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REAL-TIME AND COMPUTATIONALLY EFFICENT PREDICTION OF VALUES FOR A QUOTE VARIABLE IN A PRICING APPLICATION

机译:定价应用中变量报价的实时和有效预测

摘要

The present disclosure describes a system, method, and computer program for real-time and computationally efficient calculation of a recommended value range for a quote variable, such as price, discount, volume, or closing time. The system uses the highest-density interval (HDI) of probability density function (PDF) as a recommended or suggested value range for a quote variable. PDFs for the quote variable are precomputed for groups of related inputs, and each PDF is summarized as an array of discrete points. A dimension reduction technique is applied to the PDF inputs in both the training and real-time (non-training) phases to reduce the number of possible combinations of PDFs. During a quote-creation process, a PDF look-up table enables the system to efficiently identify an applicable PDF from the group of precomputed PDFs based on reduced input values.
机译:本公开描述了用于报价变量(例如价格,折扣,交易量或成交时间)的推荐值范围的实时和计算有效计算的系统,方法和计算机程序。系统使用概率密度函数(PDF)的最高密度间隔(HDI)作为报价变量的建议或建议值范围。引用变量的PDF为相关输入组进行了预先计算,每个PDF被汇总为离散点的数组。在训练和实时(非训练)阶段将降维技术应用于PDF输入,以减少PDF可能组合的数量。在创建报价的过程中,PDF查找表使系统能够基于减少的输入值从一组预先计算的PDF中有效地标识适用的PDF。

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