Method and system for measuring scene awareness for financial high-frequency transaction data

A high-frequency trading and situational awareness technology, applied in the information field, can solve problems such as no feedback mechanism, large calculation result errors, and low prediction accuracy, so as to achieve the effect of avoiding risks and accurate calculation results

Active Publication Date: 2013-11-27
FUDAN UNIV
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Problems solved by technology

[0003] 1. Financial high-frequency data are often difficult to meet the requirements of better statistical testing, the calculation results have large errors, and the prediction accuracy is not high;
[0004] 2. It is difficult to

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  • Method and system for measuring scene awareness for financial high-frequency transaction data
  • Method and system for measuring scene awareness for financial high-frequency transaction data
  • Method and system for measuring scene awareness for financial high-frequency transaction data

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Embodiment Construction

[0029] Various implementations of the present invention will be further described in detail below with reference to the accompanying drawings.

[0030] figure 1 Shows the overall architecture diagram of the present invention. in:

[0031] Step 1: Create a table space named "HFT" in the Oracle10G database, and create a new database named "HFT_Database". Import financial high-frequency trading data files (Txt or Excel format) and financial high-frequency trading data files (Txt or Excel format) into the "HFT_Database" database module; then call the data sorting function DataProcess to remove duplicate data; then call the classification function DataClassify inserts the data into the tables tableFlag1, tableFlag2, tableFlag3 and tableFlag4 corresponding to the database based on the batch transaction data and time-sharing transaction data (5-minute time-sharing transaction data, 15-minute time-sharing transaction data and 30-minute time-sharing transaction data), See Appendix 1...

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Abstract

The invention belongs to the field of information technologies, and particularly discloses a method and a system for measuring scene awareness for financial high-frequency transaction data. The method includes steps of 1, creating a financial high-frequency transaction database; 2, creating a scene association rule base; 3, computing the scene awareness; 4, feeding results and updating rules. The system comprises four corresponding modules. By the aid of the method and the system, influence of scene impact generated by macro-economic environments, natural environments and financial policy events on high-frequency transaction is computed from a scene awareness angle, so that financial high-frequency transaction operational decision reference is provided for a user, and purposes of avoiding risks and effectively gaining profits are achieved. The method and the system have the advantages that dynamic effects which are generated for the financial high-frequency transaction by the macro-economic environments, the natural environments and the financial policy events are comprehensively considered, so that the user can make a judgment on investment advantageously; the system is provided with a feedback mechanism, the scene association rule base can be continuously improved, and accordingly the computed results are accurate.

Description

technical field [0001] The invention belongs to the field of information technology, and in particular relates to context-aware computing technology, in particular to a context-aware measurement method and system for financial high-frequency transaction data. Background technique [0002] In the financial and economic market, more and more scholars have begun to pay attention to the research of high-frequency financial transaction data, dig deep into the hidden characteristics of high-frequency financial data to discover the microeconomic laws of the financial market, and provide investors with investment prediction decisions refer to. At present, many researchers study high-frequency trading data from the perspective of statistical econometric analysis, explore its statistical characteristics and laws from the external performance of the data, and conduct modeling and analysis. However, high-frequency financial data are largely disturbed by microstructure noise and have dy...

Claims

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Application Information

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IPC IPC(8): G06F17/30G06Q40/04
Inventor 戴伟辉戴永辉赵碧荣李宏飞沈家徐东溶万熙琼胡虹智胡璇
Owner FUDAN UNIV
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