# Markov Processes International, LLC

Markov Processes International, LLC Patent applications | ||

Patent application number | Title | Published |
---|---|---|

20140122373 | Method and System to Solve Dynamic Multi-Factor Models in Finance - A method is for determining a factor exposure of an asset collection for each of time intervals in a period of time, the asset collection including at least one asset. An objective function which includes an estimation error term or at least one transition error term is determined. The estimation error term represents an estimation error at each time interval between a performance of the asset collection and a sum of products of each of the factor exposure and its respective factor. The transition error term represents a transition error at each time interval after a first time interval for each of the factor exposure between the time interval and a prior time interval. At least one hedging or leveraging constraint on the factor exposure for at least one of the time intervals is defined. The factor exposure by optimizing a value of the objective function is determined. | 05-01-2014 |

20130091073 | Method and System to Solve Dynamic Multi-Factor Models in Finance - Methods and systems for estimating time-varying factor exposures of either an individual financial instrument or a portfolio of such instruments, through the solution of a constrained multi-criteria dynamic optimization problem, providing an estimation error function and one or more transition error functions to be minimized over a period of time. The factor exposures relay the influence of the factors on the return of the instrument or portfolio. The estimation error function provides the estimation error at each time interval between the return of the asset collection and a sum of products of each factor exposure and its respective factor. Each transition error function provides a transition error of each factor exposure between time intervals. In one embodiment, the constraints can include a budget constraint and non-negativity bounds applying to some or all of the factor exposures. In other embodiments, the method and system can be applied to estimating any time-varying weight that is used in a model, to relay the influence of one or more independent variables on a dependent financial or economic variable, through the solution of a constrained multi-criteria dynamic problem, minimizing estimation error and, transition error terms. In other embodiments, the solution of a multi-criteria dynamic problem can be used as part of a method and system to determine structural breakpoints for each factor, and also as part of a method and system for determining optimal parameters to weight the transition error functions and selecting the factors included in the model. | 04-11-2013 |

20120310857 | FACTOR-BASED MEASURING OF SIMILARITY BETWEEN FINANCIAL INSTRUMENTS - A system and method for factor-based measuring of similarity between financial instruments are described. The method including selecting a model for factor intersection calculation of a two or more of financial instruments, the model including a plurality of factors; determining factor exposure values for first and second financial instruments on each of the factors; determining a proximity between the factor exposure values based on the selected model; and calculating a factor intersection result between the factor exposure values, wherein the factor intersection result includes at least one of an overlap amount and a non-overlap amount. | 12-06-2012 |