Patents by Inventor Tae S. Yoo

Tae S. Yoo 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).

  • Publication number: 20100257122
    Abstract: A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).
    Type: Application
    Filed: June 14, 2010
    Publication date: October 7, 2010
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Jodi L. Abudarham, Dale A. Michaels
  • Patent number: 7769667
    Abstract: A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).
    Type: Grant
    Filed: January 7, 2005
    Date of Patent: August 3, 2010
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Jodi L. Abudarham, Dale A. Michaels
  • Patent number: 7593877
    Abstract: A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.
    Type: Grant
    Filed: January 7, 2005
    Date of Patent: September 22, 2009
    Assignee: Chicago Mercantile Exchange, Inc.
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Publication number: 20090177592
    Abstract: A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.
    Type: Application
    Filed: March 13, 2009
    Publication date: July 9, 2009
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Patent number: 7509275
    Abstract: A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.
    Type: Grant
    Filed: January 7, 2005
    Date of Patent: March 24, 2009
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Publication number: 20090076982
    Abstract: A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.
    Type: Application
    Filed: November 13, 2008
    Publication date: March 19, 2009
    Inventors: Dmitriy Ginberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Publication number: 20080301062
    Abstract: A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.
    Type: Application
    Filed: August 8, 2008
    Publication date: December 4, 2008
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Publication number: 20080294572
    Abstract: A system and method is disclosed for determining performance bonds related to fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the particular value of the underlying event. The worst outcome of the overall portfolio, which may contain more than one instrument, is calculated. This permits the portfolio to have both long and short positions on the same underlying event and offsets, e.g. long (bought but not closed out) and short (sold but not closed out) positions, among instruments in the portfolio are factored in. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, an single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as “strikes.” Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both.
    Type: Application
    Filed: August 8, 2008
    Publication date: November 27, 2008
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Publication number: 20080294573
    Abstract: A risk management system and method is disclosed which utilizes a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. In the disclosed embodiments, multiple different types of spreading are combined to allow for a more accurate assessment of risk. In one exemplary embodiment, a subset of the derivative products held by a futures trader are first analyzed by the scanning based spreading methodology. Typically, futures products in the same class of products (e.g. equity futures or agricultural futures) would be analyzed together by the scanning based spreading methodology. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products (not in the subset) using a delta based spreading methodology.
    Type: Application
    Filed: August 8, 2008
    Publication date: November 27, 2008
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Patent number: 7430539
    Abstract: A system and method is disclosed for determining performance bonds related to fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the particular value of the underlying event. The worst outcome of the overall portfolio, which may contain more than one instrument, is calculated. This permits the portfolio to have both long and short positions on the same underlying event and offsets, e.g. long (bought but not closed out) and short (sold but not closed out) positions, among instruments in the portfolio are factored in. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, an single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as “strikes.” Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both.
    Type: Grant
    Filed: January 7, 2005
    Date of Patent: September 30, 2008
    Assignee: Chicago Mercantile Exchange
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Patent number: 7428508
    Abstract: A risk management system and method is disclosed which utilizes a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. In the disclosed embodiments, multiple different types of spreading are combined to allow for a more accurate assessment of risk. In one exemplary embodiment, a subset of the derivative products held by a futures trader are first analyzed by the scanning based spreading methodology. Typically, futures products in the same class of products (e.g. equity futures or agricultural futures) would be analyzed together by the scanning based spreading methodology. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products(not in the subset) using a delta based spreading methodology.
    Type: Grant
    Filed: January 7, 2005
    Date of Patent: September 23, 2008
    Assignee: Chicago Mercantile Exchange
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
  • Patent number: 7426487
    Abstract: A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.
    Type: Grant
    Filed: January 7, 2005
    Date of Patent: September 16, 2008
    Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol