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METHODS AND SYSTEMS OF FOUR-VALUED MONTE CARLO SIMULATION FOR FINANCIAL MODELING
METHODS AND SYSTEMS OF FOUR-VALUED MONTE CARLO SIMULATION FOR FINANCIAL MODELING
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机译:财务建模的四值蒙特卡洛模拟方法和系统
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摘要
Automatic trading environments with their high degree of automation have become the backbone of modern financial markets. The ability to process orders and manage risk in these systems while maintaining a low latency between participants is crucial for the safety and liquidity of these markets. The disclosed system describes a four valued Monte Carlo simulation for the stochastic modeling of risk and syntactic pattern matching techniques to facilitate the design of these systems. The system is a self- compiling, machine independent system capable of dividing, scaling and communicating multiple-asset instruments efficiently in a parallel environment. The system also allows for the integration of computerized financial heuristics on financial instruments and user interfaces for creating trading strategies to monitor and hedge risk over a trading desk for financial institutions.
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