Invention Grant
- Patent Title: Futures margin modeling system having seasonality detection
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Application No.: US17032064Application Date: 2020-09-25
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Publication No.: US11367152B2Publication Date: 2022-06-21
- Inventor: Jennifer Yingying Weng , Nikhil Joshi , Guo Chen , Siwen Yang , Zijiang Yang , Xiaowen Xu , Shuo Liu , Sebastiano Rossi
- Applicant: Chicago Mercantile Exchange Inc.
- Applicant Address: US IL Chicago
- Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee Address: US IL Chicago
- Agency: Lempia Summerfield Katz LLC
- Main IPC: G06Q50/06
- IPC: G06Q50/06 ; G06Q40/06 ; G06Q40/04 ; H02J7/00 ; G06F16/22 ; G06F16/21 ; H02J3/38

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.
Public/Granted literature
- US20210012436A1 Futures margin modeling system having seasonality detection Public/Granted day:2021-01-14
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