发明名称 |
System and method for displaying and analyzing financial correlation data |
摘要 |
A method for displaying a matrix of correlations or other statistical measures of co-movement associated with a plurality of financial instruments, portfolios, indices, or asset classes is disclosed. The method includes: converting the matrix of correlations or other co-movement measures into a probability transition matrix; defining a corresponding abstract distance measurement between any two of the plurality of financial instruments, portfolios, indices, or asset classes based on the probability transition matrix; assigning coordinates in a Euclidean space to each of the plurality of financial instruments, portfolios, indices, or asset classes, wherein a Euclidean distance between any two financial instruments, portfolios, indices, or asset classes in the Euclidean space corresponds to the corresponding abstract distance measurement; and displaying on a display device the plurality of financial instruments, portfolios, indices, or asset classes based on more significant dimensions of the Euclidean space. |
申请公布号 |
US9098877(B2) |
申请公布日期 |
2015.08.04 |
申请号 |
US201314102234 |
申请日期 |
2013.12.10 |
申请人 |
THE CAPITAL GROUP COMPANIES, INC. |
发明人 |
Phoa Wesley Kym-Son |
分类号 |
G06Q40/00;G06Q40/06;G06T11/20 |
主分类号 |
G06Q40/00 |
代理机构 |
Christie, Parker & Hale, LLP |
代理人 |
Christie, Parker & Hale, LLP |
主权项 |
1. A computer-implemented method for displaying on a display device an N×N matrix of correlations of N financial instruments, portfolios, indices, or asset classes using M dimensions, N being a large number, M being significantly smaller than N, while closely approximating distances between the N financial instruments, portfolios, indices, or asset classes as defined by the N×N matrix of correlations, the method comprising:
converting by a computer processor the N×N matrix of correlations into a probability transition matrix, each of the correlations representing a numerical correlation between two of the N financial instruments, portfolios, indices, or asset classes, the probability transition matrix comprising corresponding normalized versions of the correlations in the N×N matrix of correlations; defining by the computer processor a corresponding first distance measurement between any two of the N financial instruments, portfolios, indices, or asset classes based on the probability transition matrix, the first distance measurement measuring a closeness between corresponding said normalized correlations of said any two of the N financial instruments, portfolios, indices, or asset classes; using by the computer processor a diffusion map to assign coordinates in an M-dimensional Euclidean space to each of the N financial instruments, portfolios, indices, or asset classes corresponding to non-unit eigenvalues of the probability transition matrix such that a Euclidean distance between said any two of the N financial instruments, portfolios, indices, or asset classes in the Euclidean space closely approximates the corresponding first distance measurement; and displaying on the display device the N financial instruments, portfolios, indices, or asset classes based on the Euclidean space corresponding to a selection of M ones of the eigenvalues. |
地址 |
Los Angeles CA US |