US Patent Issued to JPMORGAN CHASE BANK on March 24 for "Method and system for covariance matrix estimation" (British, Chinese, American Inventors)

ALEXANDRIA, Va., March 24 -- United States Patent no. 12,586,131, issued on March 24, was assigned to JPMORGAN CHASE BANK N.A. (New York).

"Method and system for covariance matrix estimation" was invented by Jessica Lam (Piedmont, Calif.), Chak Kei Jack Wong (Hong Kong, Hong Kong) and Yirui Liu (London).

According to the abstract* released by the U.S. Patent & Trademark Office: "A method for estimating a covariance with respect to a plurality of bonds is provided. The method includes: receiving historical bond market returns data; using a first algorithm based on an Auto-Regressive-Moving-Average (ARMA) model to calculate ARMA model regression errors based on the historical bond market data; using a second algorithm based on a logarithmic...