CN108416673A - Quantify hedging portfolio method of commerce, equipment and storage medium - Google Patents
Quantify hedging portfolio method of commerce, equipment and storage medium Download PDFInfo
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- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
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Abstract
A kind of quantization hedging portfolio method of commerce of present invention offer, equipment and storage medium, the described method comprises the following steps：Screen multiple targets and its corresponding spin-off；The multiple target is sampled to form one or more combination targets, determines each target weight in the combination target；The combination target and spin-off are subjected to hedging portfolio transaction.By the way that Object of Transaction is combined transaction with corresponding financial derivatives, compare price differential or the rate of exchange of Object of Transaction and corresponding spin-off to be combined transaction to the Object of Transaction and corresponding spin-off, it can evade and the market risk that liquidates, increase the circulation in financial market, improve efficiency of investment, it optimizes allocation of resources, reduces transaction risk.
Description
Technical field
The present invention relates to financial fields, particularly, are related to a kind of quantization hedging portfolio method of commerce, equipment and storage and are situated between
Matter.
Background technology
With the development of economy, financial product transaction plays increasingly important role in economic development, more and more
People using financial product as important investment option.But the high risk of financial product also counteracts a part of potential investment
Person.The variation of its price is influenced by many factors such as economic, related industry, politics and investor sentiments, the shadow of each factor
The degree of sound, time range and mode are also not quite similar；And correlation is intricate between each factor, primary-slave relation comes and go,
Quantitative relation is difficult to extract and quantitative analysis.Due to influence price factor is numerous and finance data it is highly professional, it is general
The investor that logical investor especially newly gets started is unfamiliar with market, to data deficiency sensibility, therefore cannot reasonably predict
The ups and downs trend of price, the market risk are big.
In financial product transaction, there are greater risks especially in the financial product process of exchange of single variety, for throwing
For the investor that money person especially newly gets started, due to Influence Factors of Price it is numerous and cannot analyze in time core influence because
Element and exchange hour are difficult to hold, still need to find a kind of method to avoid or weaken the influence of these factors, reduce
The market risk.
Invention content
To evade the above-mentioned risk that enters the market, the present invention provides a kind of quantization hedging portfolio method of commerce, equipment and storage medium,
It is combined transaction by screening target and financial derivatives corresponding with target, compares Object of Transaction and corresponding spin-off
Price differential or the rate of exchange transaction, reduction transaction risk are combined to the Object of Transaction and corresponding spin-off.
For this purpose, the present invention provides a kind of quantization hedging portfolio method of commerce, suitable for being executed in computing device, including it is following
Technical solution：
(1) multiple targets and its corresponding spin-off are screened；
(2) the multiple target is sampled to form one or more combination targets, is determined each in the combination target
The weight of target；
(3) the combination target and spin-off are subjected to hedging portfolio transaction.
The step (2) specifically includes：
Target is classified：The target is divided into different classifications based on basic side information or technological side information；
Sampling：The target of the multiple classification is sampled based on arbitrary sampling method, respectively by all kinds of sampling targets
It is combined to form one or more combination targets；The target quantity of all kinds of combination targets is consistent；
Determine the weight of each target in all kinds of combination targets.
In step (2), the sampling by classification method includes dynamic cataloging sampling, is based on real-time basic side information or technological side
Information divides the target classification into Mobile state, and carries out random sampling to the multiple classification.
Further, the step (2) further includes：
The step of to the combination target survey is fetched survey effect and is preferably combined as Object of Transaction；
Described time survey effect includes：Alpha's income, beta income, Sharpe Ratio, income withdraw ratio, maximum is withdrawn, is full of
Thanks to than one or more in, continuous loss period, continuous profit period.
The step (3) specifically includes：
Price differential or the rate of exchange for comparing the combination target and spin-off, based on price differential or the rate of exchange to the combination target with spread out
Health product is combined transaction；
The price differential or the rate of exchange are price differential or the rate of exchange of the Object of Transaction and spin-off of same units.
