CN108681968A - Stock sells method for early warning, device and computer readable storage medium - Google Patents
Stock sells method for early warning, device and computer readable storage medium Download PDFInfo
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Abstract
The invention discloses a B shareBs to sell method for early warning, and this method includes：Obtain transaction data of the component stock of target market index within continuous multiple days of trade before current trading day；The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；It counts Hurst Exponent in the index of target market and is less than 0.5 component stock, and calculate circulation accounting of component stock of the Hurst Exponent less than 0.5 in the whole components stock of target market index；If the circulation accounting is more than predetermined threshold value, judge that target market index currently has downward tendency, and export the target market index sells pre-warning signal.The present invention also proposes that a B shareB sells prior-warning device and a kind of computer readable storage medium.The present invention improves the accuracy that stock sells early warning, reduces transaction risk.
Description
Technical field
The present invention relates to technical field of data processing more particularly to a B shareB to sell method for early warning, device and computer
Readable storage medium storing program for executing.
Background technology
With the foundation and development of China's securities market, listed company is increasing, participates in the investment of listed stock's investment
The quantity of person, especially medium-sized and small enterprises and individual are expanding rapidly.For investor, need to know when selling and sell
On stock keep higher investment repayment to reduce investment risk, there are various stocks to sell early warning on the market at present
Mechanism, such as analyzed by data such as business circumstance, annual various quarters financial statements to listed company, or pass through
The common technology analytic approach of some such as k lineations opinion, Wave Theory, Moving Average theory and technology index analysis is come to stock
Opportunity of selling make early warning, but these methods are disadvantageous in that sentencing for the subjective experience of dependency analysis person too much
It is disconnected, cause the accuracy for selling pre-warning signal by stock obtained by the above method low, and then cause transaction risk higher.
Invention content
The present invention provides a B shareB and sells method for early warning, device and computer readable storage medium, and main purpose exists
The accuracy of early warning is sold in raising stock, reduces transaction risk.
To achieve the above object, the present invention also provides a B shareBs to sell method for early warning, and this method includes：
Obtain transaction data of the component stock of target market index within continuous multiple days of trade before current trading day；
The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；
It counts Hurst Exponent in the target market index and is less than 0.5 component stock, and calculate Hurst Exponent and be less than
Circulation accounting of 0.5 component stock in the whole components stock of the target market index；
If the circulation accounting is more than predetermined threshold value, judge that target market index currently has downward tendency, and export
The target market index sells pre-warning signal.
Optionally, the transaction data is the closing price data of minute rank, described to be calculated according to the transaction data of acquisition
The step of Hurst Exponent of component stock includes：
The minute rank closing price data of component stock are converted to the logarithmic return of minute rank；
Be divided into the subinterval of multiple equal lengths according to preset subinterval length, according to the minute multiple days of trade
The logarithmic return of rank is calculated as the logarithmic return in the subinterval of share split；
The accumulated deviation sequence in subinterval is built according to the logarithmic return of calculating；
The corresponding rescaled range value in each subinterval is calculated according to the accumulated deviation sequence and the standard deviation in subinterval；
The Hurst Exponent of share split is calculated as according to the corresponding rescaled range value of different subinterval length.
Optionally, before described the step of minute rank closing price data are converted to the logarithmic return of minute rank,
The method further includes step：
The closing price data of acquisition are cleaned to reject the null value in closing price data.
Optionally, the Hurst Exponent that share split is calculated as according to the corresponding rescaled range value of different subinterval length
Step includes：
Linear regression is done to rescaled range value of the component stock under different subinterval length according to least-squares algorithm, is obtained
Regression coefficient, using the regression coefficient as the Hurst Exponent of component stock.
Optionally, whole components of component stock of the calculating Hurst Exponent less than 0.5 in the target market index
Stock in circulation accounting the step of include：
Obtain total circulation of component stock of the Hurst Exponent less than 0.5 before current trading day starts in the index of target market
Market value；
According to following formula calculate Hurst Exponent less than 0.5 component stock the target market index whole components
Circulation accounting w in stocki：
Wherein, IiFor indicative function, work as Hi<When 0.5, IiValue is 1, otherwise, IiValue is 0, SiIt is component stock i current
Circulation value before starting the day of trade, M are the total quantity of component stock in the target market index.
In addition, to achieve the above object, the present invention also provides a B shareBs to sell prior-warning device, which includes memory
And processor, the stock that can be run on the processor is stored in the memory and sells early warning program, and the stock is sold
Go out when early warning program is executed by the processor and realizes following steps：
Obtain transaction data of the component stock of target market index within continuous multiple days of trade before current trading day；
The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；
It counts Hurst Exponent in the target market index and is less than 0.5 component stock, and calculate Hurst Exponent and be less than
Circulation accounting of 0.5 component stock in the whole components stock of the target market index；
If the circulation accounting is more than predetermined threshold value, judge that target market index currently has downward tendency, and export
The target market index sells pre-warning signal.
