Patents by Inventor Richard Co
Richard Co 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: 12112375Abstract: Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.Type: GrantFiled: June 29, 2023Date of Patent: October 8, 2024Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Publication number: 20230351505Abstract: Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.Type: ApplicationFiled: June 29, 2023Publication date: November 2, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Publication number: 20230306512Abstract: Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.Type: ApplicationFiled: May 31, 2023Publication date: September 28, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy Francis McCourt, Thomas Patrick Rafferty, John Balaam Alexander Kerpel
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Patent number: 11727491Abstract: Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.Type: GrantFiled: October 10, 2022Date of Patent: August 15, 2023Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Patent number: 11704734Abstract: Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.Type: GrantFiled: May 18, 2021Date of Patent: July 18, 2023Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy Francis McCourt, Thomas Patrick Rafferty, John Balaam Alexander Kerpel
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Publication number: 20230030726Abstract: Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.Type: ApplicationFiled: October 10, 2022Publication date: February 2, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Patent number: 11488246Abstract: Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.Type: GrantFiled: June 24, 2021Date of Patent: November 1, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Publication number: 20210319511Abstract: Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.Type: ApplicationFiled: June 24, 2021Publication date: October 14, 2021Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Publication number: 20210272203Abstract: Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.Type: ApplicationFiled: May 18, 2021Publication date: September 2, 2021Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy Francis McCourt, Thomas Patrick Rafferty, John Balaam Alexander Kerpel
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Publication number: 20210272202Abstract: A computer implemented method for creating and matching implied inter-commodity spread orders where a spread ratio between legs of the inter-commodity spread is endogenous. The implied spread price is determined with a multi-step calculation including determining the price ratio between the underlying products and balancing the quantity of contracts required of each leg product.Type: ApplicationFiled: May 18, 2021Publication date: September 2, 2021Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Thomas Patrick Rafferty, Murphy James Brennan, Timothy Francis McCourt, Giovanni Vicioso, David Paul Plandowski, Benjamin Carl Rutledge
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Patent number: 11080785Abstract: Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.Type: GrantFiled: November 14, 2017Date of Patent: August 3, 2021Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Dhiraj Subhash Bawadhankar, Florian Huchedé, John Balaam Alexander Kerpel, Andrey Lopatin, Romil Pradip Parekh, Robert William Taylor
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Patent number: 11042933Abstract: Systems and methods are provided for efficiently processing withholding payments for constructive dividends. A party that receives constructive dividend payments also has a corresponding short position in a withholding financial instrument. A clearing house computer system adjusts the value of a withholding financial instrument in response to receipt of constructive dividend payments. The clearing house computer system determines a variation margin amount for the short party and processes a variation margin payment from the short party to a withholding account through the variation margin settlement system.Type: GrantFiled: October 17, 2017Date of Patent: June 22, 2021Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy Francis McCourt, Thomas Patrick Rafferty, John Balaam Alexander Kerpel
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Patent number: 11042935Abstract: A computer implemented method for creating and matching implied inter-commodity spread orders where a spread ratio between legs of the inter-commodity spread is endogenous. The implied spread price is determined with a multi-step calculation including determining the price ratio between the underlying products and balancing the quantity of contracts required of each leg product.Type: GrantFiled: January 2, 2019Date of Patent: June 22, 2021Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Thomas Patrick Rafferty, Murphy James Brennan, Timothy Francis McCourt, Giovanni Vicioso, David Paul Plandowski, Benjamin Carl Rutledge
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Patent number: 10839459Abstract: Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.Type: GrantFiled: January 9, 2019Date of Patent: November 17, 2020Assignee: Chicago Mercantile Exchange Inc.Inventors: John Labuszewski, Richard Co, John Kerpel, Roberta Paffaro
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Patent number: 10839458Abstract: Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders and matching orders to counter orders. Matching orders may be based on a priority determined using a market quality index of the order and an associated market participant.Type: GrantFiled: August 7, 2018Date of Patent: November 17, 2020Assignee: Chicago Mercantile Exchange Inc.Inventors: Alan Shontz, John Labuszewski, Richard Co, Steve Peters, David Boberski, Roberta Paffaro, Greg Skony
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Patent number: 10755366Abstract: One or more methods may be used to disseminate floor quotes from an open outcry financial market, such as via messages posted on a social network. These messages may include additional information for providing “color” to the price quotation. In some cases, a method of disseminating the floor quotes may include receiving, at a computer device, a request from a trader to receive an authenticated user name associated with a financial exchange. The financial exchange may then permit the trader to post one or more messages to a social network using the authenticated user name, where the message includes information about a trade on the financial exchange.Type: GrantFiled: May 29, 2019Date of Patent: August 25, 2020Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, John Labuszewski, John Nyhoff, James Boudreault
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Publication number: 20200211111Abstract: A computer implemented method for creating and matching implied inter-commodity spread orders where a spread ratio between legs of the inter-commodity spread is endogenous. The implied spread price is determined with a multi-step calculation including determining the price ratio between the underlying products and balancing the quantity of contracts required of each leg product.Type: ApplicationFiled: January 2, 2019Publication date: July 2, 2020Inventors: Richard Co, Thomas Patrick Rafferty, Murphy James Brennan, Timothy Francis McCourt, Giovanni Vicioso, David Paul Plandowski, Benjamin Carl Rutledge
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Patent number: 10552929Abstract: A system for moving money between accounts of traders by a central counterparty to facilitate a plurality of payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payor” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payor contract. The function of the payor contract may be to guarantee the movement of money from related positions. In one embodiment, payor contracts are dynamically created whenever a payment is needed.Type: GrantFiled: September 15, 2016Date of Patent: February 4, 2020Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, Timothy McCourt, Thomas Rafferty, John Kerpel, David Boberski, Edward M. Gogol, John Wiley, Steve Youngren, John Labuszewski
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Publication number: 20200027161Abstract: A method for matching compound orders from a group of market participants includes receiving, via a communication network, compound order data, the compound order data specifying a maximum amount of a financial instrument of a plurality of financial instruments to be bought or sold by each market participant, accessing a memory in which price data is stored, the price data indicating a current price of each financial instrument, implementing, with a processor, a linear solver to maximize fulfillment of the compound orders via order matching for execution at the current prices in accordance with the maximum amounts specified in the compound order data and in accordance with a maximum net risk exposure level for each market participant arising from the fulfillment of the compound orders, and transmitting trade data indicative of the order matching for execution of trades among the market participants at the current prices.Type: ApplicationFiled: September 27, 2019Publication date: January 23, 2020Applicant: Chicago Mercantile Exchange Inc.Inventors: Richard Co, John Nyhoff, Xing Su, Tuen Tuen Wang, John Labuszewski
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Patent number: 10489856Abstract: A method of determining a hybrid index may include obtaining, by a computer device, financial transaction information about two or more financial products over a duration. The computer device may be configured to filter the financial transaction information to produce enhanced financial transaction information. The computer device may then determine a financial index value using the financial transaction information and the enhanced financial transaction information.Type: GrantFiled: December 19, 2013Date of Patent: November 26, 2019Assignee: Chicago Mercantile Exchange Inc.Inventors: Richard Co, John Nyhoff, John Kerpel, John Labuszewski, Fred Sturm