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Financial factor generation method, electronic device and computer readable storage medium

A financial and factor technology, applied in finance, computing, data processing applications, etc., can solve problems such as the inability to meet investment decision makers, the lack of quantitative investment plans, and the conflicting needs of human resources and strategic diversification.

Pending Publication Date: 2022-05-13
成都宽邦科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

However, more practical and reliable quantitative investment solutions are still lacking, and still cannot better meet the needs of investment decision makers, resulting in the contradiction between human resources and diversified strategic needs, making investment decisions very difficult

Method used

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  • Financial factor generation method, electronic device and computer readable storage medium
  • Financial factor generation method, electronic device and computer readable storage medium
  • Financial factor generation method, electronic device and computer readable storage medium

Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0030] A financial factor generation method is used for real-time screening of investment decision-making factors, and investment analysis is performed according to the real-time screened factors. The financial factor generation method includes the following steps:

[0031] Obtain the first data, which is one or more multiple market index values ​​expressing the market; the market index values ​​in this embodiment include opening price, highest price, lowest price, closing price, increase rate, amplitude, and trading volume , turnover, turnover rate, etc.

[0032] Based on the first data, a plurality of processing formulas are preset to process the plurality of market index values ​​to obtain a plurality of expressions containing at least one market index value, and the expression is the second data;

[0033] performing fitness calculation on the second data to obtain the second data fitness corresponding to the second data;

[0034] Judging the fitness of the second data acc...

Embodiment 2

[0096] A financial factor generation method, the financial factor generation method also includes iterative processing, the iterative processing includes setting the iterative algebra, after the iterative algebra is reached, the second data fitness is judged according to the preset fitness index value, and the second data fitness is judged by the first The fitness of the second data is judged and the second data is screened out, and the second data can be used as a factor for real-time screening of investment portfolio construction.

[0097] The difference from Embodiment 1 is that in this financial factor generation method, fitness calculation is performed on the second data, including:

[0098] Sort the second data in descending or ascending order;

[0099] Screen out the largest or smallest multiple financial investment targets corresponding to the second data within the preset time period as a long portfolio;

[0100] Screen out the largest or smallest multiple financial ...

Embodiment 3

[0106] A financial factor generation method, this method is different from embodiment 1, this financial factor generation method also includes iterative processing, the iterative processing includes setting iterative algebra, after reaching the iterative algebra, carry out according to the preset fitness index value The second is to judge the fitness of the data.

[0107] The calculating the fitness of the second data includes calculating the correlation coefficient between the second data and the next day's rate of return. The next day's rate of return: the value of the rate of return of the day calculated using the market data of the next day. During the research process, the rate of return was directly calculated based on historical data. The reason for calculating the correlation coefficient is because if the second data is strongly correlated with the return rate of the next day, then it can be judged that stocks with larger factor values ​​are more worth buying. Accord...

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PUM

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Abstract

The invention relates to a financial factor generation method, an electronic device and a computer readable storage medium, the financial factor generation method comprises the following steps: obtaining first data, the first data being one or more market information index values expressing market information; based on the first data, a plurality of preset processing formulas are used for processing the plurality of market information index values to obtain a plurality of expressions containing at least one market information index value, and the expressions are second data; performing fitness calculation on the second data to obtain second data fitness corresponding to the second data; judging the fitness of the second data according to a preset fitness index value, and screening the second data reaching a fitness index; the second data are factors screened in real time. According to the factors generated through the method, the factor mining period can be shortened, that is, the factors are screened in real time, the factor mining period is shortened, and the contradiction between limited human resources and strategy diversification requirements is effectively solved.

Description

technical field [0001] The present invention relates to analysis and processing of financial data, in particular to a method for generating financial factors, and also to an electronic device and a computer-readable storage medium. Background technique [0002] Quantitative investment refers to a trading method that issues buying and selling orders through quantitative methods and computer programming to obtain stable returns. Overseas development has a history of more than 30 years. Its investment performance is stable, its market size and share continue to expand, and it has been recognized by more and more investors. From the perspective of participants in the global market, according to the scale of assets under management, many asset management institutions around the world rely on computer technology to make investment decisions, and the scale of funds managed by quantitative and programmatic exchanges is constantly expanding. However, more practical and reliable quan...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/04G06Q40/06
CPCG06Q40/04G06Q40/06
Inventor 梁举邵守田郑英志
Owner 成都宽邦科技有限公司