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Method and device for building prediction model

A forecasting model and model technology, applied in the computer field, can solve problems affecting market capital liquidity, difficulty in predicting liquidity indicators, and affecting capital interest rates

Inactive Publication Date: 2018-11-30
ADVANCED NEW TECH CO LTD
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

For example, the funding rate will affect the market liquidity, and the market liquidity will in turn affect the funding rate
Such a relationship makes the prediction of liquidity indicators more and more difficult

Method used

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  • Method and device for building prediction model
  • Method and device for building prediction model
  • Method and device for building prediction model

Examples

Experimental program
Comparison scheme
Effect test

Embodiment approach

[0111] According to one embodiment, the first variable includes one or more of the following variables: reverse repurchase, medium-term lending facility MLF, ultra-short-term reverse repurchase SLO, standing lending facility SLF, mortgage supplementary loan PSL;

[0112] The second variable includes one or more of the following variables: repo rate and trading volume; interbank offered rate and trading volume; interest rate swap rate and trading volume; treasury bond yield and trading volume.

[0113] In one embodiment, the stationarity detection unit 33 is configured to: use unit root test to detect the stationarity of the first variable sequence, the second variable sequence and the index sequence, and use the sequence with unit root as the non-stationary sequence.

[0114] According to an embodiment, the stationarity detection unit 33 is further configured to: in the case of detecting that any sequence in the first variable sequence, the second variable sequence, and the ind...

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Abstract

Embodiments of the invention provide a method and a device for building a prediction model to predict a liquidity index. According to the method, firstly variable sequences formed by variables which have a certain incidence relation with the liquidity index to be predicted are obtained, wherein the variable sequences are obtained by sampling the variables in a plurality of historical time periods;then, the variable sequences are guaranteed to be stable sequences through stability detection, and the involved variables and the liquidity index are ensured to have causal correlation through Granger causality test; on this basis, the variables in the same historical time period and the liquidity index are sorted as column vectors in the time period, and the column vectors in all the historicaltime periods are input into a vector self-regression VAR model; and training is performed by using the column vectors in the multiple historical time periods, a parameter matrix and a disturbance term in the vector self-regression VAR model are determined, and the VAR model subjected to parameter determination is taken as the prediction model.

Description

technical field [0001] One or more embodiments of this specification relate to the field of computer technology, and in particular to methods and devices for constructing predictive models. Background technique [0002] The emergence of Internet finance has greatly stimulated the business development of traditional institutions such as banks, and various innovative financial services have emerged, bringing greater challenges to liquidity management. In liquidity management, the management of liquidity risk is very important. For financial institutions, insufficient liquidity will lead to liquidity risks and even crises, while excessive liquidity means inefficient use of funds and loss of profits. For management institutions, such as the central bank, one of the management goals is to manage market expectations, stabilize market liquidity fluctuations, and avoid systemic liquidity risks. [0003] In some schemes, some methods are proposed to calculate the liquidity index, a...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/02G06Q40/04
CPCG06Q40/02G06Q40/04
Inventor 安然
Owner ADVANCED NEW TECH CO LTD
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