Patents by Inventor Lionel Martellini

Lionel Martellini 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).

  • System, Method and Computer Program Product for Measuring Risk Levels in a Stock Market by Providing a Volatility, Skewness and Kurtosis Index
    Publication number: 20110307415
    Abstract: A system, method and computer program product for constructing a volatility index by using at least one processor, the method comprising: obtaining, by at least one computing device having at least one computer processor, a universe of securities; selecting, by the at least one computing device, constituent securities at a given date; computing, by the at least one computing device, constituent returns for said constituent securities; filtering, by the at least one computing device, outliers; applying, by the at least one computing device, weighting comprising computing at least one of a second, third or fourth moment to obtain the index.
    Type: Application
    Filed: June 9, 2011
    Publication date: December 15, 2011
    Applicant: EDHEC RISK CONSULTING LIMITED
    Inventors: Lionel Martellini, Felix Goltz, Stoyan Stoyanov