Patents by Inventor Jennifer Weng
Jennifer Weng 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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Patent number: 11966975Abstract: A system may be configured to generate an estimate of value at risk and may include a processor to process instructions that cause the system to generate a rolling time series of value data having a plurality of dimensions, perform rotation transform of the time series, perform variance scaling and correlation scaling on transformed time series, reverse transform the results of the scaling, and estimate of a value-at-risk for the value data.Type: GrantFiled: June 14, 2022Date of Patent: April 23, 2024Assignee: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang
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Publication number: 20220335523Abstract: A system may be configured to generate an estimate of value at risk and may include a processor to process instructions that cause the system to generate a rolling time series of value data having a plurality of dimensions, perform rotation transform of the time series, perform variance scaling and correlation scaling on transformed time series, reverse transform the results of the scaling, and estimate of a value-at-risk for the value data.Type: ApplicationFiled: June 14, 2022Publication date: October 20, 2022Applicant: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang
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Patent number: 11393029Abstract: A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.Type: GrantFiled: March 31, 2020Date of Patent: July 19, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang
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Patent number: 10867360Abstract: 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.Type: GrantFiled: October 27, 2017Date of Patent: December 15, 2020Assignee: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang, Xiaowen Xu, Shuo Liu, Sebastiano Rossi
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Publication number: 20200226684Abstract: A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.Type: ApplicationFiled: March 31, 2020Publication date: July 16, 2020Applicant: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang
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Publication number: 20200175594Abstract: A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.Type: ApplicationFiled: December 2, 2019Publication date: June 4, 2020Applicant: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Ziyi Wang, Xianqing Zou, Yingwen Liu, Shuo Liu, Chenda Huang
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Patent number: 10643278Abstract: A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.Type: GrantFiled: January 20, 2016Date of Patent: May 5, 2020Assignee: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang
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Patent number: 10529022Abstract: A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and also permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.Type: GrantFiled: January 12, 2017Date of Patent: January 7, 2020Assignee: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Ziyi Wang, Xianqing Zou, Yingwen Liu, Shuo Liu, Chenda Huang
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Patent number: 10380690Abstract: Datasets may be characterized by patterns. The patterns may be caused or otherwise influenced by external factors, such as temporal, meteorological, and/or system factors. The external factors, as well as the patterns which result in the data values of the dataset because of the external factors, may provide for techniques used to account for missing data elements, outlier data elements and/or otherwise cleanse the dataset. New elements may be generated to provide for the missing data elements, and derivative datasets may be generated based on one or more cleansed datasets.Type: GrantFiled: May 21, 2015Date of Patent: August 13, 2019Assignee: Chicago Mercantile Exchange Inc.Inventors: Jennifer Weng, Nataliya Frost, Shuo Liu, Panagiotis Xythalis, Lingrui Xiang, Xianqing Zou, Hariharan Kesavarao, Jie Zhu, Abhinaw Prakash
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Publication number: 20170243261Abstract: Systems and methods are provided for efficiently determining prices of futures, spreads and swaps by considering product interdependencies. The disclosed systems and methods use interpolation, extrapolation and backward propagation to produce accurate results.Type: ApplicationFiled: February 24, 2016Publication date: August 24, 2017Inventors: Jennifer Weng, Panagiotis Xythalis, Yingwen Liu, Lingrui Xiang, Shuo Liu, Sixiang Li, Chenda Huang, Ziyi Wang, Nataliya Frost, Xianqing Zou
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Publication number: 20170221145Abstract: A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and also permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.Type: ApplicationFiled: January 12, 2017Publication date: August 3, 2017Inventors: Jennifer Weng, Ziyi Wang, Xianqing Zou, Yingwen Liu, Shuo Liu, Chenda Huang
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Publication number: 20170206601Abstract: A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.Type: ApplicationFiled: January 20, 2016Publication date: July 20, 2017Inventors: Jennifer Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang
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Publication number: 20160343080Abstract: Datasets may be characterized by patterns. The patterns may be caused or otherwise influenced by external factors, such as temporal, meteorological, and/or system factors. The external factors, as well as the patterns which result in the data values of the dataset because of the external factors, may provide for techniques used to account for missing data elements, outlier data elements and/or otherwise cleanse the dataset. New elements may be generated to provide for the missing data elements, and derivative datasets may be generated based on one or more cleansed datasets.Type: ApplicationFiled: May 21, 2015Publication date: November 24, 2016Inventors: Jennifer Weng, Nataliya Frost, Shuo Liu, Panagiotis Xythalis, Lingrui Xiang, Xianqing Zou, Hariharan Kesavarao, Jie Zhu, Abhinaw Prakash