发明名称 |
SYSTEMS AND METHODS FOR PROVIDING A LIQUIDITY-BASED COMMODITIES INDEX |
摘要 |
Systems and methods are provided for a liquidity-based commodity index in which historical liquidity-related data for a commodity is used to determine whether to include a commodity in an index and also used to weight commodities in the index. Liquidity of a commodity is calculated based on an average daily dollar value of contracts traded for the commodity. The commodity liquidity is compared to a liquidity threshold to determine that the commodity should be included in the index. A liquidity factor is calculated for each commodity included in the index and is also used to weight the commodity in the index.
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申请公布号 |
US2008059358(A1) |
申请公布日期 |
2008.03.06 |
申请号 |
US20070847890 |
申请日期 |
2007.08.30 |
申请人 |
LEHMAN BROTHERS INC. |
发明人 |
WARDLEY NEIL WILLIAM;UPBIN BRIAN SCOTT |
分类号 |
G06Q40/00 |
主分类号 |
G06Q40/00 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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