QUADRATIC OPTIMUM TRADING POSITIONS FOR PATH-INDEPENDENT
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United States of America Patent
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Issued Date -
Sep 17, 2015
app pub date -
Mar 14, 2014
filing date -
Mar 14, 2014
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
A trading position evaluation system for evaluating trading positions that are globally optimum in market measure includes a trading parameters determination module to determine at a trading time instance from amongst a plurality of trading time instances obtained from a trader, a plurality of trading parameters pertaining to a path-independent European Contingent Claim (ECC) based on ECC data and market data, retrieved from a database. The trading parameters are indicative of information relating to the path-independent ECC. Based on the trading parameters, a position evaluation module evaluates a trading position in the underlying asset at the trading time instance based on the plurality of trading parameters to minimize global variance of profit and loss to the trader.
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