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Stock or stock investment portfolio volatility prediction method and device

A volatility and stock technology, applied in the field of information processing, can solve problems such as long calculation time and inaccuracy, and achieve the effect of reducing calculation time and high calculation accuracy

Active Publication Date: 2013-12-18
深圳希施玛数据科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0009] The embodiment of the present invention provides a method and device for predicting the volatility of a stock or a stock portfolio, aiming to solve the problem that the prior art calculates the volatility of the portfolio within a given start and end time, the calculation time is too long, and the exact question

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  • Stock or stock investment portfolio volatility prediction method and device
  • Stock or stock investment portfolio volatility prediction method and device
  • Stock or stock investment portfolio volatility prediction method and device

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Experimental program
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Effect test

Embodiment 1

[0028] figure 1 It shows the implementation process of the method for predicting the volatility of stocks or stock portfolios provided by Embodiment 1 of the present invention, and is described in detail as follows:

[0029] In step S101, the stock codes in the investment portfolio, the weights corresponding to the stock codes in the investment portfolio, and the start and end times are received.

[0030] In this embodiment, when an investor constructs an investment portfolio, the stock code of each stock in the investment portfolio to be constructed can be input to the forecasting device of the stock or stock portfolio volatility through input devices such as a keyboard or a touch screen. The weight corresponding to the stock code, and the start and end time of the volatility that needs to be predicted. The investment portfolio may include one stock or multiple stocks, which is not limited in this embodiment.

[0031] In step S102, read from the risk control model database ...

Embodiment 2

[0047] figure 2 It shows the implementation flow of the calculation of the value of the risk control parameter provided by the second embodiment of the present invention, which is described in detail as follows:

[0048] In step S201, basic data is read, and the basic data includes daily stock trading data, financial data, and data predicted by analysts.

[0049] In this embodiment, the basic data includes daily stock trading data, financial data and analyst forecast data. When reading the basic data, the basic data can be directly read from the basic database.

[0050] In order to improve the efficiency of data extraction, when the basic data is read for the first time in this embodiment, the basic data is directly read from the basic database, and then the read basic data is stored in a local cache file; When reading the basic data, the local cache method is used to read the basic data from the locally cached files. This can reduce the data interaction between the stock ...

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Abstract

The invention belongs to the technical field of information processing, and provides a stock or stock investment portfolio volatility prediction method and device. The stock or stock investment portfolio volatility prediction method comprises the steps of receiving stock codes in an input investment portfolio, and weight, beginning time, and ending time corresponding to the stock codes in the investment portfolio, reading values of risk control parameters, obtained in advance according to calculation of basic data yesterday, from a risk control model data base, and obtaining the volatility of the investment portfolio within the beginning and ending time through calculation according to the stock codes, and the weight, the beginning time and the ending time corresponding to the stock codes, stock risk factors, a covariance matrix of factor return and the value of the residual volatility, wherein the risk control parameters comprise the stock risk factors, the factor return of the stock risk factors, the covariance matrix of the factor return and the residual volatility, and the residual volatility is the volatility of the part, cannot be explained by the stock risk factors, of the return. By means of the stock or stock investment portfolio volatility prediction method and device, the time for calculating the volatility is greatly reduced and the calculation accuracy is higher.

Description

technical field [0001] The invention belongs to the technical field of information processing, and in particular relates to a method and a device for predicting volatility of stocks or stock investment portfolios. Background technique [0002] In 1994, JP Morgan proposed a way to calculate the covariance matrix between stocks based on historical data, called the RiskMetrics method. [0003] The process of calculating the inter-stock covariance matrix using this method is: [0004] Suppose the historical return of m stocks is y 1 ,y 2 ,...y n , where y i It represents the rate of return between m stocks at time i (y i is an m×1 column vector). [0005] Σ ^ λ = ( 1 - λ ) Σ i = 1 n λ i ...

Claims

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Application Information

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IPC IPC(8): G06Q40/04
Inventor 林健武
Owner 深圳希施玛数据科技有限公司
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