Fund location estimation algorithm based on industry index regression

Abstract

The fund bin is the proportion of funds invested into stock markets to assets that can be used by the funds, and is a reaction of market information. At present, warehouse location information of domestic funds is disclosed by taking seasons as units according to a security guard, and the wind direction of the market cannot be reflected in time. The method is mainly used for everyday estimation ofthe fund storage location. The method comprises the following steps: firstly, dividing stocks into 28 categories according to Shen000 first-level industry classification, and obtaining 28 industry index daily return rates and the daily return rate of a to-be-estimated fund; Establishing a regression equation by taking the industry index daily return rate as an independent variable and taking thedaily return rate of the fund as a dependent variable; Then, based on a lasso regression model, solving a regression coefficient through a coordinate descent method and a minimum regression loss function, wherein the sum of the regression coefficient is the proportion of the stock assets held by the fund to the fund assets, namely the fund location; And finally, comparing the actual bin position and the predicted bin position published in each season, calculating an average error after the maximum error and the minimum error are removed, carrying out model trimming, and improving the accuracyof the model. And a certain investment reference value can be provided for investors according to a result of the fund bin location prediction model.

Description

technical field [0001] The invention relates to the technical field of fund data mining, in particular to a fund position estimation algorithm based on industry index regression. Background technique [0002] Securities investment fund is a kind of benefit-sharing and risk-sharing collective investment method that concentrates investors' funds by selling funds, fund custodians take custody, fund managers manage, and conduct securities investment in the form of investment portfolios. As one of the important institutional investors of A-shares, the position trend of public funds, especially actively managed stock funds, has always been concerned by the market. [0003] The fund position is the ratio of the funds invested by the fund in the stock market to the assets that the fund can use. It is a response to market information. Its changes represent the views of important institutional investors in the market on the future market, and can be used as a basis for other investors...

AI Technical Summary

Problems solved by technology

[0004] At present, the position information of domestic funds is disclosed on a quarterly basis by the China Securities Regulatory Commission, which cannot reflect market trends in a timely manner and cannot be used as a continuous market expectation indicator. Therefore, it can be predicted by establishing a fund position estimation model

[0005] The traditional fund position estimation method establishes a simple regression model by using the change of the net value of the fund and the change of the average return of the fund, and the error is large

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