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Method for establishing a stock volatility prediction model

A technique for predicting models and establishing methods, applied in the field of information processing, can solve problems such as inaccurate calculation results and complicated modeling process, and achieve the effects of simple modeling process, accurate calculation results, and quick learning

Inactive Publication Date: 2017-07-14
四川倍发科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

[0006] The purpose of the present invention is to, aiming at the problems existing in the prior art, propose a method for establishing a stock volatility forecasting model applied to risk management beforehand, propose a forecasting calculation model for risk management beforehand, and solve the problem of building volatility in the prior art. The modeling process is complex and the calculation results are inaccurate

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  • Method for establishing a stock volatility prediction model
  • Method for establishing a stock volatility prediction model
  • Method for establishing a stock volatility prediction model

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Embodiment 1

[0035] As a preferred embodiment of the present invention, this embodiment discloses a method for establishing a stock volatility prediction model, comprising the following steps:

[0036] Step 1, read the original data from the database, the original data includes market data and financial statement data related to stocks;

[0037] Step 2, establishing a volatility prediction model;

[0038] Step 3: Using the model established in Step 2 to calculate the volatility of individual stock returns.

[0039] The calculation method of the model in the step 2 is as follows:

[0040] Assume that there are k risk factors in the multi-factor risk model of the rate of return. Then the rate of return ri of stock i is:

[0041] r i =b i1 f 1 +b i2 f 2 +b i3 f 3 +....+b ik f k +∈ i (1)

[0042] where b ij is the exposure of stock i to risk factor j; f j is the rate of return of risk factor j, ∈ i is the stock return of stock i, that is, the part of the return that has nothi...

Embodiment 2

[0103] As a preferred embodiment of the present invention, this embodiment discloses a method for establishing a stock volatility prediction model, comprising the following steps:

[0104] Step 1, read the original data from the database, the original data includes market data and financial statement data related to stocks;

[0105] Step 2, establishing a volatility prediction model;

[0106] Step 3: Using the model established in Step 2 to calculate the volatility of individual stock returns.

[0107] The calculation method of the model in the step 2 is as follows:

[0108] Assume that there are k risk factors in the multi-factor risk model of the rate of return. Then the rate of return ri of stock i is:

[0109] r i =b i1 f 1 +b i2 f 2 +b i3 f 3 +....+b ik f k +∈ i (1)

[0110] where b ij is the exposure of stock i to risk factor j; f j is the rate of return of risk factor j, ∈ i is the stock return of stock i, that is, the part of the return that has nothi...

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Abstract

The invention relates to the technical field of information processing and particularly to a method for establishing a stock volatility prediction model. The method comprises the following steps of: 1, reading original data from a database, the original data including quotation data and financial statement data relating to stock; 2, constructing a risk factor according to the original data; 3, storing the factor constructed in the second step in a factor database; and 4, establishing a volatility prediction model by using the risk factor determined in step three. The method can perform decomposition according to different factors, can not only predict and quantify the risk and improve the stability of the risk prediction, but also decompose an investment risk into different sources so that investors can choose undertaken risks and avoided risks in a more pertinent way.

Description

technical field [0001] The invention relates to the technical field of information processing, in particular to a method for establishing a stock volatility prediction model. Background technique [0002] Volatility is the degree of change in the indicator's return on asset investment, which can be divided into actual volatility and historical volatility. Actual volatility, also known as future volatility, refers to the measurement of the volatility of the return on investment within the validity period of the option. Since the return on investment is a random process, the actual volatility is always an unknown. In other words, the actual volatility cannot be accurately calculated in advance, and people can only obtain its estimated value through various methods. Historical volatility refers to the volatility shown by the return on investment over a period of time in the past, which is reflected by the historical data of the market price of the underlying asset in the past ...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/04G06Q40/04
CPCG06Q10/04G06Q40/04
Inventor 赵天晏奇俸旻任品
Owner 四川倍发科技有限公司
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