Stock price index compilation method and system based on transaction volume

Abstract

The invention provides a stock price index compilation method and system based on transaction volume. The method comprises the following steps: respectively obtaining a first price of each sample stock at a t moment and a second price of each sample stock at a t-1 moment; obtaining an accumulated transaction amount of each sample stock in a first preset time interval before the t moment; and according to the first price, the second price and the accumulated transaction amount, calculating an amount weighted index value at the t moment. The volume weighted index value can reflect transaction volume information, so that market mobility cost, real profit and loss of investors and other information can be reflected, and the method has important reference value for investment decision making, market supervision and the like.

Description

TECHNICAL FIELD

[0001] The present application relates to the technical field of electronic financial transactions, and in particular to a stock price index compiling method and system based on transaction volume. BACKGROUND

[0002] A stock price index is a statistical indicator used to quantitatively reflect the price level and its changing trend of the whole stock market or a specific sector, and is an important reference for investors to make investment decisions and an important factor affecting the financing cost of enterprises, which is of great significance to all subjects in the capital market (regulators, listed companies, investors, traders, brokers, etc.).

[0003] Stock exchanges or professional index compiling agencies mainly use market capitalization weighting method to generate stock price indexes. The market capitalization weighting index has obvious advantages: first, the calculation method is relatively simple, only the sum of the market capitalization of all sample stocks at any time point is divided by the market capitalization on the base date, and then multiplied by the corresponding parameter (usually a person-made setting value such as 100 or 1000 on the index publishing date, and the index value before adjustment on the index sample stock adjustment date), and the index value at the time point can be obtained; second, it is convenient to develop index funds and other passive investment products, once the index sample stocks are determined, the fund manager only needs to configure (buy) each sample stock according to the sample stock weight at that time, and as long as the sample stock is not adjusted thereafter, the fund manager does not need to buy or sell (except for redemption), so that the net value of the fund can accurately track the changes of the index.

[0004] However, the market capitalization weighting method, without considering the transaction volume, deduces the potential transaction price from the existing price, which inevitably has a significant deviation, especially for stocks with small transaction volume and large market capitalization. At the same time, when investors do not participate in transactions, the existing transaction price cannot reflect the actual profit and loss of investors. For example, assuming that an index has A and B as sample stocks, A accounts for 95% of the market capitalization and B accounts for 5%, and A's price rises by 1% and B's price falls by 10% on day t. A and B transact 100 million yuan and 500 million yuan respectively, at this time, according to the market capitalization weighting method, the index rises by 0.45%, but since A only transacts 100 million yuan, the realized income of investors is 0.01 million yuan, B transacts 500 million yuan, the actual loss of investors is 0.5 million yuan, and the total actual profit and loss of investors is -0.49 million yuan, instead of the profit as the index rises.

[0005] In addition, the stock price index compilation of the market capitalization weighted method is based on two assumptions of the neo-classical financial economics: one is that the transaction is frictionless and there is no transaction cost, that is, the market capacity is infinite and the liquidity is infinite; the other is that the investor is rational and the transaction on the market fully reflects the rational choice of the investor. However, in the real market, the two assumptions are difficult to be established. First, the transaction cost exists objectively, even if the direct cost such as commission tax is not considered, the indirect cost such as price impact (liquidity cost) cannot be ignored, and even occupies the main part of the transaction cost. In fact, due to the limited market capacity, a large number of buying or selling will directly push the stock price up or down, so it is obviously defective to replace the market clearing with partial transaction. SUMMARY

[0006] The application provides a stock price index compilation method based on transaction volume to solve the technical problem that the stock price index generated by the existing mainstream market capitalization weighted method cannot reflect the market liquidity cost, the real loss and gain of the investor and the emotion, and is not conducive to the investment decision of the investor and the market supervision.

[0007] The application provides a stock price index compilation method based on transaction volume, which comprises the following steps: respectively acquiring a first price of each sample stock at t moment and a second price of each sample stock at t-1 moment; acquiring the cumulative transaction amount of each sample stock in a first preset time interval before t moment; calculating the volume weighted index value at t moment according to the first price, the second price and the cumulative transaction amount.

