to the high value minus the closing value, and y is equal to the high value minus the opening value.

48 more elements

A machine readable program on a non-transitory computer readable medium containing computer program instructions for adjusting the scale resolution of a displayed set of data values of a chart associated with a financial instrument displayed in a graphical user interface, the program, when executed by a hardware processor, causes the hardware processor to:

monitor the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;
determine that the spike is an anomaly;
remove the spike from the set of data values:
automatically rescale the chart with the spike removed such that the scale resolution of the chart is increased;
and
display the rescaled chart on the graphical user interface with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the instructions further cause the hardware processor to perform the following steps when determining that the spike is an anomaly:
a) identify a time interval associated with the financial instrument, the financial instrument having a first set of data associated therewith including a plurality of values selected from the group consisting of:
(i) a first value associated with a high value for the financial instrument during the time interval,
(ii) a second value associated with a low value for the financial instrument during the time interval,
(iii) a third value associated with an opening value for the financial instrument during the time interval,
(iv) a fourth value associated with a closing value for the financial instrument during the time interval, and
b) analyze whether the time interval includes the spike using a confidence value “C” based upon a pre-determined confidence C, determining that the time interval includes the spike
C
=
[
1
-
∞
⁢
∫
R
⁢
⁢
dx
⁢
∞
⁢
∫
R
⁢
⁢
f
⁡
(
x
,
y
)
⁢
dy
]
*
⁢
100
⁢
%
wherein R is a user selected threshold, x is equal to the high value minus the closinq value, and y is equal to the hiqh value minus the opening value.

44 more elements

A computer-implemented method for analyzing financial data generated in an exchange, wherein the exchange is in communication with a network, the network including a client computer having a hardware processor, computer readable non-transitory memory operatively connected to the hardware processor and storing a program, and a graphical user display (GUI) operatively connected to the hardware processor, wherein the program, when executed by the hardware processor, causes the hardware processor to perform the method comprising the steps of:

of adjusting the scale resolution of a displayed set of data values of a chart associated with a financial instrument displayed in a graphical user interface, the method comprising:
monitor the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;
determining that the spike is an anomaly;
removing the spike from the set of data values;
automatically rescaling the chart with the spike removed such that the scale resolution of the chart is increased:
and
displaying the rescaled chart on the graphical user interface with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the determining that the spike is an anomaly is determined by:
a) receiving a first set of data related to the financial instrument on the exchange, the first set of data being within a time interval and including:
(i) a high value for the financial instrument during the time interval;
(ii) a low value for the financial instrument during the time interval;
(iii) an opening value for the financial instrument during the time interval;
and (iv) a closing value for the financial instrument during the time interval,
b) detecting a spike in the time interval using a confidence value based upon
the first set of data, and
c) removing the spike from the first set of data based upon a pre-determined confidence C, determining that the time interval includes the spike
C
=
[
1
-
∞
⁢
∫
R
⁢
⁢
dx
⁢
∞
⁢
∫
R
⁢
⁢
f
⁡
(
x
,
y
)
⁢
dy
]
*
⁢
100
⁢
%
wherein R is a user selected threshold, x is equal to the high value minus the closing value, and y is equal to the high value minus the opening value.

47 more elements

Dependencies are inferred from the claim text.

Facts

Application: 11/937,737Filed 9 Nov 2007
Published: US 2009/0125447 A114 May 2009
Granted: 10 Dec 2019
Term ends: Not estimatedThe source records don’t support an estimate.

Classification3 codes

G06Q 40/04
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: trading; Exchange, e.g. stocks, commodities, derivatives or currency…
G06Q 40/06
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: asset management; Financial planning or analysis
G06Q
Information and communication technology [ict] specially adapted for administrative, commercial, financial, managerial

Family

US 2009/0125447 A1Pre-grant publication · published 14 May 2009
US 10,504,175 B2This patent

From the US filing history. Foreign family members aren’t listed.

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