Systems and methods for determining a quantitative retail sentiment index from client behavior
AssigneeTD Ameritrade IP Company, Inc.
InventorsChris Jennings, Steve Quirk
Life of this patent
Estimating the term…
Abstract
Systems, methods, and instructions stored on computer-readable mediums for calculating a volatility score for each of a plurality of securities and calculating a reference volatility score for a benchmark. A relative volatility score is derived for each of the plurality of securities based upon the volatility score for each of the plurality of securities and the reference volatility score. An aggregated volatility score is derived for each of a plurality of accounts based in part on securities held within an account and the relative volatility scores for the securities. A sentiment index is determined based upon the aggregated volatility score for each of the plurality of accounts.
Claims20
A system comprising:
- a memory configured to store historical price values for a plurality of securities;
- and
- one or more electronic processors, operably connected to the memory, configured to:
- calculate a volatility score for each of a plurality of securities based at least in part on the historical price values;
- calculate a reference volatility score for a benchmark;
- derive a relative volatility score for each of the plurality of securities based upon the volatility score for each of the plurality of securities and the reference volatility score;
- determine securities that are reversely correlated to the benchmark;
- adjust the relative volatility score for at least one of the reversely correlated securities to a negative value;
- derive an aggregated volatility score for each of a plurality of accounts based in part on securities held within an account and the relative volatility scores for the securities;
- and
- determine a sentiment index based upon the aggregated volatility score for each of the plurality of accounts.
A method comprising:
- calculating a volatility score for each of a plurality of securities;
- calculating a reference volatility score for a benchmark;
- deriving a relative volatility score for each of the plurality of securities based upon the volatility score for each of the plurality of securities and the reference volatility score;
- determining securities that are reversely correlated to the benchmark;
- adjusting the relative volatility score for at least one of the reversely correlated securities to a negative value;
- deriving an aggregated volatility score for each of a plurality of accounts based in part on securities held within an account and the relative volatility scores for the securities;
- and
- determining, using a processor, a sentiment index based upon the aggregated volatility score for each of the plurality of accounts.
A non-transitory computer-readable medium having instructions stored thereon that when executed by a computing device, cause the computing device to perform operations comprising:
- calculating a volatility score for each of a plurality of securities;
- calculating a reference volatility score for a benchmark;
- deriving a relative volatility score for each of the plurality of securities based upon the volatility score for each of the plurality of securities and the reference volatility score;
- determining securities that are reversely correlated to the benchmark;
- adjusting the relative volatility score for at least one of the reversely correlated securities to a negative value;
- deriving an aggregated volatility score for each of a plurality of accounts based in part on securities held within an account and the relative volatility scores for the securities;
- and
- determining a sentiment index based upon the aggregated volatility score for each of the plurality of accounts.
Dependencies are inferred from the claim text.