Optionally, the transaction data is the closing price data of minute rank, described to be calculated according to the transaction data of acquisition
The step of Hurst Exponent of component stock includes：
The minute rank closing price data of component stock are converted to the logarithmic return of minute rank；
Be divided into the subinterval of multiple equal lengths according to preset subinterval length, according to the minute multiple days of trade
The logarithmic return of rank is calculated as the logarithmic return in the subinterval of share split；
The accumulated deviation sequence in subinterval is built according to the logarithmic return of calculating；
The corresponding rescaled range value in each subinterval is calculated according to the accumulated deviation sequence and the standard deviation in subinterval；
The Hurst Exponent of share split is calculated as according to the corresponding rescaled range value of different subinterval length.
Optionally, before described the step of minute rank closing price data are converted to the logarithmic return of minute rank,
The method further includes step：
The closing price data of acquisition are cleaned to reject the null value in closing price data.
Optionally, whole components of component stock of the calculating Hurst Exponent less than 0.5 in the target market index
Stock in circulation accounting the step of include：
Obtain total circulation of component stock of the Hurst Exponent less than 0.5 before current trading day starts in the index of target market
Market value；
According to following formula calculate Hurst Exponent less than 0.5 component stock the target market index whole components
Circulation accounting w in stocki：
Wherein, IiFor indicative function, work as Hi<When 0.5, IiValue is 1, otherwise, IiValue is 0, SiIt is component stock i current
Circulation value before starting the day of trade, M are the total quantity of component stock in the target market index.
In addition, to achieve the above object, it is described computer-readable the present invention also provides a kind of computer readable storage medium
It is stored with stock on storage medium and sells early warning program, the stock is sold early warning program and can be held by one or more processor
Row, to realize the step of stock as described above sells method for early warning.
Stock proposed by the present invention sells method for early warning, device and computer readable storage medium, obtains target market and refers to
Transaction data of several component stocks within continuous multiple days of trade before current trading day；It is calculated according to the transaction data of acquisition
The Hurst Exponent of component stock；It counts Hurst Exponent in the index of target market and is less than 0.5 component stock, and calculate Hess and refer in particular to
Circulation accounting of component stock of the number less than 0.5 in the whole components stock of target market index；If the accounting that circulates is more than default threshold
Value, then export target market index sells pre-warning signal.Due to Hurst Exponent can measure time sequence whether have length
Phase is remembered, and calculates the Hurst Exponent of stock in the present invention by the transaction data to stock in continuous multiple days of trade, when
When Hurst Exponent is less than 0.5, illustrate that the stock maximum probability can invert, that is, there is the trend for returning to history starting point, meanwhile, by
The circulation value of stock has decisive impact marketing mood in stock market, when the component stock with reversal trend
When circulation accounting of the circulation value in the circulation value of the whole components stock of target market index is larger, other component stocks
The probability that drops is also very big, and the present invention is combined into the Hurst Exponent of share split and the market value of stock, realize it is a kind of independent of
The stock of artificial subjective experience sells early warning mechanism, improves the accuracy that stock sells early warning, reduces transaction risk.
Description of the drawings
Fig. 1 is the flow diagram that the stock that one embodiment of the invention provides sells method for early warning；
Fig. 2 is the internal structure schematic diagram that the stock that one embodiment of the invention provides sells prior-warning device；
Fig. 3 is the module signal that the stock that one embodiment of the invention provides sells that stock in prior-warning device sells early warning program
Figure.
The embodiments will be further described with reference to the accompanying drawings for the realization, the function and the advantages of the object of the present invention.
Specific implementation mode
It should be appreciated that the specific embodiments described herein are merely illustrative of the present invention, it is not intended to limit the present invention.
The present invention provides a B shareB and sells method for early warning.It is the stock that one embodiment of the invention provides shown in referring to Fig.1
Sell the flow diagram of method for early warning.This method can be executed by a device, which can be real by software and/or hardware
It is existing.
In the present embodiment, stock sells method for early warning and includes：
Step S10 obtains the component stock of target market index within continuous multiple days of trade before current trading day
Transaction data.
Step S20 is calculated as the Hurst Exponent of share split according to the transaction data of acquisition.
In the present embodiment, the target market index as early warning object can be the indexes such as upper card composite, Shanghai and Shenzhen 300, this
In embodiment by taking Shanghai and Shenzhen 300 as an example, the transaction data of the continuous D day of trade of the Shanghai and Shenzhen 300 before current trading day, meter are obtained
It is counted as the Hurst Exponent of share split.Optionally, in one embodiment, transaction data is the closing price data of minute rank.
Specifically, transaction data is the closing price data of minute rank, the transaction data calculating composition according to acquisition
The step of Hurst Exponent of stock may include following refinement step：
The minute rank closing price data of component stock are converted to the logarithmic return of minute rank；
Be divided into the subinterval of multiple equal lengths according to preset subinterval length, according to the minute multiple days of trade
The logarithmic return of rank is calculated as the logarithmic return in the subinterval of share split；
The accumulated deviation sequence in subinterval is built according to the logarithmic return of calculating；
The corresponding rescaled range value in each subinterval is calculated according to the accumulated deviation sequence and the standard deviation in subinterval；
The Hurst Exponent of share split is calculated as according to the corresponding rescaled range value of different subinterval length.
