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Method and system for calculating segmental distribution characteristics of financial time series

A technology of financial time series and calculation method, applied in the field of computer data processing, can solve the problem of difficulty in extracting the characteristics of segmental distribution of financial time series data, and achieve the realization of programmed transaction algorithm, excellent recognition performance, and good data consistency. Effect

Active Publication Date: 2018-01-05
上海卡方信息科技有限公司
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Problems solved by technology

[0006] The technical problem to be solved by the present invention is to propose a calculation method for the segmental distribution feature of financial time series data in view of the current situation that it is difficult to extract segmental distribution features of financial time series data

Method used

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  • Method and system for calculating segmental distribution characteristics of financial time series
  • Method and system for calculating segmental distribution characteristics of financial time series
  • Method and system for calculating segmental distribution characteristics of financial time series

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Embodiment 1

[0051] first reference Figure 7 Shown, method flow process of the present invention is as follows:

[0052] Perform differential processing on the acquired financial transaction data according to the price-time series, remove the DC component in the data, and obtain the differential sequence;

[0053] Continuously segment the difference sequence in time order to obtain several binary vectors;

[0054] Carry out statistics on the distribution characteristics of continuous segments, screen out different types of segments, and count the number of occurrences of the same segment; then sort the segments of different types to form a segment feature matrix, where: the number of each row in the matrix The row vector formed from the first column to the second column represents each segment, and the third column represents the number of occurrences of the corresponding segment; the fourth column to the last column are segment feature vectors;

[0055] According to the segmented featu...

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Abstract

The invention discloses a method for calculating segmental distribution characteristics of financial time series. The method is based on the TICK data of the transaction price, adopts the data preprocessing method of differential DC, constructs a new segmented sequence data structure, continuously segments the differential sequence, and counts the prior probability distribution of the segmented sequence to realize financial Transaction data trend distribution calculation. The present invention also provides a financial time series segmentation distribution feature calculation system. Compared with other financial time series feature extraction algorithms, the present invention has a more concise data processing structure, better recognition performance and good data consistency; at the same time , the sequence distribution characteristic obtained by the data processing method of the present invention is obvious, and has better performance in fuzzy estimation than other similar algorithms.

Description

technical field [0001] The invention relates to a method for extracting distribution features of financial time series data, which belongs to the technical field of computer data processing. Background technique [0002] Time series analysis has become an integral part of financial market research both theoretically and empirically. Time series analysis method is one of the mainstream methods of financial quantitative analysis. Many research results of modern econometrics and financial markets are based on time series analysis. Engle and Grange won the Nobel Prize in Economics in 2003 for their extensive application of time series models in economics and finance, which is a strong proof that the importance of time series analysis methods is widely recognized in the world. [0003] Financial time series analysis studies the theory and practice of the evolution of asset values ​​over time. For financial asset return series, volatility is often not observed, and statistical ...

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Application Information

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Patent Type & Authority Patents(China)
IPC IPC(8): G06F17/30G06Q40/04
Inventor 曹东
Owner 上海卡方信息科技有限公司
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