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Quantitative trading method and system for financial derivatives

A technology of financial derivatives and trading methods, applied in the field of quantitative trading methods and quantitative trading systems of financial derivatives, can solve the problems that do not involve the tracking of market ups and downs, adverse effects on trading performance, and the inability to provide personalized trading advice information, etc.

Inactive Publication Date: 2012-02-01
曾祥洪
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  • Abstract
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AI Technical Summary

Problems solved by technology

[0002] The potential risks and hidden risks of financial derivatives transactions such as foreign exchange, securities, stock indexes, and futures are not revealed in actual transactions. The irrational trading behavior of investors is often randomly strengthened in transactions, and has a negative impact on transaction performance. cause adverse effects
[0003] Traditional trading analysis methods can only provide investors with buying or selling signals or estimate a range of ups and downs based on general market parameters, but cannot provide personalized trading advice information for investors' personalized analysis, so investors Irrational factors in the trading process (for example, personal trading habits, personal risk judgment, etc.) will become important factors affecting trading losses
[0004] Traditional technical analysis can only prompt investors to buy or sell signals or estimate a range of ups and downs, and does not involve tracking the ups and downs of the market after buying or selling

Method used

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  • Quantitative trading method and system for financial derivatives
  • Quantitative trading method and system for financial derivatives
  • Quantitative trading method and system for financial derivatives

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Embodiment Construction

[0037] The technical solutions of the various embodiments of the present invention will be clearly and completely described below in conjunction with the accompanying drawings. Apparently, the described embodiments are only some of the embodiments of the present invention, not all of them. Based on the embodiments of the present invention, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the protection scope of the present invention.

[0038] According to one aspect of the present invention, a quantitative trading method for financial derivatives is provided, comprising the following steps:

[0039] Based on the value-at-risk VAR model, and according to the risk standard deviation, confidence value, and risk holding time of investors' historical transactions, calculate the transaction risk value VAR within the predetermined probability range corresponding to the confidence value m , VAR m =W 0 ασk t , where W ...

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Abstract

The invention mainly relates to the field of trading of financial derivatives, in particular to a quantitative trading method and system for financial derivatives, wherein the method and system can provide the trading auxiliary information to investors in real time for the investors to determine the trading strategy. The quantitative trading method for financial derivatives is based on a VAR (value at risk) model and calculates the VAR value VARm within the pre-determined probability range according to the risk standard deviation, confidence value and risk position time of the historical trades of the investors, wherein VARm=W0 alpha sigma kt, W0 is initial fund, alpha is normal distribution Z value corresponding to the confidence value, sigma is risk standard deviation, and kt is risk position time parameter; and the trading strategy is determined according to the trading VARm, the accuracy rate of the historical trade of investors, the risk rate of return and the maximum risk bearable to investors.

Description

technical field [0001] The invention relates to the field of financial derivatives trading, in particular to a quantitative trading method and a quantitative trading system for financial derivatives. Background technique [0002] The potential risks and hidden risks of financial derivatives transactions such as foreign exchange, securities, stock indexes, and futures are not revealed in actual transactions. The irrational trading behavior of investors is often randomly strengthened in transactions, and has a negative impact on transaction performance. cause adverse effects. [0003] Traditional trading analysis methods can only provide investors with buying or selling signals or estimate a range of ups and downs based on general market parameters, but cannot provide personalized trading advice information for investors' personalized analysis, so investors Irrational factors in the trading process (for example, personal trading habits, personal risk judgment, etc.) will beco...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/00
Inventor 曾祥洪
Owner 曾祥洪
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