A kind of quantization hedging portfolio method of commerce of the present invention,
The step (2) specifically includes：
Ranked-set method is ranked up the achievement of the multiple target, and achievement is forward or achievement target rearward for screening
Form Object of Transaction；
Determine the weight of each target in all kinds of combination targets；
The achievement includes one or more in corporate sales volume, gross profit, profit margin.
The combination method of commerce includes：
The forward Object of Transaction of achievement is bought in, while selling spin-off；
Or spin-off is bought in, sell achievement Object of Transaction rearward.
On the other hand, the present invention also provides a kind of quantization hedging portfolio transaction systems wraps suitable for residing in computing device
It includes with lower module：
Target acquisition module is suitable for screening multiple targets and its corresponding spin-off；
Sampling composite module to form one or more combination targets suitable for being sampled to the multiple target, determine institute
State the weight of each target in combination target；
Transaction modules are combined, are suitable for the combination target and spin-off carrying out hedging portfolio transaction.
On the other hand, the present invention also provides a kind of computing devices, including：
One or more processors；
Memory；And
One or more programs, wherein one or more of programs are stored in the memory and are configured as by institute
One or more processors execution is stated, one or more of programs include quantifying in hedging portfolio method of commerce for executing
The instruction of either method.
On the other hand, the present invention also provides a kind of computer storage media, the storage medium is stored with one or more
Program, one or more of programs include instruction, and described instruction is when executed by a computing apparatus so that the computing device is held
Either method in row quantization hedging portfolio method of commerce.
Compared with prior art, present invention quantization hedging portfolio method of commerce, equipment and storage medium have the following advantages：
1. by the way that Object of Transaction is combined transaction with corresponding financial derivatives, based on Object of Transaction with accordingly spread out
The price differential or rate of exchange size of health product to the Object of Transaction and corresponding spin-off are combined transaction, can evade and the city that liquidates
Field risk, increases the circulation in financial market, improves efficiency of investment, optimizes allocation of resources, and reduces transaction risk；
2. different weights are arranged in a pair sampling target, each target in the Object of Transaction is calculated into price by weight ratio, is avoided
It is identical as market trend.
Description of the drawings
Fig. 1 shows that one embodiment of the invention quantifies hedging portfolio method of commerce flow chart.
Fig. 2 shows another embodiment of the present invention to quantify hedging portfolio method of commerce flow chart.
Fig. 3 shows that another embodiment of the present invention quantifies hedging portfolio method of commerce flow chart.
Fig. 4 shows that another embodiment of the present invention quantifies hedging portfolio transaction system Organization Chart.
Specific implementation mode
In order to make the object, technical scheme and advantages of the embodiment of the invention clearer, below in conjunction with attached drawing to the present invention
Technical solution be clearly and completely described, it is clear that described embodiments are some of the embodiments of the present invention, rather than
Whole embodiments.Based on the embodiments of the present invention, those of ordinary skill in the art are not making creative work premise
Lower obtained every other embodiment, shall fall within the protection scope of the present invention.
Embodiment one
The invention discloses a kind of quantization hedging portfolio method of commerce, with reference to figure 1, to show suitable for being executed in computing device
The quantization hedging portfolio method of commerce flow chart of one embodiment of the invention is gone out, this approach includes the following steps：
Step 101, multiple targets and its corresponding spin-off are obtained.
Target in the present embodiment will be illustrated by taking stock as an example, and user filters out branched stock mark from transacting customer end
, and financial derivatives corresponding with stock, the financial derivatives include stock future, stock index futures, stock option,
Stock index option, using the branched stock and corresponding financial derivatives as target analyte.Meanwhile from third number formulary
Above-mentioned multiple targets and the real time price of corresponding spin-off are obtained according to platform.
Step 102, the multiple target is sampled to form one or more combination targets, determines the combination target
In each target weight.
In the present embodiment, target is divided into different classifications, sorting technique includes being divided using basic side or technological side
Class.Basic side information is target finance, industry, the index for representing the target attribute of conceptual dependency；Technological side information is base
The index derived from the exchange quotation of the target, including the technical indicator of price reflection variation, tendency form and the combination of K lines
Deng.
