Search space minimization for computerized time-series data forecasting system

Abstract

A system includes a processor and a memory with instructions. The instructions include, in response to receiving a zoned graph request, determining a current breakeven point on a current date based on a strike price of an option. The instructions include estimating a future strike price of the option based on an expiration date of the option, determining a future breakeven point on the expiration date of the option based on the estimated future strike price, and determining a range as a current price corresponding to the current breakeven point to a future price corresponding to the future breakeven point. The instructions include, for each time between the current date and the expiration date, determining a middle breakeven point at the corresponding time based on the range and generating a zoned graph including the current breakeven point, the future breakeven point, and each middle breakeven point at the corresponding times.

What is claimed is: 
     
         1 . A system comprising:
 at least one processor, and   a memory coupled to the at least one processor,   wherein the memory stores:
 instructions for execution by the at least one processor and 
   wherein the instructions include, in response to receiving user input for a zoned graph request including an option identifier from a user device:
 determining a current breakeven point on a current date based on a strike price of an option corresponding to the option identifier; 
 estimating a future strike price of the option corresponding to the option identifier based on an expiration date of the option; 
 determining a future breakeven point on the expiration date of the option based on the estimated future strike price; 
 determining a range as a current price corresponding to the current breakeven point to a future price corresponding to the future breakeven point; 
 for each time of a set of times between the current date and the expiration date, determining a middle breakeven point at the corresponding time based on the range; and 
 generating a zoned graph including the current breakeven point, the future breakeven point, and each middle breakeven point at the corresponding times. 
   
     
     
         2 . The system of  claim 1  wherein the instructions include:
 selecting a price equal to one price interval above the current price corresponding to the current breakeven point; 
 determining a breakdown value of the selected price as a projected price of the option at the selected price less a cost associated with the option; and 
 shading an upper portion of the zoned graph as a profit when the breakdown value is above zero. 
 
     
     
         3 . The system of  claim 2  wherein the instructions include:
 shading the upper portion of the zoned graph as a loss when the breakdown value is below zero. 
 
     
     
         4 . The system of  claim 1  wherein determining the current breakeven point on the current date based on the strike price of the option corresponding to the option identifier includes:
 determining a first projected value of the option at a price higher than the strike price, 
 calculating a difference between the first projected value and a cost associated with the option, and 
 when the difference is greater than zero, performing a point finding algorithm between the strike price and the price higher than the strike price to identify the current breakeven point. 
 
     
     
         5 . The system of  claim 1  wherein determining the current breakeven point on the current date based on the strike price of the option corresponding to the option identifier includes:
 determining a first projected value of the option at a price lower than the strike price, 
 calculating a difference between the first projected value and a cost associated with the option, and 
 when the difference is less than zero, performing a point finding algorithm between the strike price and the price lower than the strike price to identify the current breakeven point. 
 
     
     
         6 . The system of  claim 1  wherein, for each time of the set of times between the current date and the expiration date, determining the middle breakeven point at the corresponding time based on the range includes:
 after determining the middle breakeven point, reducing the range to a middle price associated with the middle breakeven point and the future price. 
 
     
     
         7 . The system of  claim 1  wherein each breakeven point includes a corresponding price and a corresponding time. 
     
     
         8 . The system of  claim 1  wherein:
 the memory stores a stock and option parameter database including a plurality of options and each option of the plurality of options includes a corresponding stock symbol, a value, and an expiration date. 
 
     
     
         9 . The system of  claim 8  wherein:
 the instructions include obtaining, from the stock and option parameter database, data corresponding to the option to determine breakeven points. 
 
     
     
         10 . The system of  claim 1  wherein determining each breakeven point includes:
 calculating a projected value of the option using a Black-Scholes pricing model, and 
 identifying teach breakeven point as between the strike price and a second price using a Newton-Raphson point finding algorithm, wherein the second price is identified using the calculated projected value.