Bond interest rate prediction method and system and storage medium

Abstract

The invention relates to the technical field of data processing, in particular to a bond interest rate prediction method and system and a storage medium, and the method comprises the steps: collecting a plurality of data; processing the data to obtain a quantization factor; judging whether correlation exists between the quantization factor and the return rate or not and whether layering has distinction degree or not after layering processing is carried out, and if yes, selecting the quantization factor as a single factor; if not, the quantization factor is not selected as a single factor; performing historical data back-testing on each single factor by adopting a time stratification method to obtain a multi-empty profit curve of the single factor; and evaluating the effectiveness of the single factors according to the multi-empty revenue curve of the single factors to obtain a plurality of effective single factors, and performing weighted combination according to the effectiveness of the single factors to obtain a multi-factor model for interest rate direction prediction. According to the scheme, the problem that factor sources and traditional quantitative factors cannot be grouped is solved, the interest rate direction can be accurately predicted, and bond transactions are assisted.

Description

technical field [0001] The invention relates to the technical field of data processing, in particular to a bond interest rate prediction method, system and storage medium. Background technique [0002] Bonds are divided into interest rate bonds and credit bonds. Among them, interest rate bonds are mainly issued by the government or policy banks, and their prices are mainly affected by interest rates. Credit bonds are mainly issued by enterprises, and their yields are usually higher than the benchmark interest rate. The specific pricing depends on Based on the operating status and credit rating of the enterprise. [0003] For institutional investors such as banks, interest rate bonds are often used to allocate a large amount of idle funds. The scale and term of bond allocation need to be constantly adjusted according to the direction of expected interest rate changes, while traditional bond traders rely more on personal experience, which is highly subjective and uncertain. ...

AI Technical Summary

Problems solved by technology

[0005] One of the purposes of the present invention is to provide a bond interest rate prediction method to solve the problem that factor sources and traditional quantitative factors cannot be grouped, to accurately predict the direction of interest rates, and to assist bond transactions

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