Random sampling is carried out to above-mentioned multiple targets based on arbitrary sampling method, is respectively combined all kinds of sampling targets
One or more combination targets are formed, each target that combines includes one or more targets, the target of all kinds of combination targets
Quantity is consistent.Weight shared by each branch stock in each combination is determined simultaneously.
In a preferred embodiment, sampling by classification method includes dynamic cataloging sampling, based on real-time basic side information or
Technological side information divides target classification into Mobile state, and carries out random sampling to the multiple classification.
In a preferred embodiment, above-mentioned multiple combination targets survey, fetch survey effect and preferably combine
As Object of Transaction.Survey effect is returned described in the present embodiment includes：Alpha's income, beta income, Sharpe Ratio, income are withdrawn
Than, it is maximum withdraw, profit and loss are than one or more in, continuous loss period, continuous profit period.
Step 103, the price differential of the combination target and spin-off, based on price differential to the combination target and spin-off
It is combined transaction.
One group of combination target is chosen as Object of Transaction, compares the price differential of Object of Transaction and spin-off, in the present embodiment, institute
State the price differential of Object of Transaction and spin-off that price differential is same units.
When the price differential of Object of Transaction and spin-off be more than predetermined threshold value, sell Object of Transaction, buy corresponding spin-off, phase
Ying Di, the threshold value are a number for being more than 0；When the price differential of Object of Transaction and spin-off is less than predetermined threshold value, bought deal target is sold
Go out corresponding spin-off, correspondingly, which is a number for being less than 0；When the price differential of Object of Transaction and spin-off is more than suitable threshold
When value, close a position；When the price differential of Object of Transaction and spin-off is less than appropriate threshold, close a position.
The present embodiment is explained in detail with reference to specific application example：
More than user 50 stocks of card 50 are its spin-off as analysis target, correspondingly 50 stock index of upper card.It will be above-mentioned
50 stocks are carried out being divided into different classifications by basic side or technological side, and the present embodiment grouped by sector includes bank, steel
The multiple plates of iron, real estate, white wine etc..Meanwhile obtaining above-mentioned target and the reality of corresponding spin-off from third party's data platform
When price.
Carry out random sampling based on arbitrary sampling method to above-mentioned multiple contingency tables respectively carries out all kinds of sampling targets
Combination forms one or more combination targets, and each target that combines includes one or more targets, all kinds of combination targets
Target quantity is consistent.Weight shared by each branch stock in each combination is determined simultaneously.
For demonstrate,proving three 50 banks, steel, real estate plates to avoid information content excessive, more than the present embodiment, to above-mentioned
Three plates carry out random assortments sampling and are divided into tri- groups of A, B, C, and every group includes 3 stocks, select A combinations (including a1, a2, a3
Three stocks) it is used as Object of Transaction, a1 in A is preset, the weight of a2, a3 are respectively 0.2,0.4,0.4, which hands over to calculate
The real time price A1 of easy target, and a1, a2, a3 are traded to press the weight.In the present embodiment, to sampling target setting
Each target in the Object of Transaction is calculated price by weight ratio, avoids real time price trend and the market of combination by different weights
Trend is identical.Optionally, user selects from three plates in advance meets desired target, then therefrom random sampling is divided into respectively
Three groups of combination targets.
Compare the real-time price differential of Object of Transaction and spin-off, in the present embodiment, the price differential is the trading standard of same units
And spin-off price differential, such as both unit simultaneously be 1 hand, the real time price of a1, a2, a3 are a1 ＇, a2 ＇, a3 ＇ respectively, then
The real time price A1=0.2*a1 ＇+0.4*a2 ＇+0.4*a3 ＇ of 1 hand A.
When the real time price B price differentials of the real time price A1 of Object of Transaction and spin-off are greater than or equal to predetermined threshold value M1,
That is Object of Transaction is sold when A1-B >=M1, buys corresponding spin-off.When the price differential of Object of Transaction and spin-off is less than default threshold
When value M2, i.e. bought deal target when A1-B ＜ M2 sells corresponding spin-off；Above-mentioned threshold value and dealing amount by user preset,
This implementation is limited in any way not to this, it is preferable that M1 ＞ 0, M2 ＜ 0.