[0008] In an optional embodiment of the application, the volume weighted index value at t moment is calculated according to the first price, the second price and the cumulative transaction amount, which comprises the following steps: the volume weighted index value at t moment is calculated according to the first price, the second price and the cumulative transaction amount according to the following formula :

[0009] wherein, is the volume weighted index value at t-1 moment, n is the number of sample stocks, is the first price of the i th sample stock at t moment, is the second price of the i th sample stock at t-1 moment, is the cumulative transaction amount of the i th sample stock in a first preset time interval before t moment.

[0010] In an optional embodiment of the present application, the volume-weighted index value at time t is calculated according to the first price, the second price and the cumulative transaction amount, comprising: The moving real-time volume-weighted index value at time t is calculated according to the first price, the second price and the cumulative transaction amount according to the following formula :

[0011] wherein, is the volume-weighted index value at time t-1, n is the number of sample stocks, is the first price of the i-th sample stock at time t, is the second price of the i-th sample stock at time t-1, is the cumulative transaction amount of the i-th sample stock in the time interval from the time t of the previous trading day to the time t of the current trading day.

[0012] In an optional embodiment of the present application, the is the cumulative transaction amount of the i-th sample stock in the time interval from the opening of the previous trading day to the time t of the current trading day.

[0013] In an optional embodiment of the present application, the compiling method further comprises: According to the volume-weighted index value at time t and the market capitalization-weighted stock price index , and the volume-weighted index value at time t-1 and the market capitalization-weighted stock price index , the market wind vane index at time t is calculated according to the following formula : .

[0014] In an optional embodiment of the present application, the compiling method further comprises: Respectively acquiring the first weighted average price and the second weighted average price of each sample stock in a first preset time interval before the time t and the time t-1; According to the first weighted average price, the second weighted average price and the cumulative transaction amount, the investor sentiment index is calculated according to the following formula :

[0015] wherein, n is the number of sample stocks, is the first weighted average price of the i-th sample stock in the first preset time interval before the time t, a second weighted average price of the i-th sample stock in a first preset time interval before the time t-1, a cumulative transaction amount of the i-th sample stock in a first preset time interval before the time t.

[0016] In an optional embodiment of the present application, the method further comprises: According to the investor sentiment index at the time t and the cumulative transaction amount, the realized profit and loss of the investor at the time t is calculated according to the following formula:

[0017] wherein, the realized profit and loss of the investor at the time t, the investor sentiment index at the time t, and n is the number of sample stocks, a cumulative transaction amount of the i-th sample stock in a first preset time interval before the time t.

[0018] In an optional embodiment of the present application, the method further comprises: The investor sentiment index at the time t is fused according to the following formula: and the realized profit and loss of the investor at the time t to obtain the investor sentiment index at the time t containing the actual profit and loss :

[0019] wherein, m is an integer accurate to a certain number of units, and the investor sentiment index is accurate to two decimal places.

[0020] In an optional embodiment of the present application, the method further comprises: Based on the cumulative transaction amount as the initial weight, the initial volume-weighted market capitalization-weighted stock price index at the time t is calculated according to the following formula: : wherein, the proportion of the cumulative transaction amount of the i-th sample stock in a second preset time interval before the index release benchmark date or the adjustment date to the total transaction amount of all sample stocks in the same time interval, the first price of the i-th sample stock at the time t, the latest price of the i-th sample stock before the index release benchmark date or the adjustment date, the initial volume-weighted market capitalization-weighted stock price index value before the index release benchmark date or the adjustment date.

[0021] The present application also provides a stock price index compiling system based on transaction volume, comprising: ​An input module is configured to receive real-time market data including price and volume from a stock exchange or a market maker; A database is configured to store historical market data, real-time market data and information of sample stocks; An index calculation module is configured to generate volume-weighted index data according to any of the above methods; An output module is configured to publish the generated index data to the market or users.

