Patents by Inventor Dmitriy Glinberg
Dmitriy Glinberg has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).
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Publication number: 20240169436Abstract: A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with a respective PCA factor of a plurality of PCA factors of the PCA model offset from a corresponding base value for the zero curve, calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves, calculating a loss risk amount for each PCA factor based on the respective projected value and a current value of the financial product portfolio, and determining the margin requirement based on a sum of the loss risk amounts for the plurality of PCA factors.Type: ApplicationFiled: January 30, 2024Publication date: May 23, 2024Applicant: Chicago Mercantile Exchange Inc.Inventors: Udesh Jha, Jalpan Shah, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Publication number: 20240144376Abstract: A set of estimated allocations Nest(X1) through Nest(Xk) of portfolio positions to products X1 through Xk may be determined, with products X1 through Xk including portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCopt may be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCopt may be output.Type: ApplicationFiled: December 18, 2023Publication date: May 2, 2024Applicant: Chicago Mercantile Exchange Inc.Inventors: Adam Olszewski, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Patent number: 11922506Abstract: A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with a respective PCA factor of a plurality of PCA factors of the PCA model offset from a corresponding base value for the zero curve, calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves, calculating a loss risk amount for each PCA factor based on the respective projected value and a current value of the financial product portfolio, and determining the margin requirement based on a sum of the loss risk amounts for the plurality of PCA factors.Type: GrantFiled: February 20, 2023Date of Patent: March 5, 2024Assignee: Chicago Mercantile Exchange Inc.Inventors: Udesh Jha, Jalpan Shah, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Patent number: 11887194Abstract: A set of estimated allocations Nest(X1) through Nest(Xk) of portfolio positions to products X1 through Xk may be determined, with products X1 through Xk including portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCopt may be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCopt may be output.Type: GrantFiled: February 28, 2022Date of Patent: January 30, 2024Assignee: Chicago Mercantile Exchange Inc.Inventors: Adam Olszewski, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Publication number: 20230281715Abstract: The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.Type: ApplicationFiled: May 15, 2023Publication date: September 7, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Paul Andrew Bauerschmidt, Dmitriy Glinberg, Edward M. Gogol, Stephen M. Goldman, Paul I. Lichter, Jeffrey Robert Mitchell, Ari L. Studnitzer, Tae Seok C. Yoo
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Patent number: 11694265Abstract: The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.Type: GrantFiled: October 26, 2022Date of Patent: July 4, 2023Assignee: Chicago Mercantile Exchange Inc.Inventors: Paul Andrew Bauerschmidt, Dmitriy Glinberg, Edward M. Gogol, Stephen M. Goldman, Paul I. Lichter, Jeffrey Robert Mitchell, Ari L. Studnitzer, Tae Seok C. Yoo
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Publication number: 20230196467Abstract: A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with a respective PCA factor of a plurality of PCA factors of the PCA model offset from a corresponding base value for the zero curve, calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves, calculating a loss risk amount for each PCA factor based on the respective projected value and a current value of the financial product portfolio, and determining the margin requirement based on a sum of the loss risk amounts for the plurality of PCA factors.Type: ApplicationFiled: February 20, 2023Publication date: June 22, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Udesh Jha, Jalpan Shah, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Patent number: 11605133Abstract: A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with a respective PCA factor of a plurality of PCA factors of the PCA model offset from a corresponding base value for the zero curve, calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves, calculating a loss risk amount for each PCA factor based on the respective projected value and a current value of the financial product portfolio, and determining the margin requirement based on a sum of the loss risk amounts for the plurality of PCA factors.Type: GrantFiled: February 22, 2021Date of Patent: March 14, 2023Assignee: Chicago Mercantile Exchange Inc.Inventors: Udesh Jha, Jalpan Shah, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Publication number: 20230059070Abstract: The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.Type: ApplicationFiled: October 26, 2022Publication date: February 23, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Paul Andrew Bauerschmidt, Dmitriy Glinberg, Edward M. Gogol, Stephen M. Goldman, Paul I. Lichter, Jeffrey Robert Mitchell, Ari L. Studnitzer, Tae Seok C. Yoo
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Patent number: 11538109Abstract: The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.Type: GrantFiled: January 24, 2022Date of Patent: December 27, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: Paul Andrew Bauerschmidt, Dmitriy Glinberg, Edward M. Gogol, Stephen M. Goldman, Paul I. Lichter, Jeffrey Robert Mitchell, Ari L. Studnitzer, Tae Seok C. Yoo
