| 20110307415 | System, Method and Computer Program Product for Measuring Risk Levels in a Stock Market by Providing a Volatility, Skewness and Kurtosis Index - A system, method and computer program product for constructing a volatility index by using at least one processor, the method comprising: obtaining, by at least one computing device having at least one computer processor, a universe of securities; selecting, by the at least one computing device, constituent securities at a given date; computing, by the at least one computing device, constituent returns for said constituent securities; filtering, by the at least one computing device, outliers; applying, by the at least one computing device, weighting comprising computing at least one of a second, third or fourth moment to obtain the index. | 12-15-2011 |
