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Stock fluctuation prediction method
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A prediction method and volatility technology, applied in the field of information processing, can solve the problems of complex calculation process and inaccurate calculation results, and achieve the effect of improving stability
Inactive Publication Date: 2017-07-07
四川倍发科技有限公司
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[0006] The purpose of the present invention is to propose a stock volatility prediction method applied to ex ante risk management in view of the problems existing in the prior art to solve the problems of complicated calculation process and inaccurate calculation results in the prior art
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Embodiment 1
[0039] As a preferred embodiment of the present invention, this embodiment discloses a method for predicting stock volatility, comprising the following steps:
[0040] Step 1, read the original data from the database, the original data includes market data and financial statement data related to stocks;
[0041] Step 2, establishing a volatility prediction model;
[0042] Step 3: Using the model established in Step 2 to calculate the volatility of individual stock returns.
[0043] The calculation method of the model in the step 2 is as follows:
[0044] Assume that there are k risk factors in the multi-factor risk model of the rate of return. Then the rate of return r of stock i i for:
[0045] r i =b i1 f 1 +b i2 f 2 +b i3 f 3 +....+b ik f k +∈ i (1)
[0046] where b ij is the exposure of stock i to risk factor j; f j is the rate of return of risk factor j, ∈ i is the stock return of stock i, that is, the part of the return that has nothing to do with the ...
Embodiment 2
[0108] As a preferred embodiment of the present invention, this embodiment discloses a method for predicting stock volatility, comprising the following steps:
[0109] Step 1, read the original data from the database, the original data includes market data and financial statement data related to stocks;
[0110] Step 2, establishing a volatility prediction model;
[0111] Step 3: Using the model established in Step 2 to calculate the volatility of individual stock returns.
[0112] The calculation method of the model in the step 2 is as follows:
[0113] Assume that there are k risk factors in the multi-factor risk model of the rate of return. Then the rate of return r of stock i i for:
[0114] r i =b i1 f 1 +b i2 f 2 +b i3 f 3 +....+b ik f k +∈ i (1)
[0115] where b ij is the exposure of stock i to risk factor j; f j is the rate of return of risk factor j, ∈ i is the stock return of stock i, that is, the part of the return that has nothing to do with the ...
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Abstract
The present invention belongs to the information processing technical field and relates to a stock fluctuation prediction method. The method includes the following steps that: step 1, original data are read from a database, wherein the original data include stock-related market data and financial statement data; step 2, a fluctuation prediction model is established; and step 3, the model established in the step 2 is used to calculate individual stock return fluctuation. According to the stock fluctuation prediction method of the present invention, the future risk of investment portfolios can be predicted based on the predictability of the model, so that investors can be facilitated to do the better beforehand risk management; by means of different factor decomposition, risks can be predicted and quantified, and the stability of the prediction of the risks can be improved; and investment risks can be decomposed according to different sources, and therefore, so that the investors can choose risks which they want to take and risks which they want to avoid in a more targeted manner.
Description
technical field [0001] The invention relates to the technical field of information processing, in particular to a stock volatility prediction method. Background technique [0002] Volatility is the degree of change in the indicator's return on asset investment, which can be divided into actual volatility and historical volatility. Actual volatility, also known as future volatility, refers to the measurement of the volatility of stock investment returns. Since the return on investment is a random process, the actual volatility is always an unknown. In other words, the actual volatility cannot be accurately calculated in advance, and people can only obtain its estimated value through various methods. Historical volatility refers to the volatility shown by the return on investment over a period of time in the past, which is reflected by the historical data of the market price of the underlying asset in the past period of time (ie, the time series data of St). That is to say, ...
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