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Heterogeneous volatility rebalancing method and system, computer device and storage medium

A technology of rebalancing and volatility, used in computing, network data query, instruments, etc.

Pending Publication Date: 2019-01-11
PING AN TECH (SHENZHEN) CO LTD
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

[0004] In view of this, it is necessary to provide a heterogeneous volatility rebalancing method base, system, computer equipment and storage medium for the lack of comprehensive consideration of market risk and individual stock risk in existing fund rebalancing methods

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  • Heterogeneous volatility rebalancing method and system, computer device and storage medium
  • Heterogeneous volatility rebalancing method and system, computer device and storage medium
  • Heterogeneous volatility rebalancing method and system, computer device and storage medium

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Embodiment Construction

[0045] In order to make the object, technical solution and advantages of the present invention clearer, the present invention will be further described in detail below in conjunction with the accompanying drawings and embodiments. It should be understood that the specific embodiments described here are only used to explain the present invention, not to limit the present invention.

[0046]Those skilled in the art will understand that unless otherwise stated, the singular forms "a", "an", "said" and "the" used herein may also include plural forms. It should be further understood that the word "comprising" used in the description of the present invention refers to the presence of said features, integers, steps, operations, elements and / or components, but does not exclude the presence or addition of one or more other features, Integers, steps, operations, elements, components, and / or groups thereof.

[0047] figure 1 It is a flow chart of the fund rebalancing judging method in ...

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PUM

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Abstract

The invention relates to the technical field of financial data analysis, in particular to a heterogeneous volatility rebalancing method and system, a computer device and a storage medium. The heterogeneous volatility rebalancing method comprises the following steps: periodically collecting customer information from a customer trading information system; collecting market information from a securities trading data platform and a fund management data platform; and storing the market information in a database; accessing to market information and customer information, and according to the market information and customer information, calculating the timing index MV-IV; comparing the MV-IV with the first threshold and the second threshold, if MV-IV is between the first threshold value and the second threshold value, outputting the no-rebalance signal F, otherwise, outputting the rebalance signal T. The invention combines the market risk and the non-systematic risk from individual stocks to obtain a new timing index, can accurately monitor the market trend, and when abnormal conditions occur in the market, the invention sends out a rebalance signal in time.

Description

technical field [0001] The invention relates to the technical field of financial data analysis, in particular to a method, system, computer equipment and storage medium for rebalancing heterogeneous volatility. Background technique [0002] Fund forecasting is affected by multiple factors, and it is difficult to establish a definite mathematical model between funds and influencing factors. At present, from the perspective of the theoretical basis of the model, we can divide it into two main types: one is based on statistics The volatility forecasting models based on these models include the autoregressive conditional heteroscedasticity model and the stochastic volatility model; the other is a forecasting model based on gray theory, neural network, support vector machine, etc. [0003] Based on the above model theory, a large number of scholars conduct fund rebalancing monitoring on the future price trend of the fund by analyzing historical and current fund data, so as to pro...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/04G06Q40/06G06F16/953
CPCG06Q40/04G06Q40/06
Inventor 蒋逸文胡逸凡叶曙峰陈泽晖
Owner PING AN TECH (SHENZHEN) CO LTD