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Methods and systems for analyzing and predicting market winners and losers
Inventors: Murali Ramaswami, James J. Hosker
Assignee: Lehman Brothers Inc (LEH)

The present invention relates to a tool for selecting winners and losers based on their market position using a volume/turnover filter. Using the present tool, investors may predict when to hold some stocks long and others short over various time periods, thereby maximizing the profitability of a portfolio.

What is claimed is:

1. A computerized method comprising the steps of:

electronically receiving and storing data regarding performance over a selected consecutive number of quarters of all securities in a selected group of securities;
dividing said group of securities into subgroups based on net price performance over said time period, so that a first subgroup comprises securities with net price performance over said time period greater than or equal to securities in all other subgroups of said group, and a second subgroup comprises securities with net price performance over said time period less than or equal to securities in all other subgroups of said group; and
applying a volume turnover filter to said first subgroup and said second subgroup, wherein said volume turnover filter is operable to calculate an inter-quarter change in average turnover for each consecutive pair of quarters in said selected consecutive number of quarters for each security in said first and second subgroups, and further operable to sum, for each security in said first and second subgroups, said inter-quarter changes.

2. A computerized method as in claim 1, further comprising the step of designating a security in said first subgroup as a low volume winner if summing said inter-quarter changes for said security results in a negative value.

3. A computerized method as in claim 1, further comprising the step of designating a security in said second subgroup as a high volume loser if summing said inter-quarter changes for said security results in a positive value.

4. A computerized method as in claim 2, further comprising investing long in said low volume winner.

5. A computerized method as in claim 3, further comprising investing short in said high volume loser.

Source: Lehman Patents Market Prediction Methods