[0022] The present application provides a volume-based stock price index compilation method, which comprises the following steps: obtaining a first price of each sample stock at time t and a second price of each sample stock at time t-1; obtaining cumulative transaction amount of each sample stock in a first preset time interval before time t; and calculating a volume-weighted index value at time t according to the first price, the second price and the cumulative transaction amount. Since the volume-weighted index value can reflect transaction volume information, it can reflect market liquidity cost, real profit and loss of investors and emotional information, and has important reference value for investment decision-making and market supervision. BRIEF DESCRIPTION OF DRAWINGS

[0023] The accompanying drawings, which are incorporated herein and form a part of the specification, illustrate embodiments consistent with the present application and, together with the description, further serve to explain the principles of the present application. It is to be understood that other embodiments can be utilized and that structural and operational changes can be made without departing from the scope of the present application.

[0024] In the drawings: Figure 1 FIG. 1 is a flowchart of a volume-based stock price index compilation method according to an embodiment of the present application; Figure 2 FIG. 2 is a schematic diagram of a volume-based stock price index compilation system according to an embodiment of the present application. DETAILED DESCRIPTION

[0025] The present application can be implemented or applied in other different specific embodiments, and the details in the present specification can be modified or changed based on different views and applications without departing from the spirit of the present application. The following embodiments and features in the embodiments can be combined with each other without conflict.

[0026] In the following description, numerous specific details are discussed in order to provide a thorough explanation of the embodiments of the application. It will be apparent, however, to one skilled in the art, that the embodiments of the application can be practiced without these specific details. In other instances, well-known structures and devices are not described in detail in order to avoid obscuring the application of the embodiments of the application.

[0027] It should be noted that the various transaction volume weighted stock price index calculation methods provided by the present application should be considered as merely exemplary, and therefore, those skilled in the art should recognize that various changes and modifications can be made to the embodiments described herein without departing from the scope and spirit of the present application. Also, for the sake of clarity and conciseness, the following description omits the description of well-known stock price index calculation methods, functions and structures, such as the processing methods for company actions (stock splits, stock dividends, bonus shares, etc.) and sample stock adjustments in stock price index calculation.

[0028] Please refer to Figure 1 , Figure 1 The transaction volume based stock price index calculation method provided by an embodiment of the present application, as shown in Figure 1 , includes steps S10-S30.

[0029] In step S10 and step S20, the first price of each sample stock at time t and the second price of each sample stock at time t-1 are obtained respectively, and the cumulative transaction amount of each sample stock in a first preset time interval before time t is obtained.

[0030] Specifically, the first price of each sample stock at time t and the second price of each sample stock at time t-1 of the index can be obtained from the real-time market data and historical market data of a stock exchange or a market publisher, and the cumulative transaction amount of each sample stock in a first preset time interval before time t can also be obtained from the real-time market data and historical market data of a stock exchange or a market publisher.

[0031] It should be noted that the first preset time interval can be any value, such as 5 minutes, 1 hour, from the opening of the day to time t, or from a certain number of trading days in the past to time t of the day, etc. Generally, in order to reduce the excessive fluctuation of the index caused by the calculation method as much as possible, it is not appropriate to choose a too short time interval.

[0032] In step S30, the volume weighted index value at time t is calculated according to the first price, the second price and the cumulative transaction amount.

[0033] To facilitate comparison between stock prices of index sample stocks with different prices, the trading volume is expressed as the trading amount, i.e. the product of the price and the number of shares traded. The change in the weighted average price of all sample stocks relative to the base price is calculated by taking the trading amount of a sample stock in a period of time as the weight of the corresponding sample stock. The change (up or down, negative for down) is added to the index base value to calculate the new volume-weighted index value. Compared with the market capitalization-weighted index, the volume-weighted index can reflect the trading volume information and thus better reflect the market clearing transaction cost, which is of important reference value for investment decisions and market supervision. It can be understood that in some embodiments, the number of shares traded can also be used as the trading volume to replace the trading amount for calculation of the stock price index.

