Method and system for analysis, display and dissemination of financial information using resampled statistical methods

Abstract

The present invention provides a method and system for the statistical analysis, display and dissemination of financial data over an information network such as the Internet and WWW. The present invention utilizes resampled statistical methods for the analysis of financial data. Resampled statistical analysis provides a meaningful and reasonable statistical description of financial information, which typically escapes modeling using parametric methods (i.e., assumptions of a Gaussian distribution). The present invention provides at least a GUI that provides functionality for user input of statistical queries, a statistical computation engine that performs statistical analysis of financial data and a graphical rendering engine that generates graphical display of statistical distributions generated by the statistical computation engine. According to one embodiment, the present invention employs a parallel processing architecture to speed generation of the resampled statistics.

1 . A method for providing statistical analysis of investment data over an information network, comprising the steps of:
 (a) storing investment data pertaining to at least one investment;   (b) receiving a statistical analysis request corresponding to a selected investment;   (c) receiving a bias parameter, wherein the bias parameter is adjustable to select a degree of randomness in a resampling process;   (d) based upon investment data pertaining to the selected investment, performing a resampled statistical analysis to generate a resampled distribution;   (e) further including the steps of generating a plot based upon the resampled distribution;   (f) wherein the step of performing a resampled statistical analysis further includes the steps of:
 (1) selecting a sample space; 
 (2) generating at least one bootstrap sample from the sample space; 
 (3) for each bootstrap sample, generating a corresponding bootstrap replication; 
   (g) further including the steps of
 (1) before step (b), calculating at least one of an autocorrelation function and a partial autocorrelation function of the sample space for each of at least one lag parameter (a); and 
 (2) determining a minimum lag parameter, N, wherein the minimum lag parameter N minimizes an autocorrelation function of the sample space. 
   
     
     
         2 . The method according to  claim 1 , wherein the step of generating at least one bootstrap sample, further includes the steps of:
 (a) randomly selecting a starting point in the sample space;   (b) selecting a set of N consecutive data points from the sample space; and,   (c) repeating steps (a)-(b) until at least Q data points have been selected, wherein Q is a number of periods.   
     
     
         3 . The method according to  claim 2 , wherein the bias parameter is used to control a degree of randomness in selecting the set of Q data points. 
     
     
         4 . A system for providing statistical analysis of investment information over an information network comprising:
 a financial data database for storing investment data pertaining to two or more investments;   a front end subsystem for receiving a single statistical analysis request corresponding to two or more selected investments;   a parallel processor, wherein the parallel processor includes:   at least one processor for performing resampled statistical analysis based upon the single statistical analysis request.   
     
     
         5 . The system according to  claim 4 , wherein the front end subsystem includes a Web server. 
     
     
         6 . The system according to  claim 4 , wherein each of the at last one processor performs a resampled statistical analysis of a financial investment in parallel using financial data stored in a shared memory area. 
     
     
         7 . A method for calculating, analyzing and displaying investment data comprising the steps of:
 (a) selecting a sample space, wherein the sample space includes at least one investment data sample and at least a first investment data value associated with a first investment and a second investment data value associated with a second investment specified by a user;   (b) generating a distribution function using a re-sampled statistical method, samples drawn from the selected sample space, a temporal data object corresponding to both the first and second investment data values, and a bias parameter specified by the user, wherein the bias parameter is adjustable to select a degree of randomness in the drawing of samples from the selected sample space in a resampling process; and   (c) generating a plot of the distribution function.   
     
     
         8 . The method according to  claim 7 , wherein the re-sampled statistical method is a bootstrap method. 
     
     
         9 . The method according to  claim 8  wherein step (b) includes the steps of:
 (a) generating at least one bootstrap sample from the sample space; and 
 (b) for each bootstrap sample, generating a corresponding bootstrap replication. 
 
     
     
         10 . The method according to  claim 9  wherein the step of generating at least one bootstrap sample, further includes the steps of randomly selecting a set of Q data points from the sample space, wherein Q is a number of periods. 
     
     
         11 . The method according to  claim 10  wherein the step of generating a bootstrap replication, further includes the step of taking a predetermined function of a bootstrap sample. 
     
     
         12 . The method according to  claim 7 , where in the re-sampled statistical method is a cross-validation method. 
     
     
         13 . The method according to  claim 11 , wherein the predetermined function is one of a gross rate of return function, a maximum drawdown function and a monitor function.