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1. WO2008039904 - METHOD FOR GENERATING RULE-BASED ACTIVE FUTURES SELECTION INDICES

Publication Number WO/2008/039904
Publication Date 03.04.2008
International Application No. PCT/US2007/079669
International Filing Date 27.09.2007
IPC
G06Q 40/00 2006.01
GPHYSICS
06COMPUTING; CALCULATING OR COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
CPC
G06Q 40/04
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
04Exchange, e.g. stocks, commodities, derivatives or currency exchange
G06Q 40/06
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
06Investment, e.g. financial instruments, portfolio management or fund management
Applicants
  • AMERICAN INTERNATIONAL GROUP, INC. [US]/[US] (AllExceptUS)
  • GORTON, Gary [US]/[US] (UsOnly)
  • ROUWENHORST, Geert [NL]/[US] (UsOnly)
  • HAYASHI, Fumio [JP]/[JP] (UsOnly)
Inventors
  • GORTON, Gary
  • ROUWENHORST, Geert
  • HAYASHI, Fumio
Agents
  • FILBIN, Paul, J.
Priority Data
60/827,17327.09.2006US
Publication Language English (EN)
Filing Language English (EN)
Designated States
Title
(EN) METHOD FOR GENERATING RULE-BASED ACTIVE FUTURES SELECTION INDICES
(FR) PROCÉDÉ POUR GÉNÉRER DES INDICES DE SÉLECTION DE CONTRATS À TERME ACTIFS SELON DES RÈGLES
Abstract
(EN)
A method for generating a futures index based on active, rule-based analysis of at least two commodities futures is disclosed. The method can include identifying which commodity futures to include in a set under analysis. A parameter can be selected to measure a signal of future expected risk premium of each commodity future of the set. The signal for each commodity future of the set can be calculated. The set of commodity futures can be ranked relative to each other according to the value of the signal for each commodity future. A predetermined rule can be applied to each commodity future in the set to determine whether a position is taken in each commodity future, the determination depending on its ranking.
(FR)
L'invention concerne un procédé pour générer un indice de contrats à terme en fonction d'une analyse active, selon des règles d'au moins deux contrats à terme de marchandises. Le procédé peut comporter l'identification des contrats à terme de marchandises qui doivent être inclus dans l'ensemble en cours d'analyse. Un paramètre peut être sélectionné pour mesurer un signal de la prime de risque attendue à terme de chaque contrat à terme de marchandises de l'ensemble. Le signal pour chaque contrat à terme de marchandises de l'ensemble peut être calculé. L'ensemble de contrats à terme de marchandises peuvent être classés les uns par rapport aux autres selon la valeur du signal pour chaque contrat à terme de marchandises. Une règle prédéterminée peut être appliquée à chaque contrat à terme de marchandises de l'ensemble pour déterminer si une position est prise dans chaque contrat à terme de marchandises, la détermination dépendant du classement.
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