Methods and systems of four-valued Monte Carlo simulation for financial modeling

摘要

Automatic trading environments with their high degree of automation have become the backbone of modern financial markets. The ability to process orders and manage risk in these systems while maintaining a low latency between participants is crucial for the safety and liquidity of these markets. The disclosed system describes a four valued Monte Carlo simulation for the stochastic modeling of risk and syntactic pattern matching techniques to facilitate the design of these systems. The system is a self-compiling, machine independent system capable of dividing, scaling and communicating multiple-asset instruments efficiently in a parallel environment. The system also allows for the integration of computerized financial heuristics on financial instruments and user interfaces for creating trading strategies to monitor and hedge risk over a trading desk for financial institutions.

主权项

1. A machine implemented method of executing four-valued logic in a semantic network to model financial instruments, the method comprising:
defining a logic system having a NOT logical connective denoted as “” an AND logical connective denoted as “,” and an OR logical connective denoted as “,” wherein false values are represented with an “F” symbol, true values are represented by a “T” symbol, undefined values are represented by a “U” symbol, and defined values are represented by a “D” symbol, such that for a property P false values are in a set {P}, true values are in a set {P}, undefined values are in a set { }, defined values are in a set {P, P}, wherein said logic system is proven complete and w-consistent by a set of statements comprising: F is T, T is F, U is D, D is U; FF is F, FT is F, FU is F, FD is F; TF is F, TT is T, TU is U, TD is D; UF is F, UT is U, UU is U, UD is F; DF is F, DT is D, DU is F, DD is D; FF is F, FT is T, FU is U, FD is D; TF is T, TT is T, TU is T, TD is T; UF is U, UT is T, UU is U, UD is T; and DF is D, DT is T, DU is T, DD is D; generating a semantic network representing digitally stored information, said semantic network comprising a plurality of object nodes and a plurality of relationships between said plurality of object nodes, by:
providing a first vector and a second vector in digital memory for each of said plurality of object nodes, each of said first vector and said second vector being a dynamically allocated array having a plurality of index positions each with a size of one bit;linearly encoding semantic information for an object node by storing two bits that together encode a false value, true value, undefined value, or defined value, a first bit of said two bits being stored at an index position within the first vector associated with the object node, and a second bit of said two bits being stored at the same index position within the second vector associated with the object node;linearly encoding syntactic information associated with said plurality of relationships in said digital memory; and testing conditionals or quantifying variables in said semantic network during successive recursive steps in a predicate calculus using said logic system, the false values, true values, undefined values, and defined values in the semantic information associated with said plurality of object nodes, and the syntactic information associated with said plurality of relationships, wherein linear encoding of said semantic information and said syntactic information optimizes short term memory, maximizes long term storage, and optimizes communication and memory between different knowledge sources or processes and, wherein defined values and undefined values represent different asset classes of financial information in said semantic network.