Optionally, when the price differential of Object of Transaction and spin-off is greater than or equal to appropriate threshold M3, i.e. flat when A1-B >=M3
Storehouse, in the present embodiment, M3 ＞ M1；It is when the price differential of Object of Transaction and spin-off is less than appropriate threshold M4, i.e. flat when A1-B ＜ M4
Storehouse, in the present embodiment, M4 ＜ M2.
In the present embodiment, B is alternatively the combination of corresponding multiple derived products, and the power of each derived product is optionally arranged
Weight, and according to above-mentioned weight calculation real time price and be traded.
In a preferred embodiment, after carrying out sampling by classification and generating three groups of Object of Transactions, to above-mentioned A, B, C tri-
Combination target simulates historical trading with corresponding spin-off and is combined hedging transaction time survey respectively, fetches survey effect and preferably combines
As Object of Transaction.Survey effect is returned described in the present embodiment includes：Alpha's income, beta income, Sharpe Ratio, income are withdrawn
Than, it is maximum withdraw, profit and loss are than one or more in, continuous loss period, continuous profit period.
In the present embodiment, using the risk of derived product hedging stock market, exclude certain uncertain in financial market
Factor realizes venture countermeasure, to increase the circulation in financial market, improves efficiency of investment, optimizes allocation of resources.
Embodiment two
The invention discloses a kind of quantization hedging portfolio method of commerce, with reference to figure 2, to show suitable for being executed in computing device
The quantization hedging portfolio method of commerce flow chart of one embodiment of the invention is gone out, this approach includes the following steps：
Step 201, multiple targets and its corresponding spin-off are obtained.
Target in the present embodiment will be illustrated by taking stock as an example, and user filters out branched stock mark from transacting customer end
, and financial derivatives corresponding with stock, the financial derivatives include stock future, stock index futures, stock option,
Stock index option, using the branched stock and corresponding financial derivatives as target analyte.Meanwhile from third number formulary
Above-mentioned multiple targets and the real time price of corresponding spin-off are obtained according to platform.
Step 202, the multiple target is sampled to form one or more combination targets, determines the combination target
In each target weight.
In the present embodiment, target is divided into different classifications, sorting technique includes being divided using basic side or technological side
Class.Basic side information is target finance, industry, the index for representing the target attribute of conceptual dependency；Technological side information is base
The index derived from the exchange quotation of the target, including the technical indicator of price reflection variation, tendency form and the combination of K lines
Deng.
Random sampling is carried out to above-mentioned multiple targets based on arbitrary sampling method, is respectively combined all kinds of sampling targets
One or more combination targets are formed, each target that combines includes one or more targets, the target of all kinds of combination targets
Quantity is consistent.Weight shared by each branch stock in each combination is determined simultaneously.
In a preferred embodiment, sampling by classification method includes dynamic cataloging sampling, based on real-time basic side information or
Technological side information divides target classification into Mobile state, and carries out random sampling to the multiple classification.
In a preferred embodiment, above-mentioned multiple combination targets survey, fetch survey effect and preferably combine
As Object of Transaction.Survey effect is returned described in the present embodiment includes：Alpha's income, beta income, Sharpe Ratio, income are withdrawn
Than, it is maximum withdraw, profit and loss are than one or more in, continuous loss period, continuous profit period.
Step 203, the rate of exchange of the combination target and spin-off, based on the rate of exchange to the combination target and spin-off
It is combined transaction.
One group of combination target is chosen as Object of Transaction, compares the rate of exchange of Object of Transaction and spin-off, in the present embodiment, institute
State the ratio of the real time price of the spin-off of Object of Transaction and same units that the rate of exchange are same units.
