Abstract: A method for improving processing of data from a plurality of data sources by extracting signals from data sets includes retrieving the data from the plurality of data sources, generating a correlation matrix or a covariance matrix based on the retrieved data, performing an eigenvalue decomposition on the correlation matrix or the covariance matrix to determine a set of eigenvector loadings, and converting a result of the eigenvalue decomposition into an indicator of a common signal among the retrieved data. Converting the result of the eigenvalue decomposition into the indicator of the common signal includes applying a loading from the set of eigenvector loadings as a weight to at least one corresponding observation in the retrieved data from the plurality of data sources, and recursively repeating the steps of retrieving, generating, performing, and converting.

Abstract: Systems and methods for creating indicators to quantify and index financial market liquidity risk that is marked wide among a broad set of securities or asset classes or portfolio specific relative to an individual investor's portfolio holdings. A liquidity risk index can be created as a counterpart to any well-known market index, such as the Dow Jones Industrial Average® or the S&P 500® index. The present disclosure relates to risk management in financial markets and in particular to systems and methods for quantifying and indexing liquidity risk such that these indices can serve as underlying assets for futures, options, or other financial instruments that investors would use to hedge against the liquidity risk.

Abstract: A variety of signal extraction algorithms are employed to construct indicators or synthetic data proxy variables or factors from one or multiple data sources with specialized data handling options to resolve problems associated with economic and financial data: revisions, missing observations, publication lags, spontaneous arrival. A forecast evaluation module aids in the selection of the signal extraction procedure that has produced the most accurate factor.

Abstract: Systems and methods for creating indicators to quantify and index correlation risk that is market-wide among a broad set of asset classes or portfolio specific relative to an investor's portfolio holdings. The present disclosure relates to risk management in financial markets, and in particular to systems and methods for quantifying and indexing correlation risk such that these indices can serve as underlying assets for futures and options or other financial instruments that investors would use to hedge against the risk.

Abstract: Systems and methods for creating an index to track sentiment risk in 1) the economy as measured by expectations for future economic (GDP) growth; 2) in financial markets as measured by sentiment for securities comprising a benchmark financial index; 3) or for individual securities comprising an individual portfolio; by combining multiple data sources including surveys, opinion polls, prediction markets, news, internet content, activity, and search query data, and extracting a common signal from multiple sources. An index can be created aggregating sentiment measures across securities which are the components of a well-known financial market index to track sentiment risk for that index. An index can be created by aggregating sentiment measures across securities which are the holdings in an individual portfolio. Security-specific sentiment measures can be created.

Abstract: Systems and methods for creating indicators to quantify and index financial market liquidity risk that is market-wide among a broad set of securities or asset classes or portfolio specific relative to an individual investor's portfolio holdings. A liquidity risk index can be created as a counterpart to any well-known market index, such as the Dow Jones Industrial Average® or the S&P 500® index. The present disclosure relates to risk management in financial markets, and in particular to systems and methods for quantifying and indexing liquidity risk such that these indices can serve as underlying assets for futures, options, or other financial instruments that investors would use to hedge against the liquidity risk.