Below by taking D=10 as an example, continuous 10 day of trade of the component stock of Shanghai and Shenzhen 300 before current trading day is extracted
The exchange hour of interior, per minute closing price data, each day of trade is 4 hours, i.e., 240 minutes, then a component stock is one
There are 240 closing price data in a day of trade, data cleansing carried out to reject the null value in data to the closing price data of extraction,
According to the closing price data after data cleansing have been carried out, the logarithmic return of 1 minute rank of every component stock, logarithm income are calculated
Rate overcomes the asymmetry of ordinary income rate compared with ordinary income rate, and the formula of logarithmic return is calculated such as according to closing price
Under：
Wherein,The logarithmic return of minute rank for component stock i from time point t-1 to time point t,For component stock
I time point t closing price,For component stock i time point t-1 closing price.
Assuming that preset subinterval length is n minutes, be then divided into the son of k=240D/n equal length the D day of trade
Section calculates the logarithmic return mean value in each subinterval, and the subinterval is built according to the logarithmic return mean value of calculating
Then accumulated deviation sequence calculates the corresponding R/S in each subinterval according to the standard deviation of accumulated deviation sequence and each subinterval
It is worth (i.e. rescaled range value).For example, n=10, then can be divided into the subinterval of 240 equal lengths, i.e. k above-mentioned 10 day of trade
=240, each subinterval corresponds to the closing price data of 10 minute ranks, using the mean value of this 10 data as the subinterval
Logarithmic return.
Then, as unit of subinterval, the accumulated deviation sequence of logarithmic returns of the structure component stock i in k-th of subinterval
Row
Wherein,The logarithmic return average value for being constituent stocks i in k-th of subinterval, accumulated deviation sequenceTool
Body meaning is, for logarithmic return sequenceBefore calculating separately in T sequential value and subinterval it is average to earning rate from
Then difference is summed, the value range of T is 1-n, and n deviation is calculated in this way, constitutes deviation sequence.
It is calculated as the standard deviation of logarithmic returns of the share split i in k-th of subinterval
According to the standard deviation of the accumulated deviation sequence and subinterval, share split i is calculated as in k-th of son according to following formula
The R/S values in section；
Wherein,Be to accumulated deviation sequence maximizing,
It is to minimize to accumulated deviation sequence.For the standard deviation of logarithmic returns of the stock i in subinterval.
Next, the average value of the R/S values in k subinterval is calculated, as component stock i when subinterval length is n
R/S values.
Change the value of the length n in subinterval, for example, n=15 is enabled, 20,24,25,30,40,48,50,60,75,80,100,
120,240,480, in the case where n takes different value, above-mentioned steps are repeated, calculate the component stock under different subinterval length
The R/S values of i.
Linear regression is done to rescaled range value of the component stock under different subinterval length according to least-squares algorithm, is obtained
Regression coefficient, using the regression coefficient as the Hurst Exponent of component stock.
The Hurst Exponent of each component stock is calculated in the manner described above.
Said program is in the Hurst Exponent for being calculated as share split, in terms of parameter selection, using minute grade in the day of trade
Other closing price data are converted into the logarithmic return of minute rank, and will continuously be divided into more multiple days of trade
The subinterval of quantity, the accumulated deviation sequence in subinterval is built by the logarithmic return of minute rank, and the benefit done so exists
In not only logarithmic return overcomes the asymmetry of ordinary income rate relative to ordinary income rate, improves Hurst Exponent
Accuracy；And using the earning rate data of smaller time granularity accumulated deviation sequence is established, it further increases and is calculated
The accuracy of Hurst Exponent.
Step S30 counts Hurst Exponent in the target market index and is less than 0.5 component stock, and calculates Hirst
Circulation accounting of component stock of the index less than 0.5 in the whole components stock of the target market index.
Step S40 judges that target market index currently there is drop to become if the circulation accounting is more than predetermined threshold value
Gesture, and export the target market index sells pre-warning signal.
After the Hurst Exponent that each component stock is calculated, Hess in 300 component stocks of Shanghai and Shenzhen 300 is counted
Component stock of the number less than 0.5 is refered in particular to, and calculates circulation accounting of these component stocks in 300 component stocks, that is, calculates Hirst
The circulation value of component stock the sum of of the index less than 0.5 accounts for the proportion of the sum of circulation value of whole components stock.Specifically, it obtains
Total circulation value of component stock of the Hurst Exponent less than 0.5 before current trading day starts in the index of target market；According to such as
Lower formula calculates circulation accounting of component stock of the Hurst Exponent less than 0.5 in the whole components stock of the target market index
wi：
Wherein, IiFor indicative function, work as Hi<When 0.5, IiValue is 1, otherwise, IiValue is 0, SiIt is component stock i current
Circulation value before starting the day of trade, M are the total quantity of component stock in the target market index.For target market
The circulation value of index whole components stock, It is less than 0.5 component stock for Hurst Exponent
The sum of circulation value.
