Systems and methods for determining a quantitative retail sentiment index from client behavior

摘要

Systems, methods, and instructions stored on computer-readable mediums for calculating a volatility score for each of a plurality of securities and calculating a reference volatility score for a benchmark. A relative volatility score is derived for each of the plurality of securities based upon the volatility score for each of the plurality of securities and the reference volatility score. A correlation for each of the plurality of securities to the benchmark is determined. The relative volatility score for at least one of the securities is adjusted based on the correlation. An aggregated volatility score is derived for each of a plurality of accounts based in part on securities held within an account and the relative volatility scores for the securities. A sentiment index is determined based upon the aggregated volatility score for each of the plurality of accounts.

主权项

1. A system comprising:
a memory configured to store historical price values for a plurality of securities; and one or more electronic processors, operably connected to the memory, configured to:
calculate a volatility score for each of a plurality of securities based at least in part on the historical price values;calculate a reference volatility score for a benchmark;derive a relative volatility score for each of the plurality of securities based upon the volatility score for each of the plurality of securities and the reference volatility score;determine a correlation for each of the plurality of securities to the benchmark;adjust the relative volatility score for at least one of the plurality of securities based on the correlation;derive an aggregated volatility score for each of a plurality of accounts based in part on securities held within an account and the relative volatility scores for the securities; anddetermine a sentiment index based upon the aggregated volatility score for each of the plurality of accounts.