System and method for predicting security price movements...

Details System and method for predicting security price movements... System and method for predicting security price movements...

2002-03-28

2008-12-16

Cheung, Mary (Department: 3694)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S035000, C705S037000

Reexamination Certificate

active

07467108

ABSTRACT:
A method of creating a price prediction model that forecasts short-term price fluctuations in financial instruments by collecting, analyzing and classifying financial news for a financial instrument into categories. Distributions for the changes in price of the financial instrument for a set period of time and distributions for the changes in price of the financial instrument as a result of the financial news for each news category for a set period of time are then obtained. If the distributions for the changes in price of the financial instrument are statistically significantly different than the distributions for the changes in price of the financial instrument for a particular news category, and the mean for the change in price is greater or less than zero, a signal is produced indicating the trading action that should be taken for the financial instrument.

REFERENCES:
patent: 5761422 (1998-06-01), Westin et al.
patent: 6313833 (2001-11-01), Knight
patent: 6968316 (2005-11-01), Hamilton
Robert P Schumaker and Hsinchun Chen. “Evaluating a news-aware quantitative trader: The effect of momentum and contrarian stock selection strategies”, Journal of the American Society for Information Science and Technology. Hoboken: Jan. 15, 2008. vol. 59, Iss. 2; p. 247.

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