Wherein, the value range of predetermined threshold value is preferably 0.5-0.618, as circulation accounting wiIt is defeated when more than predetermined threshold value
Go out pre-warning signal.
Since Hurst Exponent is an index for whether having long-term memory for measure time sequence, in the range of [0,
1].Hurst Exponent>0.5, memory is strong, and following increment is related to past increment, continues the possibility for keeping existing trend
By force.Hurst Exponent<0.5, it is more likely that be memory turn it is weak, the beginning that trend terminates and inverts, exponential number is closer to 0.5
Illustrate that randomness is stronger, can not judge to move towards, therefore, incited somebody to action in the present embodiment [0,0.5) it is used as early warning section, when the Hess of personal share
Numerical digit is refered in particular to when this section, illustrates that it has the trend for returning to history starting point, if consolidation is shaken in market in a high position,
With downward tendency.The principle that early warning is carried out in conjunction with Hurst Exponent and circulation accounting is：When Hurst Exponent is less than 0.5
When, time series maximum probability can invert, that is, have the tendency that returning to history starting point, and the market value factor pair market in stock market is handed over
Easy mood has decisive impact, when the circulation value of the component stock with this trend is larger, i.e., when circulation value compared with
When big weight stock starts drop, remaining personal share also has been difficult to good performance, and the probability of drop is also larger, therefore, is flowing
Pre-warning signal is sold in output when logical accounting is more than predetermined threshold value, can be given one early warning of user, be sold in time, reduce stock exchange
Risk.
The stock that the present embodiment proposes sells method for early warning, obtain the component stock of target market index current trading day it
Transaction data in preceding continuous multiple days of trade；The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；Statistics
Hurst Exponent is less than 0.5 component stock in the index of target market, and calculates component stock of the Hurst Exponent less than 0.5 in target
Circulation accounting in the whole components stock of market index；If the accounting that circulates is more than predetermined threshold value, target market index is exported
Sell pre-warning signal.Due to Hurst Exponent can measure time sequence whether have long-term memory, the present invention in by stock
Transaction data of the ticket in continuous multiple days of trade calculates the Hurst Exponent of stock, when Hurst Exponent is less than 0.5, explanation
The stock maximum probability can invert, that is, have return history starting point trend, simultaneously as in stock market stock circulation value pair
Marketing mood has decisive impact, when the circulation value of the component stock with reversal trend is in target market index
When circulation accounting in the circulation value of whole components stock is larger, the drop probability of other component stocks is also very big, the present invention
Be combined into the Hurst Exponent of share split and the market value of stock, realize a kind of stock independent of artificial subjective experience sell it is pre-
Alert mechanism improves the accuracy that stock sells early warning, reduces transaction risk.
The present invention also provides a B shareBs to sell prior-warning device.It is the stock that one embodiment of the invention provides with reference to shown in Fig. 2
Ticket sells the internal structure schematic diagram of prior-warning device.
In the present embodiment, it can be PC (Personal Computer, PC) that stock, which sells prior-warning device 1,
Can be the terminal devices such as smart mobile phone, tablet computer, pocket computer.The stock sells prior-warning device 1 and includes at least storage
Device 11, processor 12, network interface 13 and communication bus.
Wherein, memory 11 include at least a type of readable storage medium storing program for executing, the readable storage medium storing program for executing include flash memory,
Hard disk, multimedia card, card-type memory (for example, SD or DX memories etc.), magnetic storage, disk, CD etc..Memory 11
Can be the internal storage unit that stock sells prior-warning device 1 in some embodiments, such as the stock sells prior-warning device 1
Hard disk.Memory 11 can also be the External memory equipment that stock sells prior-warning device 1, such as stock in further embodiments
Sell the plug-in type hard disk being equipped on prior-warning device 1, intelligent memory card (Smart Media Card, SMC), secure digital
(Secure Digital, SD) blocks, flash card (Flash Card) etc..Further, memory 11 can also both include stock
The internal storage unit for selling prior-warning device 1 also includes External memory equipment.Memory 11 can be not only used for storage and be installed on
Stock sells the application software and Various types of data of prior-warning device 1, such as stock sells the code etc. of early warning program 01, can also use
In temporarily storing the data that has exported or will export.
Processor 12 can be in some embodiments a central processing unit (Central Processing Unit,
CPU), controller, microcontroller, microprocessor or other data processing chips, the program for being stored in run memory 11
Code or processing data, such as execute stock and sell early warning program 01 etc..
Network interface 13 may include optionally standard wireline interface and wireless interface (such as WI-FI interface), be commonly used in
Communication connection is established between the device 1 and other electronic equipments.
Communication bus is for realizing the connection communication between these components.
