Method and system for measuring market conditions

A method for measuring at least one market condition from at least one time series comprising the steps of:

• defining one or more time horizons;
• defining a measure fixing one or more weights of one or more contributions of said one or more time horizons from the time series;
• defining an expression of volatility of the time series defined over said one or more time horizons;
• defining a mapping of said expression of volatility over said one or more time horizons;
• and
• determining an integral, taken over said one or more time horizons, of the product of said measure and said mapping for measuring the at least one market condition.

Computer executable software code stored on a computer readable medium, the code for measuring at least one market condition from at least one time series, the code comprising:

• code to define one or more time horizons;
• code to define a measure fixing one or more weights of one or more contributions of said one or more time horizons from the time series;
• code to define an expression of volatility of the time series defined over said one or more time horizons;
• code to define a mapping of said expression of volatility over said one or more time horizons;
• and
• code to determine an integral, taken over said one or more time horizons, of the product of said measure and said mapping for measuring the at least one market condition.

A programmed computer system for measuring at least one market condition from at least one time series, comprising at least one memory having at least one region storing computer executable program code and at least one processor for executing the program code stored in said memory, wherein the program code includes

• code to define one or more time horizons;
• code to define a measure fixing one or more weights of one or more contributions of said one or more time horizons from the time series;
• code to define an expression of volatility of the time series defined over said one or more time horizons;
• code to define a mapping of said expression of volatility over said one or more time horizons;
• and
• code to determine an integral, taken over said one or more time horizons, of the product of said measure and said mapping for measuring the at least one market condition.