Guo P Chen

US Patent:

20220335523, Oct 20, 2022

Filed:

Jun 14, 2022

Appl. No.:

17/839791

Inventors:

- Chicago IL, US
Nikhil Joshi - New York NY, US
Guo Chen - Chicago IL, US
Siwen Yang - Chicago IL, US
Zijiang Yang - Chicago IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/04

Abstract:

A system may be configured to generate an estimate of value at risk and may include a processor to process instructions that cause the system to generate a rolling time series of value data having a plurality of dimensions, perform rotation transform of the time series, perform variance scaling and correlation scaling on transformed time series, reverse transform the results of the scaling, and estimate of a value-at-risk for the value data.

US Patent:

20220270188, Aug 25, 2022

Filed:

Apr 20, 2022

Appl. No.:

17/725038

Inventors:

- Chicago IL, US
Nikhil Joshi - New York NY, US
Guo Chen - Chicago IL, US
Siwen Yang - Chicago IL, US
Zijiang Yang - Chicago IL, US
Xiaowen Xu - Chicago IL, US
Shuo Liu - London, GB
Sebastiano Rossi - Zurich, CH

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 50/06
G06Q 40/06
G06Q 40/04
H02J 7/00
G06F 16/22
G06F 16/21

Abstract:

A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.

US Patent:

20210012436, Jan 14, 2021

Filed:

Sep 25, 2020

Appl. No.:

17/032064

Inventors:

- Chicago IL, US
Nikhil Joshi - New York NY, US
Guo Chen - Chicago IL, US
Siwen Yang - Chicago IL, US
Zijiang Yang - Chicago IL, US
Xiaowen Xu - Chicago IL, US
Shuo Liu - London, GB
Sebastiano Rossi - Zurich, CH

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 50/06
G06Q 40/04
G06F 16/22
G06F 16/21
G06Q 40/06
H02J 7/00

Abstract:

A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.

US Patent:

20200226684, Jul 16, 2020

Filed:

Mar 31, 2020

Appl. No.:

16/835946

Inventors:

- Chicago IL, US
Nikhil Joshi - New York NY, US
Guo Chen - Chicago IL, US
Siwen Yang - Chicago IL, US
Zijiang Yang - Chicago IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/04

Abstract:

A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.

US Patent:

20170206601, Jul 20, 2017

Filed:

Jan 20, 2016

Appl. No.:

15/001997

Inventors:

- Chicago IL, US
Nikhil Joshi - New York NY, US
Guo Chen - Chicago IL, US
Siwen Yang - Chicago IL, US
Zijiang Yang - Chicago IL, US

International Classification:

G06Q 40/04
G06Q 20/02

Abstract:

A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.