Optionally, which can also include user interface, and user interface may include display (Display), input
Unit such as keyboard (keyboard), optional user interface can also include standard wireline interface and wireless interface.It is optional
Ground, in some embodiments, display can be light-emitting diode display, liquid crystal display, touch-control liquid crystal display and OLED
(Organic Light-Emitting Diode, Organic Light Emitting Diode) touches device etc..Wherein, display can also be appropriate
Referred to as display screen or display unit sell the information handled in prior-warning device 1 and for showing visually for being shown in stock
The user interface of change.
Fig. 2, which is illustrated only, to be sold the stock of early warning program 01 with component 11-13 and stock and sells prior-warning device 1, this
Field technology personnel, can be with it is understood that the structure shown in Fig. 1 does not constitute the restriction for selling prior-warning device 1 to stock
Including either combining certain components or different components arrangement than illustrating less either more components.
In 1 embodiment of device shown in Fig. 2, it is stored with stock in memory 11 and sells early warning program 01；Processor 12
It executes when the stock stored in memory 11 sells early warning program 01 and realizes following steps：
Obtain transaction data of the component stock of target market index within continuous multiple days of trade before current trading day.
The Hurst Exponent of share split is calculated as according to the transaction data of acquisition.
It counts Hurst Exponent in the target market index and is less than 0.5 component stock, and calculate Hurst Exponent and be less than
Circulation accounting of 0.5 component stock in the whole components stock of the target market index.
If the circulation accounting is more than predetermined threshold value, judge that target market index currently has downward tendency, and export
The target market index sells pre-warning signal.
In the present embodiment, the target market index as early warning object can be the indexes such as upper card composite, Shanghai and Shenzhen 300, this
In embodiment by taking Shanghai and Shenzhen 300 as an example, the transaction data of the continuous D day of trade of the Shanghai and Shenzhen 300 before current trading day, meter are obtained
It is counted as the Hurst Exponent of share split.Optionally, in one embodiment, transaction data is the closing price data of minute rank.
Specifically, transaction data is the closing price data of minute rank, the transaction data calculating composition according to acquisition
The step of Hurst Exponent of stock may include following refinement step：
The minute rank closing price data of component stock are converted to the logarithmic return of minute rank；
Be divided into the subinterval of multiple equal lengths according to preset subinterval length, according to the minute multiple days of trade
The logarithmic return of rank is calculated as the logarithmic return in the subinterval of share split；
The accumulated deviation sequence in subinterval is built according to the logarithmic return of calculating；
The corresponding rescaled range value in each subinterval is calculated according to the accumulated deviation sequence and the standard deviation in subinterval；
The Hurst Exponent of share split is calculated as according to the corresponding rescaled range value of different subinterval length.
Below by taking D=10 as an example, continuous 10 day of trade of the component stock of Shanghai and Shenzhen 300 before current trading day is extracted
The exchange hour of interior, per minute closing price data, each day of trade is 4 hours, i.e., 240 minutes, then a component stock is one
There are 240 closing price data in a day of trade, data cleansing carried out to reject the null value in data to the closing price data of extraction,
According to the closing price data after data cleansing have been carried out, the logarithmic return of 1 minute rank of every component stock, logarithm income are calculated
Rate overcomes the asymmetry of ordinary income rate compared with ordinary income rate, and the formula of logarithmic return is calculated such as according to closing price
Under：
Wherein,The logarithmic return of minute rank for component stock i from time point t-1 to time point t,For component stock
I time point t closing price,For component stock i time point t-1 closing price.
Assuming that preset subinterval length is n minutes, be then divided into the son of k=240D/n equal length the D day of trade
Section calculates the logarithmic return mean value in each subinterval, and the subinterval is built according to the logarithmic return mean value of calculating
Then accumulated deviation sequence calculates the corresponding R/S in each subinterval according to the standard deviation of accumulated deviation sequence and each subinterval
It is worth (i.e. rescaled range value).For example, n=10, then can be divided into the subinterval of 240 equal lengths, i.e. k above-mentioned 10 day of trade
=240, each subinterval corresponds to the closing price data of 10 minute ranks, using the mean value of this 10 data as the subinterval
Logarithmic return.
Then, as unit of subinterval, the accumulated deviation sequence of logarithmic returns of the structure component stock i in k-th of subinterval
Row
Wherein,The logarithmic return average value for being constituent stocks i in k-th of subinterval, accumulated deviation sequenceTool
Body meaning is, for logarithmic return sequenceBefore calculating separately in T sequential value and subinterval it is average to earning rate from
Then difference is summed, the value range of T is 1-n, and n deviation is calculated in this way, constitutes deviation sequence.
It is calculated as the standard deviation of logarithmic returns of the share split i in k-th of subinterval
According to the standard deviation of the accumulated deviation sequence and subinterval, share split i is calculated as in k-th of son according to following formula
The R/S values in section；
Wherein,Be to accumulated deviation sequence maximizing,
It is to minimize to accumulated deviation sequence.For the standard deviation of logarithmic returns of the stock i in subinterval.
Next, the average value of the R/S values in k subinterval is calculated, as component stock i when subinterval length is n
R/S values.
