Patents by Inventor Ralph Bruce Ferguson
Ralph Bruce Ferguson 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: 8156035Abstract: A method for modeling an investment significant parameter of a financial instrument, using a computer. At least one series of historical bid prices of the financial instrument or historical ask prices of the financial instrument is provided. A financial model type that has at least one variable parameter is selected. The variable parameter(s) of the selected financial model type is initialized. The series of historical bid prices and/or historical ask prices is applied to the initialized financial model type to estimate the variable parameter(s). The resulting model of the financial instrument may be used to predict future values of the investment significant parameter of the financial instrument. These predicted future values may be used to determine whether to perform automated trades of the financial instrument.Type: GrantFiled: April 13, 2009Date of Patent: April 10, 2012Assignee: Penson Worldwide, Inc.Inventors: Ralph Bruce Ferguson, Liam Cheung, Ronald Scott Boyd
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Patent number: 8090644Abstract: A method for modeling an investment significant parameter of a financial instrument, using a computer. At least one series of historical bid prices of the financial instrument or historical ask prices of the financial instrument is provided. A financial model type that has at least one variable parameter is selected. The variable parameter(s) of the selected financial model type is initialized. The series of historical bid prices and/or historical ask prices is applied to the initialized financial model type to estimate the variable parameter(s). The resulting model of the financial instrument may be used to predict future values of the investment significant parameter of the financial instrument. These predicted future values may be used to determine whether to perform automated trades of the financial instrument.Type: GrantFiled: April 6, 2009Date of Patent: January 3, 2012Assignee: Penson Worldwide, IncInventors: Ralph Bruce Ferguson, Liam Cheung, Ronald Scott Boyd
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Publication number: 20100325031Abstract: Systems and methods for trading financial assets are disclosed. Financial assets may be traded by locally providing quotes for a financial asset in a foreign currency, locally receiving orders for the financial asset in the foreign currency, and locally filling the orders in the foreign currency. Hedged quotes for the financial assets may be developed for trading, in a first currency, financial assets priced in a second currency.Type: ApplicationFiled: June 18, 2010Publication date: December 23, 2010Applicant: Penson Worldwide, Inc.Inventors: MICHAEL ALAN KAHAN, Ralph Bruce Ferguson
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Publication number: 20090198634Abstract: A method for modeling an investment significant parameter of a financial instrument, using a computer. At least one series of historical bid prices of the financial instrument or historical ask prices of the financial instrument is provided. A financial model type that has at least one variable parameter is selected. The variable parameter(s) of the selected financial model type is initialized. The series of historical bid prices and/or historical ask prices is applied to the initialized financial model type to estimate the variable parameter(s). The resulting model of the financial instrument may be used to predict future values of the investment significant parameter of the financial instrument. These predicted future values may be used to determine whether to perform automated trades of the financial instrument.Type: ApplicationFiled: April 13, 2009Publication date: August 6, 2009Applicant: PENSON WORLDWIDE, INC.Inventors: Ralph Bruce Ferguson, Liam Cheung, Ronald Scott Boyd
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Publication number: 20090192949Abstract: A method for modeling an investment significant parameter of a financial instrument, using a computer. At least one series of historical bid prices of the financial instrument or historical ask prices of the financial instrument is provided. A financial model type that has at least one variable parameter is selected. The variable parameter(s) of the selected financial model type is initialized. The series of historical bid prices and/or historical ask prices is applied to the initialized financial model type to estimate the variable parameter(s). The resulting model of the financial instrument may be used to predict future values of the investment significant parameter of the financial instrument. These predicted future values may be used to determine whether to perform automated trades of the financial instrument.Type: ApplicationFiled: April 6, 2009Publication date: July 30, 2009Applicant: PENSON WORLDWIDE, INC.Inventors: Ralph Bruce Ferguson, Liam Cheung, Ronald Scott Boyd
