Pairing transaction co-integration relationship acceleration verification method based on E-G two-step method

A verification method and relationship technology, applied in complex mathematical operations, instruments, finance, etc., can solve problems such as high computational complexity, loss, and unfriendliness

Active Publication Date: 2020-12-25
NANJING UNIV
View PDF5 Cites 0 Cited by
  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0004] However, due to the large amount of stock market data and the frequent changes in stock prices, and the E-G two-step method has the characteristics of high computational complexity and loops, when the length of the price sequence is very long or the number of stocks to be selected is large, the CPU Or running directly on the GPU will cause a very large system delay; and its parallel calculation will consume relatively large resources and generate large power consumption. At the same time, due to the matrix inversion and logarithmic operations in the algorithm, the hardware is Very unfriendly operation exists, it is very difficult to deploy it on FPGA or ASIC platform
Too long calculation time will reduce the pairing efficiency, so that profit opportunities are missed or even losses are caused by the end of the pairing relationship

Method used

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
View more

Image

Smart Image Click on the blue labels to locate them in the text.
Viewing Examples
Smart Image
  • Pairing transaction co-integration relationship acceleration verification method based on E-G two-step method
  • Pairing transaction co-integration relationship acceleration verification method based on E-G two-step method
  • Pairing transaction co-integration relationship acceleration verification method based on E-G two-step method

Examples

Experimental program
Comparison scheme
Effect test

Embodiment Construction

[0047] Examples such as figure 1As shown in the overall structure diagram of an accelerated verification method for the cointegration relationship of paired transactions based on the E-G two-step method, in the paired transaction, the price time series X, Y of the two stocks whose cointegration relationship is to be verified are obtained;

[0048] Carry out ordinary least squares regression analysis on the price time series X and Y of the two stocks whose cointegration relationship is to be verified, and obtain the regression equation:

[0049] Y=αI+ρX+ε

[0050] Wherein, X, Y are the N × 1 vectors of the price time series of the two stocks of the cointegration relationship to be verified, N is X, the length of the Y time series, α is a constant term, I=(1,1,..., 1) T , I is an N×1 vector, ρ is a coefficient,

[0051] Then obtain the residual of the regression analysis and the difference of the residual,

[0052] ε=Y-αI-ρX

[0053] Among them, ε=(e 1 , e 2 ,...,e N ) ...

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to view more

PUM

No PUM Login to view more

Abstract

The invention discloses a pairing transaction co-integration relationship accelerated verification method based on an E-G two-step method. The method comprises the steps of obtaining two time sequences of a to-be-verified co-integration relationship; carrying out augmented Dickey-Fuller test on a residual error and a difference of the residual error, wherein a regression analysis result corresponding to the maximum lag order is solved by utilizing an LDLT decomposition method; obtaining regression analysis results corresponding to all lag orders according to the regression analysis result corresponding to the maximum lag order, and obtaining a corresponding error quadratic sum; utilizing an optimized akaike information criterion formula to calculate akaike information criterion function values corresponding to all the lag orders; selecting the lag order corresponding to the minimum akaike information criterion function value as the optimal lag order; and obtaining a regression coefficient corresponding to the optimal lag order. According to the invention, algorithm intensity reduction and approximate calculation are performed by applying a common least square method algorithm for many times in a traditional algorithm, and a verification speed of the co-integration relationship of the two time sequences is increased.

Description

technical field [0001] This application relates to the field of verification of cointegration relationship of paired transactions, and in particular to an accelerated verification method of cointegration relationship of paired transactions based on the E-G two-step method. Background technique [0002] Pair trading is a statistical arbitrage strategy widely used in financial markets. Based on two highly correlated stocks or other securities, their trends remain close for a long time. Once there is a divergence, it can be considered that the divergence is short-lived and can be Predict that their trends will return in the future, so as to make profits by judging their future trends. [0003] An important link in pair trading is how to find such two stocks with long-term correlation. The more classic and commonly used method is the E-G two-step method proposed by Engle and Granger. The cointegration relationship verification is used to determine the two stocks with long-term c...

Claims

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to view more

Application Information

Patent Timeline
no application Login to view more
Patent Type & Authority Applications(China)
IPC IPC(8): G06F17/18G06F17/17G06F17/16G06Q40/04
CPCG06F17/18G06F17/16G06F17/17G06Q40/04
Inventor 王中风梁双路思远林军
Owner NANJING UNIV
Who we serve
  • R&D Engineer
  • R&D Manager
  • IP Professional
Why Eureka
  • Industry Leading Data Capabilities
  • Powerful AI technology
  • Patent DNA Extraction
Social media
Try Eureka
PatSnap group products