Change the value of the length n in subinterval, for example, n=15 is enabled, 20,24,25,30,40,48,50,60,75,80,100,
120,240,480, in the case where n takes different value, above-mentioned steps are repeated, calculate the component stock under different subinterval length
The R/S values of i.
Linear regression is done to rescaled range value of the component stock under different subinterval length according to least-squares algorithm, is obtained
Regression coefficient, using the regression coefficient as the Hurst Exponent of component stock.
The Hurst Exponent of each component stock is calculated in the manner described above.
Said program is in the Hurst Exponent for being calculated as share split, in terms of parameter selection, using minute grade in the day of trade
Other closing price data are converted into the logarithmic return of minute rank, and will continuously be divided into more multiple days of trade
The subinterval of quantity, the accumulated deviation sequence in subinterval is built by the logarithmic return of minute rank, and the benefit done so exists
In not only logarithmic return overcomes the asymmetry of ordinary income rate relative to ordinary income rate, improves Hurst Exponent
Accuracy；And using the earning rate data of smaller time granularity accumulated deviation sequence is established, it further increases and is calculated
The accuracy of Hurst Exponent.
After the Hurst Exponent that each component stock is calculated, Hess in 300 component stocks of Shanghai and Shenzhen 300 is counted
Component stock of the number less than 0.5 is refered in particular to, and calculates circulation accounting of these component stocks in 300 component stocks, that is, calculates Hirst
The circulation value of component stock the sum of of the index less than 0.5 accounts for the proportion of the sum of circulation value of whole components stock.Specifically, it obtains
Total circulation value of component stock of the Hurst Exponent less than 0.5 before current trading day starts in the index of target market；According to such as
Lower formula calculates circulation accounting of component stock of the Hurst Exponent less than 0.5 in the whole components stock of the target market index
wi：
Wherein, IiFor indicative function, work as Hi<When 0.5, IiValue is 1, otherwise, IiValue is 0, SiIt is component stock i current
Circulation value before starting the day of trade, M are the total quantity of component stock in the target market index.For target market
The circulation value of index whole components stock, It is less than 0.5 component stock for Hurst Exponent
The sum of circulation value.
Wherein, the value range of predetermined threshold value is preferably 0.5-0.618, as circulation accounting wiIt is defeated when more than predetermined threshold value
Go out pre-warning signal.
Since Hurst Exponent is an index for whether having long-term memory for measure time sequence, in the range of [0,
1].Hurst Exponent>0.5, memory is strong, and following increment is related to past increment, continues the possibility for keeping existing trend
By force.Hurst Exponent<0.5, it is more likely that be memory turn it is weak, the beginning that trend terminates and inverts, exponential number is closer to 0.5
Illustrate that randomness is stronger, can not judge to move towards, therefore, incited somebody to action in the present embodiment [0,0.5) it is used as early warning section, when the Hess of personal share
Numerical digit is refered in particular to when this section, illustrates that it has the trend for returning to history starting point, if consolidation is shaken in market in a high position,
With downward tendency.The principle that early warning is carried out in conjunction with Hurst Exponent and circulation accounting is：When Hurst Exponent is less than 0.5
When, time series maximum probability can invert, that is, have the tendency that returning to history starting point, and the market value factor pair market in stock market is handed over
Easy mood has decisive impact, when the circulation value of the component stock with this trend is larger, i.e., when circulation value compared with
When big weight stock starts drop, remaining personal share also has been difficult to good performance, and the probability of drop is also larger, therefore, is flowing
Pre-warning signal is sold in output when logical accounting is more than predetermined threshold value, can be given one early warning of user, be sold in time, reduce stock exchange
Risk.
The stock that the present embodiment proposes sells prior-warning device, obtain the component stock of target market index current trading day it
Transaction data in preceding continuous multiple days of trade；The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；Statistics
Hurst Exponent is less than 0.5 component stock in the index of target market, and calculates component stock of the Hurst Exponent less than 0.5 in target
Circulation accounting in the whole components stock of market index；If the accounting that circulates is more than predetermined threshold value, target market index is exported
Sell pre-warning signal.Due to Hurst Exponent can measure time sequence whether have long-term memory, the present invention in by stock
Transaction data of the ticket in continuous multiple days of trade calculates the Hurst Exponent of stock, when Hurst Exponent is less than 0.5, explanation
The stock maximum probability can invert, that is, have return history starting point trend, simultaneously as in stock market stock circulation value pair
Marketing mood has decisive impact, when the circulation value of the component stock with reversal trend is in target market index
When circulation accounting in the circulation value of whole components stock is larger, the drop probability of other component stocks is also very big, the present invention
Be combined into the Hurst Exponent of share split and the market value of stock, realize a kind of stock independent of artificial subjective experience sell it is pre-
Alert mechanism improves the accuracy that stock sells early warning, reduces transaction risk.
