Volatility Detection in a Non-Trading Security's Price Quotation

Abstract

To ensure that a security does not experience large fluctuations in price after being released from a halt or an IPO, a volatility detection process is used to monitor a pre-release stability of the security based on pre-release orders to buy and orders to sell. These pre-release orders to buy and orders to sell establish an equilibrium price, a cross price. A security is released only when the cross price has been stable for a predetermined period of time prior to the release.

1 . A computer implemented method for releasing securities for trading, the method comprising:
 determining volatility in prices of quotations for a security before the security is released for trading; and   releasing the security for trading when the determined volatility is below a threshold.   
   
   
       2 . The method of  claim 1  further comprising:
 delaying the release of the security if the detected volatility in the security's price quotations exceeds the threshold.   
   
   
       3 . The method of  claim 1  further comprising:
 detecting volatility in prices of quotations for an initial public offering issue before the issue is released for trading.   
   
   
       4 . The method of  claim 1  further comprising:
 calculating the volatility as a variance in the prices of quotations for the security.   
   
   
       5 . The method of  claim 4  in which the variance is measured as a percentage value. 
   
   
       6 . The method of  claim 4  in which the variance is measured in absolute terms. 
   
   
       7 . The method of  claim 2  further comprising extending the time for volatility detection if the detected volatility exceeds the threshold. 
   
   
       8 . The method of  claim 2  comprising detecting volatility over a defined period. 
   
   
       9 . The method of  claim 8  comprising releasing the security at the end of the defined period. 
   
   
       10 . The method of  claim 8  comprising releasing the security during the defined period if volatility is less than the threshold. 
   
   
       11 . The method of  claim 4  wherein the variance in the price quotations of the security prior to the release of the security is calculated at discrete intervals until the variance is less than the threshold. 
   
   
       12 . The method of  claim 1  further comprising:
 releasing the security if the detected volatility is below the threshold.   
   
   
       13 . A computer program product embodied on a readable medium for releasing securities for trading the computer program product comprising instructions for
 causing a computer system to:
 determine volatility in prices of quotations for a security before the security is released for trading; and 
 release the security for trading when the determined volatility is below a threshold. 
   
   
   
       14 . The computer program product of  claim 13  wherein the computer program product comprises instructions to:
 delay the release of the security if the detected volatility in the security's price quotations exceeds the threshold.   
   
   
       15 . The computer program product of  claim 13  wherein the computer program product comprise instructions to:
 calculate the volatility as a variance in the prices of quotations for the security.   
   
   
       16 . The computer program product of  claim 15  wherein the variance is measured as a percentage value. 
   
   
       17 . The computer program product of  claim 15  wherein the variance is measured in absolute terms. 
   
   
       18 . The computer program product of  claim 14  wherein the computer program product comprises instructions to: extend the time for volatility detection if the detected volatility exceeds the threshold. 
   
   
       19 . The computer program product of  claim 14  wherein the computer program product comprises instructions to: detect volatility over a defined period. 
   
   
       20 . The computer program product of  claim 19  wherein the computer program product comprises instructions to:
 release the security at the end of the defined period.   
   
   
       21 . The computer program product of  claim 19  wherein the computer program product comprises instructions to release the security during the defined period if volatility is less than the threshold. 
   
   
       22 . The computer program product of  claim 15  wherein the variance in the price quotations of the security prior to the release of the security is calculated at discrete intervals until the variance is less than the threshold. 
   
   
       23 . The computer program product of  claim 13  wherein the computer program product comprises instructions to release the security if the detected volatility is below the threshold. 
   
   
       23 . The computer program product of  claim 13  wherein the computer program product comprises instructions to detect volatility in prices of quotations for an initial public offering issue before the issue is released for trading. 
   
   
       25 . An apparatus comprising:
 a computing device that is configured to   determine volatility in prices of quotations for a security before the security is released for trading; and   release the security for trading when the determined volatility is below a threshold.   
   
   
       26 . The apparatus of  claim 25  further comprising the computing device facilitating a delay in the release of the security if the detected volatility in the security's price quotations exceeds the threshold. 
   
   
       27 . The apparatus of  claim 25  in which the computing device detects volatility in prices of quotations for an initial public offering issue before the issue is released for trading. 
   
   
       28 . The apparatus of  claim 25  in which the computing device calculates volatility as a variance in the prices of quotations for the security. 
   
   
       29 . The apparatus of  claim 28  in which the computing device calculates the variance as a percentage value. 
   
   
       30 . The apparatus of  claim 28  in which the computing device calculates the variance in absolute terms. 
   
   
       31 . The apparatus of  claim 26  in which the computing device extends the time for volatility detection if the detected volatility exceeds the threshold. 
   
   
       32 . The apparatus of  claim 26  in which the computing device detects volatility over a defined period. 
   
   
       33 . The apparatus of  claim 32  in which the computing device releases the security at the end of the defined period. 
   
   
       34 . The apparatus of  claim 32  in which the computing device releases the security during the defined period if volatility is less than the threshold. 
   
   
       35 . The apparatus of  claim 28  in which the computing device calculates the variance in the price quotations of the security prior to the release of the security at discrete intervals until the variance is less than the threshold. 
   
   
       36 . The apparatus of  claim 25  in which the computing device releases the security if the detected volatility is below the threshold.