Andrew W. Lo - Lexington MA, US Harry Mamaysky - Stamford CT, US Jiang Wang - Lexington MA, US
Assignee:
Massachusetts Institute of Technology - Cambridge MA
International Classification:
G06Q 40/00
US Classification:
705 37, 705 35
Abstract:
A data processing system and method for developing predictions regarding future asset price movements, based on pattern detection in a time sequence of historical price data. The system includes computer implementation of a kernal regression to effect a smooth estimator of the non-linear price-time relationship. As tested against known patterns, the system provides an expectation regarding a future price movement.