Optionally, in other examples, stock, which sells early warning program, can also be divided into one or more mould
Block, one or more module are stored in memory 11, and (the present embodiment is processor by one or more processors
12) performed to complete the present invention, the so-called module of the present invention is the series of computation machine program for referring to complete specific function
Instruction segment sells implementation procedure of the early warning program in stock sells prior-warning device for describing stock.
Shown in Fig. 3, early warning program is sold for the stock that stock of the present invention is sold in one embodiment of prior-warning device
Program module schematic diagram, in the embodiment, stock, which sells early warning program, can be divided into the meter of data acquisition module 10, first
Module 20, the second computing module 30 and signal output module 40 are calculated, illustratively：
Data acquisition module 10 is used for：The component stock for obtaining target market index is continuous multiple before current trading day
Transaction data in the day of trade；
First computing module 20 is used for：The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；
Second computing module 30 is used for：The component stock that Hurst Exponent in the target market index is less than 0.5 is counted, and
Calculate circulation accounting of component stock of the Hurst Exponent less than 0.5 in the whole components stock of the target market index；
Signal output module 40 is used for：If the circulation accounting is more than predetermined threshold value, judge that target market index is current
With downward tendency, and export the target market index sells pre-warning signal.
The journeys such as above-mentioned data acquisition module 10, the first computing module 20, the second computing module 30 and signal output module 40
Sequence module is performed realized functions or operations step and is substantially the same with above-described embodiment, and details are not described herein.
In addition, the embodiment of the present invention also proposes a kind of computer readable storage medium, the computer readable storage medium
On be stored with stock and sell early warning program, the stock is sold early warning program and can be executed by one or more processors, to realize
Following operation：
Obtain transaction data of the component stock of target market index within continuous multiple days of trade before current trading day；
The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；
It counts Hurst Exponent in the target market index and is less than 0.5 component stock, and calculate Hurst Exponent and be less than
Circulation accounting of 0.5 component stock in the whole components stock of the target market index；
If the circulation accounting is more than predetermined threshold value, judge that target market index currently has downward tendency, and export
The target market index sells pre-warning signal.
Computer readable storage medium specific implementation mode of the present invention sells prior-warning device and each reality of method with above-mentioned stock
It is essentially identical to apply example, does not make tired state herein.
It should be noted that the embodiments of the present invention are for illustration only, can not represent the quality of embodiment.And
The terms "include", "comprise" herein or any other variant thereof is intended to cover non-exclusive inclusion, so that packet
Process, device, article or the method for including a series of elements include not only those elements, but also include being not explicitly listed
Other element, or further include for this process, device, article or the intrinsic element of method.Do not limiting more
In the case of, the element that is limited by sentence "including a ...", it is not excluded that in the process including the element, device, article
Or there is also other identical elements in method.
Through the above description of the embodiments, those skilled in the art can be understood that above-described embodiment side
Method can add the mode of required general hardware platform to realize by software, naturally it is also possible to by hardware, but in many cases
The former is more preferably embodiment.Based on this understanding, technical scheme of the present invention substantially in other words does the prior art
Going out the part of contribution can be expressed in the form of software products, which is stored in one as described above
In storage medium (such as ROM/RAM, magnetic disc, CD), including some instructions use so that a station terminal equipment (can be mobile phone,
Computer, server or network equipment etc.) execute method described in each embodiment of the present invention.
It these are only the preferred embodiment of the present invention, be not intended to limit the scope of the invention, it is every to utilize this hair
Equivalent structure or equivalent flow shift made by bright specification and accompanying drawing content is applied directly or indirectly in other relevant skills
Art field, is included within the scope of the present invention.
Claims (10)
1. a B shareB sells method for early warning, which is characterized in that the stock sells method for early warning and includes：
Obtain transaction data of the component stock of target market index within continuous multiple days of trade before current trading day；
The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；
It counts Hurst Exponent in the target market index and is less than 0.5 component stock, and calculate Hurst Exponent and be less than 0.5
Circulation accounting of the component stock in the whole components stock of the target market index；
If the circulation accounting is more than predetermined threshold value, judge that target market index currently has downward tendency, and described in output
Target market index sells pre-warning signal.
2. stock as described in claim 1 sells method for early warning, which is characterized in that the transaction data is the receipts of minute rank
The step of disk valence mumber evidence, the transaction data according to acquisition is calculated as the Hurst Exponent of share split includes：
The minute rank closing price data of component stock are converted to the logarithmic return of minute rank；
Be divided into the subinterval of multiple equal lengths according to preset subinterval length, according to the minute rank multiple days of trade
Logarithmic return be calculated as share split subinterval logarithmic return；
The accumulated deviation sequence in subinterval is built according to the logarithmic return of calculating；
The corresponding rescaled range value in each subinterval is calculated according to the accumulated deviation sequence and the standard deviation in subinterval；
The Hurst Exponent of share split is calculated as according to the corresponding rescaled range value of different subinterval length.
3. stock as claimed in claim 2 sells method for early warning, which is characterized in that described to turn minute rank closing price data
Before the step of being changed to the logarithmic return of minute rank, the method further includes step：
The closing price data of acquisition are cleaned to reject the null value in closing price data.