When Object of Transaction and spin-off the rate of exchange be more than predetermined threshold value, sell Object of Transaction, buy corresponding spin-off, phase
Ying Di, the threshold value are a number for being more than 0；When the rate of exchange of Object of Transaction and spin-off are less than predetermined threshold value, bought deal target is sold
Go out corresponding spin-off, correspondingly, which is a number for being less than 0；When the rate of exchange of Object of Transaction and spin-off are more than suitable threshold
When value, close a position；When the rate of exchange of Object of Transaction and spin-off are less than appropriate threshold, close a position.
The present embodiment is explained in detail with reference to specific application example：
More than user 50 stocks of card 50 are its spin-off as analysis target, correspondingly 50 stock index of upper card.It will be above-mentioned
50 stocks are carried out being divided into different classifications by basic side or technological side, and the present embodiment grouped by sector includes bank, steel
The multiple plates of iron, real estate, white wine etc..Meanwhile obtaining above-mentioned target and the reality of corresponding spin-off from third party's data platform
When price.
Carry out random sampling based on arbitrary sampling method to above-mentioned multiple contingency tables respectively carries out all kinds of sampling targets
Combination forms one or more combination targets, and each target that combines includes one or more targets, all kinds of combination targets
Target quantity is consistent.Weight shared by each branch stock in each combination is determined simultaneously.
To avoid information content excessive, the present embodiment is by taking three bank, steel, real estate plates as an example, to above three plate
Block carries out random assortment sampling and is divided into tri- groups of A, B, C, and every group includes 3 stocks, selects A combinations (including tri- stocks of a1, a2, a3
Ticket) it is used as Object of Transaction, a1 in A is preset, the weight of a2, a3 are respectively 0.2,0.4,0.4, and the weight is calculating Object of Transaction
Real time price A1, and a1, a2, a3 are traded to press the weight.In the present embodiment, different power are arranged to sampling target
Each target in the Object of Transaction is calculated price by weight ratio, avoids the real time price trend and market trend phase of combination by weight
Together.
Compare the real-time rate of exchange of Object of Transaction and spin-off, in the present embodiment, the rate of exchange are the trading standard of same units
And spin-off the rate of exchange, such as both unit simultaneously be 1 hand, the real time price of a1, a2, a3 are a1 ＇, a2 ＇, a3 ＇ respectively, then
The real time price A1=0.2*a1 ＇+0.4*a2 ＇+0.4*a3 ＇ of 1 hand A.
When the real time price B rate of exchange of the real time price A1 of Object of Transaction and spin-off are greater than or equal to predetermined threshold value M1 ＇,
That is Object of Transaction is sold when A1/B >=M1 ＇, buys corresponding spin-off.When the rate of exchange of Object of Transaction and spin-off are less than default threshold
When value M2 ＇, i.e. bought deal target when A1/B ＜ M2 ＇ sells corresponding spin-off；Above-mentioned threshold value and dealing amount are pre- by user
If the present embodiment is limited in any way not to this, it is preferable that M1 ＇ ＞ 1, M2 ＇ ＜ 1.
Optionally, when the rate of exchange of Object of Transaction and spin-off are greater than or equal to appropriate threshold M3 ＇, i.e. when A1/B >=M3 ＇
It closes a position, in the present embodiment, M3 ＇ ＞ M1 ＇；When the rate of exchange of Object of Transaction and spin-off are less than appropriate threshold M4 ＇, i.e. A1/B ＜
It closes a position when M4 ＇, in the present embodiment, M4 ＇ ＜ M2 ＇.
In the present embodiment, B is alternatively the combination of corresponding multiple derived products, and the power of each derived product is optionally arranged
Weight, and according to above-mentioned weight calculation real time price and be traded.
In a preferred embodiment, after carrying out random assortment sampling and generating three groups of Object of Transactions, to above three
Combination Object of Transaction simulates historical trading with corresponding spin-off and is combined hedging transaction time survey respectively, fetches and surveys effect preferably
Combination is used as Object of Transaction.Survey effect is returned described in the present embodiment includes：Alpha's income, beta income, Sharpe Ratio, income
Withdraw ratio, it is maximum withdraw, profit and loss are than one or more in, continuous loss period, continuous profit period.