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Patent number: 7542939Abstract: A method for modeling an investment significant parameter of a financial instrument, using a computer. At least one series of historical bid prices of the financial instrument or historical ask prices of the financial instrument is provided. A financial model type that has at least one variable parameter is selected. The variable parameter(s) of the selected financial model type is initialized. The series of historical bid prices and/or historical ask prices is applied to the initialized financial model type to estimate the variable parameter(s). The resulting model of the financial instrument may be used to predict future values of the investment significant parameter of the financial instrument. These predicted future values may be used to determine whether to perform automated trades of the financial instrument.Type: GrantFiled: October 31, 2005Date of Patent: June 2, 2009Assignee: Penson Worldwide, Inc.Inventors: Ralph Bruce Ferguson, Liam Cheung, Ronald Scott Boyd
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Publication number: 20080243673Abstract: A method for producing a timestamped series of price data of a financial instrument from its prices. The timestamped series includes a timestamp associated with each price. Each timestamp has a timestamp precision of one millisecond or less and a timestamp accuracy equal to or shorter than the timestamp precision. At least one timestamping processor is provided to receive the prices. The internal clock of each timestamping processor is synchronized to a universal time with a time precision and accuracy equal to or shorter than half of the timestamp precision. Each price is applied to a timestamping processor with a predetermined time delay after quotation. Each time delay has a time delay precision and accuracy equal to or shorter than half of the timestamp precision. The timestamp is determined for each applied price based on the corresponding delay time and internal time when the price is applied.Type: ApplicationFiled: March 26, 2007Publication date: October 2, 2008Inventors: Ralph Bruce Ferguson, Thomas Neal Falkenberry
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Publication number: 20080147569Abstract: A method for producing quotes in a first currency for a financial instrument traded in a second currency. At least one substantially real time series of currency conversion quotes for converting the second currency to the first currency is received. This series of currency conversion quotes is applied to a currency conversion model adapted to estimate future currency conversion quotes. An offered conversion price within a settlement time window is determined using the estimated future currency conversion quotes. The settlement time window begins at the current time and extends through the financial instrument settlement period. A substantially real time series of quotes for the financial instrument, in the second currency, is received. A substantially current time quote for the financial instrument is multiplied by the offered conversion price to determine a hedged quote for the foreign financial instrument in the first currency. The hedged quote is displayed.Type: ApplicationFiled: December 4, 2007Publication date: June 19, 2008Applicant: PENSON WORLDWIDE, INC.Inventors: MICHAEL ALAN KAHAN, JOHN MORGAN SLADE, DANIEL SETH WILLIAMS, GRANT MARCUS TAYLOR, RALPH BRUCE FERGUSON
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Patent number: 6985781Abstract: A plant is operable to receive control inputs c(t) and provide an output y(t). The plant (72) has associated therewith state variables s(t) that are not variable. A control network (74) models the plant by providing a predicted output which is combined with a desired output to generate an error that is back propagated through an inverse control network to generate a control error signal that is input to a distributed control system to vary the control inputs to the plant in order to change the output y(t) to meet the desired output. The inverse model represents the dependencies of the plant output on the control variables parameterized by external influences to the plant.Type: GrantFiled: January 8, 2002Date of Patent: January 10, 2006Assignee: Pavilion Technologies, Inc.Inventors: James David Keeler, Eric Jon Hartman, Kadir Liano, Ralph Bruce Ferguson
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Patent number: 6957203Abstract: A neural network system is provided that models the system in a system model (12) with the output thereof providing a predicted output. This predicted output is modified or controlled by an output control (14). Input data is processed in a data preprocess step (10) to reconcile the data for input to the system model (12). Additionally, the error resulted from the reconciliation is input to an uncertainty model to predict the uncertainty in the predicted output. This is input to a decision processor (20) which is utilized to control the output control (14). The output control (14) is controlled to either vary the predicted output or to inhibit the predicted output whenever the output of the uncertainty model (18) exceeds a predetermined decision threshold, input by a decision threshold block (22).Type: GrantFiled: July 7, 2003Date of Patent: October 18, 2005Assignee: Pavilion TechnologiesInventors: James David Keeler, Eric Jon Hartman, Ralph Bruce Ferguson
