Futures margin modeling system having seasonality detection

ChangeBridge: Patent Grants - Business Methods (G06Q)

Published April 7th, 2026

Detected April 7th, 2026

Summary

USPTO granted patent US12597083B2 to Chicago Mercantile Exchange Inc. for a futures margin modeling system that uses wavelet decomposition and rolling statistical methods to detect seasonality patterns in commodity products. The system enables clearinghouse computing devices to generate more accurate margin requirements for portfolios by identifying seasonal trends in historical data.

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What changed

USPTO granted patent US12597083B2 to Chicago Mercantile Exchange Inc. for a computing system that processes data using wavelet techniques and rolling methods to detect seasonality in energy products for collateral and margin modeling purposes. The patent covers a clearinghouse computing device with a processor configured to perform wavelet decomposition and rolling methods on historical records to determine margin requirements for product portfolios.

The patent is relevant to financial institutions involved in futures trading and derivatives clearing, including clearinghouses and exchanges. The innovation allows for more accurate risk assessment and margin calculation by distinguishing seasonal patterns from other price fluctuations, potentially reducing margin calls during predictable seasonal periods. This may benefit clearing members, trading firms, and investors active in commodities futures markets.

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Source document (simplified)

← USPTO Patent Grants

Futures margin modeling system having seasonality detection

Grant US12597083B2 Kind: B2 Apr 07, 2026

Assignee

Chicago Mercantile Exchange Inc.

Inventors

Jennifer Yingying Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang, Xiaowen Xu, Shuo Liu, Sebastiano Rossi

Abstract

A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.