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Publication number: 20220180445Abstract: A set of estimated allocations Nest(X1) through Nest(Xk) of portfolio positions to products X1 through Xk may be determined, with products X1 through Xk including portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCopt may be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCopt may be output.Type: ApplicationFiled: February 28, 2022Publication date: June 9, 2022Applicant: Chicago Mercantile Exchange Inc.Inventors: Adam Olszewski, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Publication number: 20220180435Abstract: A hybrid cross-margining system is disclosed. The disclosed provides for both joint accounts, maintained by multiple exchanges, as well as non-joint accounts, whereby the system recognizes both intra-account offsets within the joint account and inter-exchange offsets between the joint account and accounts maintained by another exchange to minimize the margin requirement of the associated market participant with respect to the positions reflected in these accounts.Type: ApplicationFiled: February 22, 2022Publication date: June 9, 2022Applicant: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Edward Gogol, Tae Seok C. Yoo
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Publication number: 20220148087Abstract: The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”' s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.Type: ApplicationFiled: January 24, 2022Publication date: May 12, 2022Applicant: Chicago Mercantile Exchange Inc.Inventors: Paul Andrew Bauerschmidt, Dmitriy Glinberg, Edward M. Gogol, Stephen M. Goldman, Paul I. Lichter, Jeffrey Robert Mitchell, Ari L. Studnitzer, Tae Seok C. Yoo
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Patent number: 11295388Abstract: A set of estimated allocations Nest(X1) through Nest(Xk) of portfolio positions to products X1 through Xk may be determined, with products X1 through Xk including portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCopt may be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCopt may be output.Type: GrantFiled: March 31, 2020Date of Patent: April 5, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: Adam Olszewski, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Patent number: 11288742Abstract: A hybrid cross-margining system is disclosed. The disclosed provides for both joint accounts, maintained by multiple exchanges, as well as non-joint accounts, whereby the system recognizes both intra-account offsets within the joint account and inter-exchange offsets between the joint account and accounts maintained by another exchange to minimize the margin requirement of the associated market participant with respect to the positions reflected in these accounts.Type: GrantFiled: March 18, 2020Date of Patent: March 29, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Edward Gogol, Tae Seok C. Yoo
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Patent number: 11270379Abstract: The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.Type: GrantFiled: June 22, 2020Date of Patent: March 8, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: Paul Andrew Bauerschmidt, Dmitriy Glinberg, Edward M. Gogol, Stephen M. Goldman, Paul I. Lichter, Jeffrey Robert Mitchell, Ari L. Studnitzer, Tae Seok C. Yoo
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Publication number: 20210398215Abstract: A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.Type: ApplicationFiled: September 1, 2021Publication date: December 23, 2021Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale Michaels, Edward M. Gogol
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Patent number: 11138660Abstract: A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.Type: GrantFiled: June 14, 2018Date of Patent: October 5, 2021Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale Michaels, Edward M. Gogol
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Publication number: 20210182973Abstract: A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with a respective PCA factor of a plurality of PCA factors of the PCA model offset from a corresponding base value for the zero curve, calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves, calculating a loss risk amount for each PCA factor based on the respective projected value and a current value of the financial product portfolio, and determining the margin requirement based on a sum of the loss risk amounts for the plurality of PCA factors.Type: ApplicationFiled: February 22, 2021Publication date: June 17, 2021Applicant: Chicago Mercantile Exchange Inc.Inventors: Udesh Jha, Jalpan Shah, Dmitriy Glinberg, Edmund Li, Feliks Landa
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Patent number: 10956979Abstract: A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with a respective PCA factor of a plurality of PCA factors of the PCA model offset from a corresponding base value for the zero curve, calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves, calculating a loss risk amount for each PCA factor based on the respective projected value and a current value of the financial product portfolio, and determining the margin requirement based on a sum of the loss risk amounts for the plurality of PCA factors.Type: GrantFiled: February 5, 2020Date of Patent: March 23, 2021Assignee: Chicago Mercantile Exchange Inc.Inventors: Udesh Jha, Jalpan Shah, Dmitriy Glinberg, Edmund Li, Feliks Landa