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Patent number: 6944616Abstract: A system and method for historical database training of a support vector machine (SVM). The SVM is trained with training sets from a stream of process data. The system detects availability of new training data, and constructs a training set from the corresponding input data. Over time, many training sets are presented to the SVM. When multiple presentations are needed to effectively train the SVM, a buffer of training sets is filled and updated as new training data becomes available. Once the buffer is full, a new training set bumps the oldest training set from the buffer. The training sets are presented one or more times each time a new training set is constructed. A historical database of time-stamped data may be used to construct training sets for the SVM. The SVM may be trained retrospectively by searching the historical database and constructing training sets based on the time-stamped data.Type: GrantFiled: November 28, 2001Date of Patent: September 13, 2005Assignee: Pavilion Technologies, Inc.Inventors: Ralph Bruce Ferguson, Eric J. Hartman, William Douglas Johnson, Eric S. Hurley
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Patent number: 6934931Abstract: A system and method for performing modeling, prediction, optimization, and control, including an enterprise wide framework for constructing modeling, optimization, and control solutions. The framework includes a plurality of base classes that may be used to create primitive software objects. These objects may then be combined to create optimization and/or control solutions. The distributed event-driven component architecture allows much greater flexibility and power in creating, deploying, and modifying modeling, optimization and control solutions. The system also includes various techniques for performing improved modeling, optimization, and control, as well as improved scheduling and control. For example, the system may include a combination of batch and continuous processing frameworks, and a unified hybrid modeling framework which allows encapsulation and composition of different model types, such as first principles models and empirical models.Type: GrantFiled: April 5, 2001Date of Patent: August 23, 2005Assignee: Pavilion Technologies, Inc.Inventors: Edward Stanley Plumer, Bijan Sayyar-Rodsari, Carl Anthony Schweiger, Ralph Bruce Ferguson, II, William Douglas Johnson, Celso Axelrud
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Publication number: 20040133533Abstract: A neural network system is provided that models the system in a system model (12) with the output thereof providing a predicted output. This predicted output is modified or controlled by an output control (14). Input data is processed in a data preprocess step (10) to reconcile the data for input to the system model (12). Additionally, the error resulted from the reconciliation is input to an uncertainty model to predict the uncertainty in the predicted output. This is input to a decision processor (20) which is utilized to control the output control (14). The output control (14) is controlled to either vary the predicted output or to inhibit the predicted output whenever the output of the uncertainty model (18) exceeds a predetermined decision threshold, input by a decision threshold block (22).Type: ApplicationFiled: July 7, 2003Publication date: July 8, 2004Inventors: James David Keeler, Eric Jon Hartman, Ralph Bruce Ferguson
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Publication number: 20030236721Abstract: A computer-implemented method for performing dynamic cost accounting for an enterprise, wherein the enterprise includes a costing system. The method includes programmatically retrieving input information for the costing system, e.g., from one or more (possibly remote) information sources over a network, dynamically updating the costing system in accordance with the retrieved input information to generate an updated costing system, and the updated costing system calculating one or more outputs which are usable in managing the enterprise. The retrieving and update may occur periodically, e.g., monthly, weekly, per hour, minute, second, millisecond, etc., or on demand. In some embodiments, the enterprise may further include one or more optimizers, wherein the optimizers are provided with the one or more outputs of the costing system, and executed to determine one or more optimal operating parameters for the enterprise.Type: ApplicationFiled: May 20, 2003Publication date: December 25, 2003Inventors: Edward S. Plumer, Robert S. Golightly, Graham Gaylard, Ralph Bruce Ferguson
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Patent number: 6591254Abstract: A neural network system is provided that models the system in a system model (12) with the output thereof providing a predicted output. This predicted output is modified or controlled by an output control (14). Input data is processed in a data preprocess step (10) to reconcile the data for input to the system model (12). Additionally, the error resulted from the reconciliation is input to an uncertainty model to predict the uncertainty in the predicted output. This is input to a decision processor (20) which is utilized to control the output control (14). The output control (14) is controlled to either vary the predicted output or to inhibit the predicted output whenever the output of the uncertainty model (18) exceeds a predetermined decision threshold, input by a decision threshold block (22).Type: GrantFiled: November 6, 2001Date of Patent: July 8, 2003Assignee: Pavilion Technologies, Inc.Inventors: James David Keeler, Eric Jon Hartman, Ralph Bruce Ferguson