[0034] In an embodiment of the present application, the volume-weighted index value at time t is calculated according to the first price, the second price and the cumulative trading amount, comprising: The volume-weighted index value at time t is calculated according to the first price, the second price and the cumulative trading amount according to the following formula: (1) Wherein, is the volume-weighted index value at time t, is the volume-weighted index value at time t-1, n is the number of sample stocks, is the first price of the i-th sample stock at time t, is the second price of the i-th sample stock at time t-1, is the cumulative trading amount of the i-th sample stock in the first preset time interval before time t.

[0035] It should be noted that the volume-weighted index of the present application is usually artificially set to an initial value at the initial release date. The volume-weighted index value at the initial release date is taken as the base value of the volume-weighted index. For example, the initial value of the volume-weighted index at the initial release date is taken as 100 or 1000, etc. Before the change of the index sample stocks, the volume-weighted index value can also be calculated as the base value of the volume-weighted index.

[0036] ​​​It should be noted that the transaction price and the stock market value are point values, but the transaction volume is usually an interval value. Although the time interval for calculating the transaction volume can be any time period, the smaller the time interval, the greater the fluctuation of the transaction volume ratio. For example, when there is no transaction in the opening auction or some markets open with continuous auction, when the first transaction occurs, only one stock has a transaction, and the transaction volume ratio of the stock at this point is 100%. Therefore, the real-time release of the volume-weighted stock price index may cause the index to fluctuate greatly, thereby losing the significance of representing the price level and movement trend of the entire market. Therefore, the moving total real-time volume-weighted stock price index is introduced. The proportion of the cumulative transaction amount of a sample stock in a certain time period before the index calculation point to the total transaction amount of all sample stocks in the time period is taken as the weight of the sample stock, and the index value is calculated. The time interval is fixed, such as a trading day, 1 hour, etc. The time interval naturally moves forward when calculating the index value at the next point in time. Usually, a trading day can be used as the moving time interval, that is, the transaction amount ratio from the end of the previous trading day auction to the end of the current trading day auction is taken as the weight, and the moving real-time volume-weighted index that can be released in real time is calculated at any time point.

[0037] In an embodiment of the present application, based on the compilation process of the moving total real-time volume-weighted stock price index, specifically, according to the first price, the second price, and the cumulative transaction amount, the moving real-time volume-weighted index value at time t is calculated according to the following formula: (2) Wherein, is the moving real-time volume-weighted index value at time t, is the volume-weighted index value at time t-1, and n is the number of sample stocks, is the first price of the i-th sample stock at time t, is the second price of the i-th sample stock at time t-1, is the cumulative transaction amount of the i-th sample stock in the time interval from the time t after the previous trading day to the time t of the current trading day.

[0038] For convenience of calculation, the moving total real-time volume-weighted stock price index compilation process can also be simplified. The transaction volume of the previous trading day is added to the transaction volume from the opening of the index calculation day to time t as the weight, and the moving real-time volume-weighted index is calculated. The calculation method is the same as formula (2), except that represents the cumulative transaction amount of the i-th sample stock in the time interval from the opening of the previous trading day to the time t of the current trading day.

[0039] To some extent, the trading volume represents the divergence of investors on the future stock price trend. Generally, the trading motivation of traders can be divided into two categories: liquidity trading and volatility trading. The former refers to the case where traders sell stocks due to liquidity needs (such as the urgent need for money, etc.), or market makers buy and sell stocks to fulfill their obligation to maintain market liquidity, etc. The latter refers to the case where traders hope to make a profit or reduce losses from stock price fluctuations, which is mainly directional trading, and hedging and arbitrage transactions can also be included in the broad sense of volatility trading, which aims to obtain risk-free income from pricing errors or avoid the price fluctuation risk of the held stocks and other financial assets. Volatility trading, especially directional trading, is an important source of market liquidity. Changes in trading volume often reflect the divergent views of directional traders on the future of stocks, that is, the people who sell think that the current stock price is too high, and the people who buy think that the current stock price is too low, so there is a transaction; the more serious the price divergence, that is, the more traders who are bullish or bearish, the larger the trading volume. When the trading volume of some component stocks in an index accounts for a significantly larger or smaller proportion of the total trading volume of all sample stocks than its market value proportion, the excess volatility of the stock price index based on the volume weighting relative to the market value weighted stock price index can reflect the views of traders on the future market trend, especially market volatility. Therefore, the stock price index compilation method based on trading volume weighting of the present application also includes the process steps of compiling the market barometer index based on the volume weighted index.

