System and method for automated stock market operation

Details System and method for automated stock market operation System and method for automated stock market operation

G - Physics

06

Q

G06Q 40/04 (2012.01)

Patent

CA 2605662

There is disclosed a system and method for automated stock market investment. In an embodiment, the method comprises: i) inputting M previous time period values for the stock into a M-order finite impulse response (FIR) filter, the M-order finite impulse filter having a filter order M, a least mean square (LMS) prediction algorithm with step-size mu, and M adjustable filter coefficients; ii) obtaining an output from the M-order FIR filter, the output from the M-order FIR filter being the predicted next time period value for the stock; iii) comparing the predicted next time period value for the stock with an actual next time period value for the stock to calculate a prediction error; iv) inputting the calculated prediction error into an adaptive algorithm to obtain an adjustment for the at least one adjustable filter coefficient; and v) applying the adjustment for the at least one adjustable filter coefficient and repeating all steps until halted. In an embodiment, the method may further comprise, prior to step i), obtaining a sample of N previous days values for a stock and utilizing the sample of N previous days values to obtain the filter order M and the least mean square (LMS) step-size.

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