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Publication number: 20020087221Abstract: A plant (72) is operable to receive control inputs c(t) and provide an output y(t). The plant (72) has associated therewith state variables s(t) that are not variable. A control network (74) is provided that accurately models the plant (72). The output of the control network (74) provides a predicted output which is combined with a desired output to generate an error. This error is back propagated through an inverse control network (76), which is the inverse of the control network (74) to generate a control error signal that is input to a distributed control system (73) to vary the control inputs to the plant (72) in order to change the output y(t) to meet the desired output. The control network (74) is comprised of a first network NET 1 that is operable to store a representation of the dependency of the control variables on the state variables. The predicted result is subtracted from the actual state variable input and stored as a residual in a residual layer (102).Type: ApplicationFiled: January 8, 2002Publication date: July 4, 2002Inventors: James David Keeler, Eric Jon Hartman, Kadir Liano, Ralph Bruce Ferguson
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Patent number: 6363289Abstract: A plant (72) is operable to receive control inputs c(t) and provide an output y(t). The plant (72) has associated therewith state variables s(t) that are not variable. A control network (74) is provided that accurately models the plant (72). The output of the control network (74) provides a predicted output which is combined with a desired output to generate an error. This error is back propagated through an inverse control network (76), which is the inverse of the control network (74) to generate a control error signal that is input to a distributed control system (73) to vary the control inputs to the plant (72) in order to change the output y(t) to meet the desired output. The control network (74) is comprised of a first network NET 1 that is operable to store a representation of the dependency of the control variables on the state variables. The predicted result is subtracted from the actual state variable input and stored as a residual in a residual layer (102).Type: GrantFiled: January 12, 1999Date of Patent: March 26, 2002Assignee: Pavilion Technologies, Inc.Inventors: James David Keeler, Eric Jon Hartman, Kadir Liano, Ralph Bruce Ferguson
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Publication number: 20010049595Abstract: A system and method for performing modeling, prediction, optimization, and control, including an enterprise wide framework for constructing modeling, optimization, and control solutions. The framework includes a plurality of base classes that may be used to create primitive software objects. These objects may then be combined to create optimization and/or control solutions. The distributed event-driven component architecture allows much greater flexibility and power in creating, deploying, and modifying modeling, optimization and control solutions. The system also includes various techniques for performing improved modeling, optimization, and control, as well as improved scheduling and control. For example, the system may include a combination of batch and continuous processing frameworks, and a unified hybrid modeling framework which allows encapsulation and composition of different model types, such as first principles models and empirical models.Type: ApplicationFiled: April 5, 2001Publication date: December 6, 2001Inventors: Edward Stanley Plumer, Bijan Sayyar-Rodsari, Carl Anthony Schweiger, Ralph Bruce Ferguson, William Douglas Johnson, Celso Axelrud
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Patent number: 6314414Abstract: A neural network system is provided that models the system in a system model (12) with the output thereof providing a predicted output. This predicted output is modified or controlled by an output control (14). Input data is processed in a data preprocess step (10) to reconcile the data for input to the system model (12). Additionally, the error resulted from the reconciliation is input to an uncertainty model to predict the uncertainty in the predicted output. This is input to a decision processor (20) which is utilized to control the output control (14). The output control (14) is controlled to either vary the predicted output or to inhibit the predicted output whenever the output of the uncertainty model (18) exceeds a predetermined decision threshold, input by a decision threshold block (22).Type: GrantFiled: December 8, 1998Date of Patent: November 6, 2001Assignee: Pavilion Technologies, Inc.Inventors: James David Keeler, Eric Jon Hartman, Ralph Bruce Ferguson
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Patent number: 6169980Abstract: A neural network system is provided that models the system in a system model (12) with the output thereof providing a predicted output. This predicted output is modified or controlled by an output control (14). Input data is processed in a data preprocess step (10) to reconcile the data for input to the system model (12). Additionally, the error resulted from the reconciliation is input to an uncertainty model to predict the uncertainty in the predicted output. This is input to a decision processor (20) which is utilized to control the output control (14). The output control (14) is controlled to either vary the predicted output or to inhibit the predicted output whenever the output of the uncertainty model (18) exceeds a predetermined decision threshold, input by a decision threshold block (22).Type: GrantFiled: October 6, 1998Date of Patent: January 2, 2001Assignee: Pavilion Technologies, Inc.Inventors: James David Keeler, Eric Jon Hartman, Ralph Bruce Ferguson