[0040] Specifically, the market barometer index at time t can be calculated according to the volume weighted index value at time t and the market value weighted stock price index , the volume weighted index value at time t-1 and the market value weighted stock price index , according to the following formula : (3) Among them, the volume weighted index value may adopt one of the above volume weighted index values , two kinds of moving real-time volume weighted indexes , of course, it can also be other stock price indexes compiled based on trading volume weighting.

[0041] When is 100, it means that the trading volume proportion of each sample stock in the calculation period is consistent with its market value proportion, and the market barometer is neutral. When is greater than 100, it means that the stock price of the stock with a trading volume proportion greater than its market value proportion rises more (or falls less), which belongs to the case of price-volume cooperation, indicating that the multi-party force in the transaction is strong, indicating that the market is in the expansion interval; when When the value is less than 100, it indicates that the stock whose turnover ratio is greater than its market value ratio has fallen more (or risen less), which means that the market is in a contraction range and the short side is relatively strong. The intuitive meaning of the volume-weighted index is shown in Table 1.

[0042] Table 1

[0043] Since the volume-weighted index can reflect the realized gains and losses of investors, rather than the potential gains and losses reflected by the market value-weighted index, the realized gains and losses can largely reflect the emotions of investors. Therefore, the stock price index compilation method based on trading volume weighting of the present application also includes a process of compiling an index reflecting investor emotions based on the volume-weighted index.

[0044] Specifically, the process of compiling an index reflecting investor emotions based on the volume-weighted index includes: obtaining a first weighted average price of each sample stock in a first preset time interval before the cutoff time t and a second weighted average price i.e. (4) wherein, is the price of the jth transaction of sample stock i in the first preset time interval before the cutoff time t, is the quantity of the jth transaction of sample stock i in the first preset time interval before the cutoff time t, j = 1, 2, …, k, k is the total number of transactions of sample stock i in the first preset time interval before the cutoff time t, and are calculated in a similar manner, so they will not be described again; According to the first weighted average price, the second weighted average price, and the cumulative transaction amount, the investor emotion index is calculated according to the following formula: (5) wherein, is the investor emotion index at time t, n is the number of sample stocks, is the first weighted average price of the ith sample stock in the first preset time interval before the cutoff time t, is the second weighted average price of the ith sample stock in the first preset time interval before the cutoff time t-1, is the cumulative transaction amount of the ith sample stock in the first preset time interval before the cutoff time t.

[0045] When > 100, it indicates that there are realized positive returns among traders in this time interval; when When < 100, it means that the realized profit of the trader in the time interval is negative. Since the investor sentiment index can reflect the realized profit of the investor, it can more directly reflect the investor sentiment, and has important reference value for investment decision-making and market supervision, etc.

[0046] The stock price index compiling method based on transaction volume weighting of the present application further comprises a step of calculating the realized profit and loss of the investor. Specifically, according to the investor sentiment index at time t and the cumulative transaction amount, the realized profit and loss of the investor at time t is calculated according to the following formula: (6) Wherein, is the realized profit and loss of the investor at time t, is the investor sentiment index at time t, and n is the number of sample stocks, is the cumulative transaction amount of the first preset time interval before time t of the i-th sample stock.

[0047] The stock price index compiling method based on transaction volume weighting of the present application further comprises a step of compiling the investor sentiment index of the same index by taking the actual profit and loss of the investor into account. Specifically, the investor sentiment index at time t is fused with the realized profit and loss of the investor at time t according to the following formula to obtain the investor sentiment index at time t containing the actual profit and loss: (7) Wherein, m is an integer accurate to a certain number of units (such as 100 million yuan), for example, If m = 4, then Thus, taking the decimal point as the base point, it contains two parts of information. The left side of the decimal point is , usually 4 to 5 digits, of which the last two digits are the decimal places of ; the right side of the decimal point is , which is the profit and loss of the investor accurate to a certain number of units. When > 100, the value is realized profit, and vice versa. The last digit of the decimal point is a display bit, which is mainly used for processing when the last one or n digits of the profit and loss are 0. For example, assuming that the of an index at time t is 10288.7031, its meaning is that = 102.88, units (such as 100 million yuan).

