FACTOR-BASED MEASURING OF SIMILARITY BETWEEN FINANCIAL INSTRUMENTS

摘要

A system and method for factor-based measuring of similarity between financial instruments are described. The method including selecting a model for factor intersection calculation of a two or more of financial instruments, the model including a plurality of factors; determining factor exposure values for first and second financial instruments on each of the factors; determining a proximity between the factor exposure values based on the selected model; and calculating a factor intersection result between the factor exposure values, wherein the factor intersection result includes at least one of an overlap amount and a non-overlap amount.