In the present embodiment, using the risk of derived product hedging stock market, exclude certain uncertain in financial market
Factor realizes venture countermeasure, to increase the circulation in financial market, improves efficiency of investment, optimizes allocation of resources.
Embodiment three
The invention also discloses a kind of quantization hedging portfolio method of commerce, suitable for being executed in computing device, with reference to figure 3,
Show the quantization hedging portfolio method of commerce flow chart of one embodiment of the invention, this approach includes the following steps：
Step 301, multiple targets and its corresponding spin-off are obtained.
Target in the present embodiment will be illustrated by taking stock as an example, and user filters out branched stock mark from transacting customer end
, and financial derivatives corresponding with stock, the financial derivatives include stock future, stock index futures, stock option,
Stock index option, using the branched stock and corresponding financial derivatives as target analyte.Meanwhile from third number formulary
The real time price of above-mentioned multiple targets and corresponding spin-off and the financial performance of multiple targets are obtained according to platform.
Step 302, sampling by classification is carried out to the multiple target and forms one or more combination targets, determine the combination
The weight of each target in target.
Using ranked-set method, the achievement of above-mentioned multiple targets is ranked up, in the present embodiment, achievement includes financial season
It is one or more in the financial data embodied on report, including but not limited to corporate sales volume, gross profit, profit margin.
It screens several forward targets of achievement and forms Object of Transaction, determine the shared power of every stock in the Object of Transaction
Weight.
In another embodiment, several targets of screening achievement rearward form Object of Transaction, determine in the Object of Transaction
Weight shared by every stock.
In the particular embodiment, the quantity of Object of Transaction is not limited in any way, specifically may include one or more.
Step 303, transaction is combined to the combination target and spin-off.
Hedging portfolio transaction is carried out to the Object of Transaction according to above-mentioned weight, buys in achievement Object of Transaction in the top,
Sell corresponding spin-off simultaneously.
In another embodiment, spin-off is bought in, achievement is sold and ranks behind Object of Transaction.
In another embodiment, compare price differential or the rate of exchange of Object of Transaction and spin-off, in the present embodiment, the price differential or
The rate of exchange are the difference of the real time price of the Object of Transaction of same units and the spin-off of same units or the ratio of real time price.
Optionally, when the price differential or the rate of exchange of Object of Transaction and spin-off are greater than or equal to a certain appropriate threshold, friendship is sold
Easy target buys corresponding spin-off, or processing of closing a position；When the price differential or the rate of exchange of Object of Transaction and spin-off are less than a certain conjunction
When suitable threshold value, bought deal target sells corresponding spin-off, or processing of closing a position.Above-mentioned threshold value and dealing amount are pre- by user
If this implementation is limited in any way not to this.
In the present embodiment, B is alternatively the combination of corresponding multiple derived products, and the power of each derived product is optionally arranged
Weight, and according to above-mentioned weight calculation real time price and be traded.
Example IV
The present invention provides a kind of quantization hedging portfolio transaction system, suitable for residing in computing device.With reference to figure 4, show
Quantization hedging portfolio transaction system of the invention, including following module：
Target acquisition module 401 is suitable for screening multiple targets and its corresponding spin-off.
Sampling composite module 402 to form one or more combination targets suitable for being sampled to the multiple target, determine
The weight of each target in the combination target.
Random assortment sampling is carried out to above-mentioned multiple targets based on arbitrary sampling method, all kinds of sampling targets are combined
One or more combination targets are formed, each target that combines includes one or more targets, determines each branch stock in each combination
Shared weight.
In another embodiment, using ranked-set method, the achievement of above-mentioned multiple targets is ranked up, the present embodiment
In, achievement includes the financial data embodied on financial quarterly report, including but not limited in corporate sales volume, gross profit, profit margin
It is one or more.
It screens several forward targets of achievement and forms Object of Transaction, determine the shared power of every stock in the Object of Transaction
Weight.
Or several targets of screening achievement rearward form Object of Transaction, determine in the Object of Transaction shared by every stock
Weight.