[0048] ​​​​The volume-weighted index can better reflect the trading volume and investor sentiment, but it has the disadvantage that it is difficult to build a portfolio to track the index. Since the trading volume fluctuates greatly, in order to follow the change of the index, it is necessary to constantly buy and sell the components of the portfolio to make the market value weight consistent with the corresponding trading volume ratio, but this undoubtedly has a huge transaction cost, consumes a lot of value of the portfolio, and the index tracking error will also be large. There are mainly two types of investment products for tracking the index: passive index funds and index derivatives. The former can be divided into ordinary index funds and exchange-traded index funds (ETF). Index derivatives mainly include index futures, index options, etc. The volume-weighted index can be used as the underlying of options, but if there is no investment portfolio product (index fund, etc.) with small tracking error to match it, the liquidity and vitality of the product will be greatly affected.

[0049] Therefore, the stock price index compilation method based on trading volume weighting of the present application further comprises: Based on the cumulative trading amount as the initial weight, the initial volume-weighted market value-weighted stock price index at time t is calculated according to the following formula : Among them, is the proportion of the cumulative trading amount of the i-th sample stock in the second preset time interval before the index release benchmark day or adjustment day to the total trading amount of all sample stocks in the same time interval, is the first price of the i-th sample stock at time t, is the latest price of the i-th sample stock before the index release benchmark day or adjustment day, is the initial volume-weighted market value-weighted stock price index value before the index release benchmark day or adjustment day.

[0050] The initial volume-weighted market value-weighted stock price index is an investable index that combines the advantages of volume-weighted and market value-weighted indexes, which can take advantage of volume-weighted indexes and reduce tracking errors.

[0051] As Figure 2 shown, the embodiment of the present application also provides a stock price index compilation system based on trading volume, comprising: An input module for receiving real-time market data including price and trading volume from a stock exchange or market data provider; A database for storing historical market data, real-time market data, and related information of sample stocks, such as the number of shares, company behavior information, etc.; An index calculation module for generating a plurality of index data based on trading volume weighting according to the above method, for example; An output module for publishing the generated index data to the market or users.

[0052] To sum up, the application provides a stock price index compiling method based on transaction volume, which comprises the following steps: obtaining a first price of each sample stock at t moment and a second price of each sample stock at t-1 moment; obtaining cumulative transaction amount of each sample stock in a first preset time interval before t moment; and calculating a volume-weighted index value at t moment according to the first price, the second price and the cumulative transaction amount. Since the volume-weighted index value can reflect transaction volume information, market liquidity cost, investor real profit and loss, and emotion information, etc., it has important reference value for investment decision and market supervision, etc.

[0053] The above embodiments only exemplarily illustrate the principles and effects of the application, and are not used to limit the application. Any person skilled in the art can modify or change the above embodiments without departing from the spirit and category of the application. Therefore, all equivalent modifications or changes completed by those skilled in the art without departing from the spirit and technical thought disclosed by the application should be covered by the claims of the application.

Claims

1. A method for compiling a stock price index based on trading volume weighting, characterized in that, The method includes: Obtain the first price of each sample stock at time t and the second price at time t-1; Obtain the cumulative transaction amount of each sample stock in the first preset time interval up to time t; Calculate the volume-weighted index value at time t based on the first price, the second price, and the cumulative transaction amount.

2. The method for compiling a stock price index based on trading volume weighting according to claim 1, characterized in that, Based on the first price, the second price, and the cumulative transaction amount, calculate the volume-weighted index value at time t, including: Based on the first price, the second price, and the cumulative transaction amount, the volume-weighted index value VWI at time t is calculated according to the following formula. t : Among them, VWI t-1 S is the quantity-weighted index value at time t-1, where n is the number of sample stocks. i P t Let S be the first price of the i-th sample stock at time t. i P t-1 Let S be the second price of the i-th sample stock at time t-1. i V t This represents the cumulative transaction amount of the i-th sample stock during the first preset time interval up to time t.

