Filtering of high frequency time series data
OwnerUlrich A. Müllerinventor
Life of this patent
Estimating the term…
Abstract
The present invention is a method and apparatus for filtering high frequency time series data using a variety of techniques implemented on a computer. The techniques are directed to detecting and eliminating data errors such as the decimal error, monotonic series of quotes, long series of repeated quotes, scaling changes, and domain errors. Further, by means of comparison with nearby quotes in the time series, the techniques are also able to evaluate the credibility of the quotes.
Claims36
A method of filtering time series financial data comprising the steps of:
- testing said data for decimal error;
- testing said data for scaling error;
- testing said data for domain error;
- testing for credibility of said data that passes the tests for decimal error, scaling error and domain error by comparing nearby data in the time series;
- and
- rejecting by a computer an item of data that fails the testing for decimal error, scaling error, domain error and credibility.
A method of filtering a time series of quotes comprising the steps of:
- testing said quotes for decimal error,
- testing for credibility of said quotes by comparing nearby quotes in the time series,
- rejecting by a computer a quote that fails the tests for decimal error and credibility,
- testing if a ratio of a new quote and a previous quote lies within a predetermined range;
- and
- if the ratio does not lie within the predetermined range, changing the ratio by a power of ten until the changed ratio lies within the predetermined range.
A method of filtering time series financial data comprising:
- assigning a numerical value of a credibility measure to each datum in a time series of quotes or transaction prices of financial instruments, and
- filtering out with a computer those data in the time series of quotes or transaction prices for which the assigned numerical value does not meet a predetermined value.
Dependencies are inferred from the claim text.