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US 2009/0157541 A1Published application
Automated trading system and methodology for realtime identification of statistical arbitrage market opportunities
OwnerRemington John Suttoninventor
Life of this patent
Estimating the term…
Abstract
A program for identifying and automatically acting on statistical arbitrage opportunities between related equities and contracts. The present invention describes an improved technique to perform statistical-pairs arbitraging in a dynamic marketplace with less risk than prior art approaches. The present invention employs an array of recent data and performance ratios involving bid and ask prices for correlated items, such as stocks.
Claims16
A trading system comprising:
- a database, said database containing data related to a pair of investment items;
- said database containing a plurality of bid data and ask data on each said investment item over a given period, and a plurality of ratio indicators on the bid/ask spread between said pair of investment items;
- and
- a processor determining a valuation of said pair of investment items in relation to each other employing said database.
1 more element
A method for trading investment items, comprising:
- populating a database with bid and ask data concerning a pair of correlated investment items,
- said database containing a plurality of bid data and ask data on each said investment item over a given period, and a plurality of ratio indicators on the bid/ask spread between said pair of investment items;
- and
- calculating, by a processor, a valuation of said pair of investment items in relation to each other employing said database.
1 more element
A trading system comprising:
- a historical data accumulator, said historical data accumulator gathering data related to a pair of investment items,
- said historical data comprising at least bid data and ask data on each said investment item for a given period,
- said accumulator processing said bid data and ask data for each said investment item and forming at least two ratio indicators from said bid data and ask data;
- an array, said array correlatedly populated with said bid data and ask data from each said investment item and said at least two ratio indicators;
- and
- a processor, employing said data and said ratio indicators in said array, determining a valuation of said pair of investment items.
3 more elements
A method for trading investment items comprising:
- accumulating a plurality of historical data related to a pair of correlated investment items;
- storing said historical data in an array, said array comprising at least bid data and ask data on each said investment item for a given period;
- calculating, from respective correlated pairs of said investment items, respective ratio indicators from said bid data and ask data;
- storing said respective ratio indicators in said array;
- processing, by a processor, said data and said ratio indicators in said array and valuating said pair of investment items.
2 more elements
Dependencies are inferred from the claim text.