3. The method for compiling a stock price index based on trading volume according to claim 1, characterized in that, Based on the first price, the second price, and the cumulative transaction amount, calculate the volume-weighted index value at time t, including: Based on the first price, the second price, and the cumulative transaction amount, the mobile real-time volume weighted index value RVI at time t is calculated according to the following formula. t : Among them, RVI t-1 S is the quantity-weighted index value at time t-1, where n is the number of sample stocks. i P t Let S be the first price of the i-th sample stock at time t. i P t-1 Let S be the second price of the i-th sample stock at time t-1. i CV t It represents the cumulative trading amount of the i-th sample stock from time t on the previous trading day to time t on the current trading day.

4. The method for compiling a stock price index based on trading volume according to claim 3, characterized in that, The S i CV t This represents the cumulative trading volume of the i-th sample stock from the opening of the previous trading day to time t of the current trading day.

5. The method for compiling a stock price index based on trading volume according to claim 1, characterized in that, The compilation method also includes: Based on the quantity-weighted index value VI at time t t and market capitalization weighted stock price index MI t And the quantity-weighted exponent value VI at time t-1 t-1 and market capitalization weighted stock price index MI t-1 The Market Sentiment Index (MTI) at time t is calculated using the following formula. t :

6. The method for compiling a stock price index based on trading volume according to claim 1, characterized in that, The compilation method also includes: Obtain the first weighted average price and the second weighted average price of each sample stock for the first preset time interval before time t and time t-1, respectively; Based on the first weighted average price, the second weighted average price, and the cumulative transaction amount, the investor sentiment index IS at time t is calculated according to the following formula. t : Where n is the number of sample stocks, Let be the first weighted average price of the i-th sample stock over the first preset time interval before time t. S is the second weighted average price of the i-th sample stock over the first preset time interval up to time t-1. i V t This represents the cumulative transaction amount of the i-th sample stock during the first preset time interval up to time t.

7. The method for compiling a stock price index based on trading volume according to claim 6, characterized in that, Also includes: Based on the investor sentiment index at time t and the cumulative transaction amount, the realized profit / loss (RPS) of investors at time t is calculated using the following formula. t : Among them, IS t Let S be the investor sentiment index at time t, n be the number of sample stocks, and S be the index of investor sentiment at time t. i V t This represents the cumulative transaction amount of the i-th sample stock during the first preset time interval up to time t.

8. The method for compiling a stock price index based on trading volume according to claim 7, characterized in that, Also includes: The investor sentiment index IS at time t is calculated using the following formula. t and the realized profit / loss RPS of investors at time t t The data is then merged to obtain the RIS (Risk Index) of investor sentiment at time t, which includes actual profit and loss. t : RIS t =IS t ×100+RPS t ×10 -m +10 -m-1 Where m is the RIS t The Investor Sentiment Index (IS) is accurate to a certain number of integer digits. t Accurate to two decimal places.

9. The method for compiling a stock price index based on trading volume according to claim 1, characterized in that, The compilation method also includes: Based on the cumulative transaction amount as the initial weight, the initial volume-weighted market capitalization-weighted stock index VMI at time t is calculated according to the following formula. t : Among them, Q i S represents the proportion of the cumulative trading volume of the i-th sample stock in the second preset time interval prior to the index launch benchmark date or adjustment date, relative to the total trading volume of all sample stocks in the same time interval. i P t Let S be the first price of the i-th sample stock at time t. i P0 is the latest price of the i-th sample stock on the index launch date or adjustment date, and VMI0 is the initial volume-weighted market capitalization-weighted stock price index value on the index launch date or adjustment date.

10. A stock price index compilation system based on trading volume, characterized in that, include: The input module is used to receive real-time market data, including prices and trading volumes, from stock exchanges or market data providers. The database is used to store historical market data, real-time market data, and information related to sample stocks; An index calculation module is used to generate volume-weighted index data according to the method described in any one of claims 1-9; The output module is used to publish the generated index data to the market or users.

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