[Back to Intro]

PATENT APPLICATIONS

Like the papers and books, patentable discoveries are a by-product of my research work.

INVENTORS REGISTER TITLE ABSTRACT
Lange, Jeffrey;
Lopez de Prado, Marcos; Towriss, Daniel; Walter, Mark

Filed: 09/29/2016
US Application. No. 62/401,678

Systems and Methods for the Hierarchical Construction of Investment Portfolios

HRP portfolios address three major concerns of quadratic optimizers in general and Markowitz's CLA in particular: Instability, concentration and opacity. Most notably, Monte Carlo experiments show that HRP portfolios deliver lower variance than CLA's out-of-sample, even though minimum-variance is CLA's objective function.

Alipour Khayer, Elham; Zarib Afiyan, Arman; Rounds, Maxwell;
Lopez de Prado, Marcos

Filed: 05/09/2016
US Application. No. 62/333,484

Method and system for determining a weight allocation in a group comprising a plurality of items

A Quantum Computer is used to cluster a covariance matrix. The output is then used to build a robust diversified portolio.

Lange, Jeffrey;
Lopez de Prado, Marcos

Filed: 12/29/2015
US Application. No. 15/391,764

Hierarchical Capital Allocation

We introduce a machine learning algorithm for the allocation of capital based on the hierarchical structure of the investment universe.

Lange, Jeffrey;
Lopez de Prado, Marcos

Filed: 03/27/2015
International Application No. PCT/US2015/023198 and US Application. No. 14/672,028

Systems and Methods for Crowdsourcing of Algorithmic Forecasting

We introduce new computational technologies that generate systematic investment portfolios based on forecasts contributed by a wide research collaboration network.

Lopez de Prado, Marcos;
O'Hara, Maureen;
Easley, David

Filed: 10/14/2011
Serial #: 273958
Series code: 13

Systems and methods for calculating an informed trading metric and applications thereof

Systems and computerized methods for calculating and using an informed trading metric are disclosed. The process of calculating the informed trading metric, executed by a processor, includes analyzing sets of trades of the security. The processor determines a magnitude of a difference between a volume of buy transactions and the volume of sell transactions in the plurality of trades. The processor then derives the informed trading metric based on the ratio of the determined difference magnitude to the total volume of analyzed trades. The derived informed trading metric may be employed by various systems to, among other things, hedge against market volatility, control securities exchange behavior, evaluate trader performance, and control the timing of trade execution by a broker dealer.

Lopez de Prado, Marcos;
O'Hara, Maureen;
Easley, David
Filed: 10/14/2011
Serial #: 274079
Series code: 13
Systems and methods for trading informed trading metric-based derivative contracts

A system and related method for hedging risks associated with a market level of informed trading are disclosed. The system includes a network interface for receiving a data feed that includes informed trading metric data. The system also has a server for electronically publishing the informed trading metric data. A second network interface receives requests to purchase informed trading metric-based derivative contracts at a first price and offers to sell informed trading metric-based derivative contracts at a second price. A matching server matches the received requests with the received offers. A settlement processor settles the derivative contracts based on informed trading metric data received by the network interface.

Lopez de Prado, Marcos;
O'Hara, Maureen;
Easley, David
Filed: 10/14/2011
Serial #: 274090
Series code: 13
Systems and methods for controlling electronic exchange behavior based on an informed trading metric

A computerized exchange system and a method of operating a computerized exchange system are disclosed. The exchange system variably favors execution of buy trades or sell trades based on the value of an informed trading metric, thereby attempting to forestall predatory increases in order toxicity. The system includes a first network interface for receiving a plurality of securities trades, including a plurality of buy transactions and a plurality of sale transactions. A matching processor matches the securities trades to market makers. The matching processor is configured to obtain a value of the informed trading metric and to determine a buy transaction bias or a sell transaction bias based on the value of the informed trading metric. The matching processor then matches trades to market makers favoring buy transactions or sell transactions based on the determined bias. A settlement processor then settles the matched trades.