In the particular embodiment, the classification of Object of Transaction is not limited in any way, specifically may include one or more.
Transaction modules 403 are combined, are suitable for the combination target and spin-off carrying out hedging portfolio transaction.
Price differential or the rate of exchange for comparing the combination target and spin-off, based on price differential or the rate of exchange to the combination target with spread out
Health product is combined transaction.
One group of combination target is chosen as Object of Transaction, compares price differential or the rate of exchange of Object of Transaction and spin-off, this implementation
In example, the price differential or the rate of exchange are the real time price of the Object of Transaction of same units and the spin-off of same units difference or real-time valence
The ratio of lattice.
When Object of Transaction and spin-off price differential or the rate of exchange be greater than or equal to predetermined threshold value, sell Object of Transaction, buy phase
The spin-off answered；When the price differential or the rate of exchange of Object of Transaction and spin-off are less than predetermined threshold value, bought deal target is sold corresponding
Spin-off；When the price differential or the rate of exchange of Object of Transaction and spin-off are more than appropriate threshold, close a position；When Object of Transaction and spin-off
When price differential or the rate of exchange are less than appropriate threshold, close a position.
In another embodiment, hedging portfolio transaction is carried out to the Object of Transaction according to above-mentioned weight, buys in achievement ranking
Forward Object of Transaction, while selling corresponding spin-off；Or spin-off is bought in, it sells achievement and ranks behind Object of Transaction.
Embodiment five
The present embodiment also provides a kind of computing device, including：
One or more processors；
Memory；And
One or more programs, wherein one or more of programs are stored in the memory and are configured as by institute
One or more processors execution is stated, one or more of programs include for executing the either method in following method：
(1) multiple targets and its corresponding spin-off are screened；
(2) sampling by classification is carried out to the multiple target and forms one or more combination targets, determine the combination target
In each target weight；
(3) the combination target and spin-off are subjected to hedging portfolio transaction.
Embodiment six
The present embodiment also provides a kind of computer storage media, and the storage medium is stored with one or more programs, institute
It includes instruction to state one or more programs, and described instruction is when executed by a computing apparatus so that the computing device executes as follows
Either method in method：
(1) multiple targets and its corresponding spin-off are screened；
(2) sampling by classification is carried out to the multiple target and forms one or more combination targets, determine the combination target
In each target weight；
(3) the combination target and spin-off are subjected to hedging portfolio transaction.
Method and apparatus described in above-described embodiment can specifically realize by computer chip or entity, or by having certain
The product of function is realized, wherein a kind of typical equipment is computer.Specifically, computer can be personal computer, clothes
Business device, laptop computer, cellular phone, camera phone, smart phone, personal digital assistant, media player, navigation are set
The group of any equipment in standby, electronic mail equipment, game console platform, tablet computer, wearable device or these equipment
It closes.
It will be understood by those skilled in the art that the embodiment of the present invention can providing method, system or computer program product.
Therefore, complete hardware embodiment, complete software embodiment or embodiment combining software and hardware aspects can be used in the present invention
Form.It available is deposited moreover, the computer that one or more wherein includes computer usable program code can be used in the present invention
The shape for the computer program product implemented on storage media (including but not limited to magnetic disk storage, CD, ROM, optical memory etc.)
Formula.
Example the above is only the implementation of the present invention is not intended to restrict the invention.To those skilled in the art,
The invention may be variously modified and varied.It is all within spirit and principles of the present invention made by any modification, equivalent replacement,
Improve etc., it should be included within scope of the presently claimed invention.
Claims (10)
1. a kind of quantization hedging portfolio method of commerce, suitable for being executed in computing device, which is characterized in that include the following steps：
(1) multiple targets and its corresponding spin-off are screened；
(2) the multiple target is sampled to form one or more combination targets, determines each target in the combination target
Weight；
(3) the combination target and spin-off are subjected to hedging portfolio transaction.
