Systems and methods for generating enhanced data metrics
A system and method for isolating electronic data and generating enhanced data. A data subscription unit receives data having plural data formats from data source devices. The data may be received pre-filtered or filtered by the data subscription unit. A modeling unit may receive the filtered data from the storage databases, may determine eligibility of the stored data based on eligibility criteria, sort the eligible data based on at least one sorting parameter, adjust and/or normalize the eligible data based on at least one adjustment parameter and/or an aggregate value for a data attribute, generate data metrics over a defined set of time periods based on the eligible data, generate further data metrics based on the data metrics, and derive specified values from these metrics. A data distribution device may transmit or make available the data metrics, further data metrics and values to remote devices.
1. A method, the method comprising:
receiving, by one or more servers, electronic data from one or more data source devices over at least one network, the one or more servers comprising a non-transitory memory storing machine-readable instructions executable by one or more processors;
adjusting, by the one or more processors, the electronic data based on one or more adjustment parameters;
executing, by the one or more processors, a curve-fitting methodology on the adjusted electronic data to generate first data metrics over a defined set of time periods;
processing, by the one or more processors, the first data metrics to generate second data metrics;
deriving, by the one or more processors, specified values from one or more of the first data metrics and the second data metrics;
storing, by one or more databases, one or more of the first data metrics, the second data metrics, and the specified values; and
transmitting, by a data distribution device comprising at least one data distribution interface, one or more of the first data metrics, the second data metrics, and the specified values to one or more remote devices.
2. The method of claim 1 , further comprising:
receiving, by the one or more remote devices, one or more of the first data metrics, the second data metrics, and the specified values from the data distribution device; and
displaying, via a user display interface of the one or more remote devices, one or more of the first data metrics and the second data metrics simultaneously on a single graphical display.
3. The method of claim 2 , further comprising;
receiving, via a user information interface of the one or more remote devices, user input data;
generating, via one or more processors of the one or more remote devices, supplementary projected data based on one or more of the first data metrics, the second data metrics, and the specified values responsive to the user input data; and
displaying, via the user display interface of the one or more remote devices, the supplementary projected data.
4. The method of claim 1 , wherein the electronic data comprises a plurality of data formats, the method further comprising:
determining, by the one or more processors, an eligibility of the electronic data based on one or more eligibility criteria;
sorting, by the one or more processors, the eligible data into one or more groups, the sorting based on at least one of a sorting parameter and a minimum aggregate value for at least one attribute of the eligible data; and
adjusting, by the one or more processors, the sorted eligible data based on the one or more adjustment parameters, the sorted eligible data forming the adjusted electronic data.
5. The method of claim 4 , wherein the sorting parameter comprises a time to maturity of the electronic data.
6. The method of claim 4 , further comprising:
receiving, by the one or more processors, the electronic data having the plurality of data formats pre-filtered from the one or more data source devices; and
filtering, by the one or more processors, the electronic data having the plurality of data formats pre-filtered based on one or more filter criteria, the one or more filter criteria comprising at least one of a transaction data and a value date.
7. The method of claim 6 , further comprising:
determining, by the one or more processors, that a minimum number and/or volume of data points of at least a first group of the one or more groups is not met; and
adding, by the one or more processors, additional data to the at least the first group to meet the minimum number and/or volume of data points.
8. The method of claim 7 , further comprising:
applying, by the one or more processors, one or more weights to at least a portion of the data points.
9. The method of claim 4 , wherein the electronic data having a plurality of data formats comprises, at least, wholesale primary market funding transaction data and secondary market bond transaction data, said electronic data being received during one or more particular time periods.
10. The method of claim 9 , further comprising:
assigning, by the one or more processors, the wholesale primary market funding transaction data at least a first weight and assign the secondary market bond transaction data at least a second weight.
11. The method of claim 4 , wherein the one or more eligibility criteria comprises one or more of: transaction type, counterparty type, funding location, maturity range, minimum transaction size, obligation type, maturity range, issuance size, and coupon range, depending on a data type.
12. The method of claim 4 , further comprising:
applying, by the one or more processors, one or more weights to at least a portion of the eligible data.
13. The method of claim 12 , wherein the first data metrics comprise a first bank yield curve and the second data metrics comprise a second bank yield curve, the method further comprising:
generating, by the one or more processors, the first bank yield curve by:
charting the weighted, adjusted and/or sorted eligible data based on annualized yield and days to maturity,
performing a check for outlier data points, and
creating a curve using the curve-fitting methodology comprising one or more of a least squares best fit to a third polynomial order and a robust regression.
14. The method of claim 4 , wherein the first data metrics comprise a first bank yield curve and the second data metrics comprise a second bank yield curve, the method further comprising:
deriving, by the one or more processors, the specified values by extrapolating data points at each period of time represented by the one or more groups from among the first bank yield curve and the second bank yield curve.
15. The method of claim 4 , wherein the one or more groups comprise one or more tenor groups representing, at least, a one month period, a three month period, and a six month period.
16. The method of claim 1 , further comprising:
normalizing, by the one or more processors, the adjusted electronic data responsive to one or more of: a funding issuer representing more than a threshold percentage of funding transactions, a bond issuer representing more than a threshold percentage of bond transactions, changes in market rates, and conversions between different price/yield quotation conventions.
17. The method of claim 1 , further comprising:
performing, by the one or more processors, one or more of surveillance, administration and supervision operations contemporaneously with data collection and calculation, and/or post-publication.