Gabriel J Butler

US Patent:

8015094, Sep 6, 2011

Filed:

May 11, 2009

Appl. No.:

12/463655

Inventors:

Ananth Madhavan - New York NY, US
Jian Yang - Sharon MA, US
Leonid Zosin - Waltham MA, US
Artem Asriev - Winchester MA, US
Gabriel Butler - Somerville MA, US

Assignee:

ITG Software Solutions, Inc. - Culver City CA

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35

Abstract:

A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.

US Patent:

8200566, Jun 12, 2012

Filed:

Sep 2, 2011

Appl. No.:

13/224780

Inventors:

Ananth Madhavan - New York NY, US
Jian Yang - Sharon MA, US
Leonid Zosin - Waltham MA, US
Artem Asriev - Winchester MA, US
Gabriel Butler - Somerville MA, US

Assignee:

ITG Software Solutions, Inc. - Culver City CA

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35

Abstract:

A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.

US Patent:

8407127, Mar 26, 2013

Filed:

Jun 12, 2012

Appl. No.:

13/494225

Inventors:

Ananth Madhavan - New York NY, US
Jian Yang - Sharon MA, US
Leonid Zosin - Waltham MA, US
Konstantin Zalutsky - Bethlehem PA, US
Artem Asriev - Winchester MA, US
Gabriel Butler - Somerville MA, US

Assignee:

ITG Software Solutions, Inc. - Culver City CA

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35, 705 37

Abstract:

A system for determining fair value prices of financial securities of international markets includes selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and producing each calculated return factor coefficient in a data stream.

US Patent:

20040210502, Oct 21, 2004

Filed:

Apr 3, 2003

Appl. No.:

10/405640

Inventors:

Ananth Madhavan - New York NY, US
Jian Yang - Sharon MA, US
Leonid Zosin - Waltham MA, US
Konstantin Zalutsky - Bethlehem PA, US
Artem Asriev - Winchester MA, US
Gabriel Butler - Somerville MA, US

International Classification:

G06F017/60

US Classification:

705/036000

Abstract:

A method for determining fair value prices of financial securities of international markets includes the steps of selecting a universe of securities of a particular international market; computing overnight returns of each security in the selected universe over a predetermined past period of time; selecting at least one return factor of a domestic financial market from a plurality of return factors; computing, for each selected return factor, the return factor's daily return over said predetermined past period of time; calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return; and storing each calculated return factor coefficient in a data file; wherein the stored return factor coefficients can be used in conjunction with current return factor daily return values to predict current overnight returns for all securities in the selected universe of securities, which predicted current overnight returns can be used in conjunction with closing prices on said particular international market of each security of said selected universe to determine a fair value price of each security of the selected universe. A system and computer program product for implementing the method also are provided.

US Patent:

20130282615, Oct 24, 2013

Filed:

Mar 15, 2013

Appl. No.:

13/841537

Inventors:

Jian YANG - Sharon MA, US
Leonid ZOSIN - Waltham MA, US
Konstantin ZALUTSKY - Bethlehem PA, US
Artem ASRIEV - Winchester MA, US
Gabriel BUTLER - Somerville MA, US

International Classification:

G06Q 40/06

US Classification:

705 36 R

Abstract:

A system for determining fair value prices of financial securities of international markets includes selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and producing each calculated return factor coefficient in a data stream.

US Patent:

20140337197, Nov 13, 2014

Filed:

May 12, 2014

Appl. No.:

14/275234

Inventors:

- Culver City CA, US
Jian YANG - Sharon MA, US
Leonid ZOSIN - Waltham MA, US
Konstantin ZALUTSKY - Bethlehem PA, US
Artem ASRIEV - Winchester MA, US
Gabriel BUTLER - Somerville MA, US

Assignee:

ITG Software Solutions, Inc. - Culver City CA

International Classification:

G06Q 40/04

US Classification:

705 37

Abstract:

A system for determining fair value prices of financial securities of international markets includes selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and producing each calculated return factor coefficient in a data stream.