2. quantization hedging portfolio method of commerce according to claim 1, which is characterized in that the step (2) is specifically wrapped
It includes：
Target is classified：The target is divided into different classifications based on basic side information or technological side information；
Sampling：The target of the multiple classification is sampled based on arbitrary sampling method, respectively carries out all kinds of sampling targets
Combination forms one or more combination targets, and the target quantity of all kinds of combination targets is consistent；
Determine the weight of each target in all kinds of combination targets.
3. quantization hedging portfolio method of commerce according to claim 1 or 2, which is characterized in that in step (2), the pumping
Quadrat method includes dynamic cataloging sampling, is drawn the target classification into Mobile state based on real-time basic side information or technological side information
Point, and random sampling is carried out to the multiple classification.
4. quantization hedging portfolio method of commerce according to claim 2, which is characterized in that further include to the combination target
The step of survey is fetched survey effect and is preferably combined as Object of Transaction；
Described time survey effect includes：Alpha's income, beta income, Sharpe Ratio, income withdraw ratio, maximum is withdrawn, profit and loss ratio,
It is one or more in continuous loss period, continuous profit period.
5. quantization hedging portfolio method of commerce according to claim 1, which is characterized in that the step (3) specifically includes：
Price differential or the rate of exchange for comparing the combination target and spin-off, based on price differential or the rate of exchange to the combination target and spin-off
It is combined transaction；
The price differential or the rate of exchange are price differential or the rate of exchange of the Object of Transaction and spin-off of same units.
6. quantization hedging portfolio method of commerce according to claim 1, which is characterized in that the step (2) is specifically wrapped
It includes：
Ranked-set method is ranked up the achievement of the multiple target, and achievement is forward or achievement target composition rearward for screening
Object of Transaction；
Determine the weight of each target in the combination target；
The achievement includes one or more in corporate sales volume, gross profit, profit margin.
7. quantization hedging portfolio method of commerce according to claim 1 or 6, which is characterized in that the combination method of commerce
Including：
The forward Object of Transaction of achievement is bought in, while selling spin-off；
Or spin-off is bought in, sell achievement Object of Transaction rearward.
8. a kind of quantized combinations transaction system, suitable for residing in computing device, which is characterized in that comprise the following modules：
Target acquisition module is suitable for screening multiple targets and its corresponding spin-off；
Sampling composite module to form one or more combination targets suitable for being sampled to the multiple target, determine described group
Close the weight of each target in target；
Transaction modules are combined, are suitable for the combination target and spin-off carrying out hedging portfolio transaction.
9. a kind of computing device, including：
One or more processors；
Memory；And
One or more programs, wherein one or more of programs are stored in the memory and are configured as by described one
A or multiple processors execute, and one or more of programs include being liquidated according to quantization described in claim 1-7 for executing
Combine the instruction of the either method in method of commerce.
10. a kind of computer storage media, the storage medium is stored with one or more programs, one or more of programs
Including instruction, described instruction is when executed by a computing apparatus so that the computing device execution is measured according to described in claim 1-7
Change the either method in hedging portfolio method of commerce.
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Cited By (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN109766348A (en) * | 2018-11-26 | 2019-05-17 | 武汉谱数科技有限公司 | The synchronization graphic display system and method for multi items Object of Transaction |
| CN110781172A (en) * | 2019-09-29 | 2020-02-11 | 上海银赛计算机科技有限公司 | Calculation method, system and medium for flat bin threshold of option null head strategy |
| TWI806391B (en) * | 2022-01-27 | 2023-06-21 | 台北富邦商業銀行股份有限公司 | Digital wealth management trust investment management system |
-
2018
- 2018-02-09 CN CN201810132111.6A patent/CN108416673A/en active Pending
Cited By (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN109766348A (en) * | 2018-11-26 | 2019-05-17 | 武汉谱数科技有限公司 | The synchronization graphic display system and method for multi items Object of Transaction |
| CN110781172A (en) * | 2019-09-29 | 2020-02-11 | 上海银赛计算机科技有限公司 | Calculation method, system and medium for flat bin threshold of option null head strategy |
| TWI806391B (en) * | 2022-01-27 | 2023-06-21 | 台北富邦商業銀行股份有限公司 | Digital wealth management trust investment management system |
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