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Warrant-based hedge algorithm for controlling systematic risks

A systematic and analytical system technology, applied in the field of information analysis and control systems, can solve problems such as lack of perfect technical solutions, and achieve the effect of avoiding risks

Inactive Publication Date: 2011-11-09
SHANGHAI WUHUAGUO INFORMATION TECH
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  • Abstract
  • Description
  • Claims
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Problems solved by technology

[0006] In order to implement the above-mentioned hedging strategy, investors need to dynamically calculate the financial attributes of the warrants, and ensure the use of warrants for market-neutral trading algorithms, so as to obtain stable and safe returns, but there is no perfect technical solution yet

Method used

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  • Warrant-based hedge algorithm for controlling systematic risks
  • Warrant-based hedge algorithm for controlling systematic risks
  • Warrant-based hedge algorithm for controlling systematic risks

Examples

Experimental program
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Embodiment Construction

[0015] figure 1 An analysis system module diagram showing a control method of a real-time hedging and arbitrage analysis system based on derivative warrants according to the first embodiment of the present invention.

[0016] Specifically, in the analysis system module shown in the figure figure 1 It includes a source data processing module 11 , a derivative product attribute calculation module 12 , a systematic product dynamic tracking module 13 and a hedging strategy calculation module 14 . Wherein, the source data processing module 11 is used to obtain relevant transaction data, the derivative product attribute calculation module 12 is used to calculate the current transaction parameters of the transaction object according to the transaction data, and the systemic product dynamic tracking module 13 is used to The hedging strategy calculation module 14 is used to calculate and provide the current optimal hedging strategy information based on the transaction data, transactio...

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Abstract

The invention provides a derivative warrant-based real-time hedge and arbitrage analyzing system, which is characterized by comprising a source data processing module for acquiring relative transaction data, a derivative product attribute computation module for computing current transaction parameters of a transaction subject matter according to the transaction data, a dynamic systematic product tracking module for acquiring the current fluctuation information of systematic products of the transaction subject matter in real time and a hedge strategy computation module for computing and providing the current optimal hedge strategy information according to the transaction data, the transaction parameters and the fluctuation information. Moreover, the invention further provides a hedge monitoring module which is used for computing variances of various arbitrage attributes of investment portfolios held by a current account in real time and providing risk pre-warning information and the like. The invention aims to provide customers with an analyzing system for analyzing arbitrages of derivative products among fluctuations of different systematic risks in the securities market and with auxiliary functions of capturing and transaction.

Description

technical field [0001] The present invention relates to an information analysis control system, in particular to a financial derivative product analysis control system, in particular to a control device for a real-time hedging and arbitrage analysis system based on derivative warrants. Background technique [0002] With the continuous development and innovation of the global financial market, various financial derivative products have gradually emerged. There are various trading strategies for derivatives in the market. Warrants are an effective tool for traders to hedge systematic risks in changing markets, thereby protecting investment safety and obtaining stable returns. The smiling curve of warrants targeted by this algorithm is based on a market-neutral strategy. When traders use at-the-money reverse warrants for neutral hedging, they first achieve a market-neutral hedging effect. When the underlying object moves significantly, due to the acceleration of the gamma cha...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/00
Inventor 余仕俊郑靓
Owner SHANGHAI WUHUAGUO INFORMATION TECH
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