4. stock as claimed in claim 2 sells method for early warning, which is characterized in that described to be corresponded to according to different subinterval length
Rescaled range value the step of being calculated as the Hurst Exponent of share split include：
Linear regression is done to rescaled range value of the component stock under different subinterval length according to least-squares algorithm, obtains and returns
Coefficient, using the regression coefficient as the Hurst Exponent of component stock.
5. stock according to any one of claims 1 to 4 sells method for early warning, which is characterized in that the calculating Hirst
The step of circulation accounting of the component stock in the whole components stock of the target market index of the index less than 0.5 includes：
Obtain total circulation city of component stock of the Hurst Exponent less than 0.5 before current trading day starts in the index of target market
Value；
Component stock of the Hurst Exponent less than 0.5 is calculated in the whole components stock of the target market index according to following formula
Circulation accounting wi：
Wherein, IiFor indicative function, work as Hi<When 0.5, IiValue is 1, otherwise, IiValue is 0, SiIt merchandises currently for component stock i
Circulation value before starting day, M are the total quantity of component stock in the target market index.
6. a B shareB sells prior-warning device, which is characterized in that described device includes memory and processor, on the memory
The stock that be stored with to run on the processor sells early warning program, and the stock sells early warning program by the processor
Following steps are realized when execution：
Obtain transaction data of the component stock of target market index within continuous multiple days of trade before current trading day；
The Hurst Exponent of share split is calculated as according to the transaction data of acquisition；
It counts Hurst Exponent in the target market index and is less than 0.5 component stock, and calculate Hurst Exponent and be less than 0.5
Circulation accounting of the component stock in the whole components stock of the target market index；
If the circulation accounting is more than predetermined threshold value, judge that target market index currently has downward tendency, and described in output
Target market index sells pre-warning signal.
7. stock as claimed in claim 6 sells prior-warning device, which is characterized in that the transaction data is the receipts of minute rank
The step of disk valence mumber evidence, the transaction data according to acquisition is calculated as the Hurst Exponent of share split includes：
The minute rank closing price data of component stock are converted to the logarithmic return of minute rank；
Be divided into the subinterval of multiple equal lengths according to preset subinterval length, according to the minute rank multiple days of trade
Logarithmic return be calculated as share split subinterval logarithmic return；
The accumulated deviation sequence in subinterval is built according to the logarithmic return of calculating；
The corresponding rescaled range value in each subinterval is calculated according to the accumulated deviation sequence and the standard deviation in subinterval；
The Hurst Exponent of share split is calculated as according to the corresponding rescaled range value of different subinterval length.
8. stock as claimed in claim 7 sells prior-warning device, which is characterized in that described to turn minute rank closing price data
Before the step of being changed to the logarithmic return of minute rank, the method further includes step：
The closing price data of acquisition are cleaned to reject the null value in closing price data.
9. the stock as described in any one of claim 6 to 8 sells prior-warning device, which is characterized in that the calculating Hirst
The step of circulation accounting of the component stock in the whole components stock of the target market index of the index less than 0.5 includes：
Obtain total circulation city of component stock of the Hurst Exponent less than 0.5 before current trading day starts in the index of target market
Value；
Component stock of the Hurst Exponent less than 0.5 is calculated in the whole components stock of the target market index according to following formula
Circulation accounting wi：
Wherein, IiFor indicative function, work as Hi<When 0.5, IiValue is 1, otherwise, IiValue is 0, SiIt merchandises currently for component stock i
Circulation value before starting day, M are the total quantity of component stock in the target market index.
10. a kind of computer readable storage medium, which is characterized in that be stored with stock on the computer readable storage medium and sell
Go out early warning program, the stock is sold early warning program and can be executed by one or more processor, with realize as claim 1 to
The step of stock described in any one of 5 sells method for early warning.
Priority Applications (2)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201810645020.2A CN108681968A (en) | 2018-06-21 | 2018-06-21 | Stock sells method for early warning, device and computer readable storage medium |
| PCT/CN2018/107482 WO2019242143A1 (en) | 2018-06-21 | 2018-09-26 | Stocks selling early-warning method and apparatus, and computer-readable storage medium |
Applications Claiming Priority (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201810645020.2A CN108681968A (en) | 2018-06-21 | 2018-06-21 | Stock sells method for early warning, device and computer readable storage medium |
Publications (1)
| Publication Number | Publication Date |
|---|---|
| CN108681968A true CN108681968A (en) | 2018-10-19 |
Family
ID=63811896
Family Applications (1)
| Application Number | Title | Priority Date | Filing Date |
|---|---|---|---|
| CN201810645020.2A Withdrawn CN108681968A (en) | 2018-06-21 | 2018-06-21 | Stock sells method for early warning, device and computer readable storage medium |
Country Status (2)
| Country | Link |
|---|---|
| CN (1) | CN108681968A (en) |
| WO (1) | WO2019242143A1 (en) |
Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| WO2019242143A1 (en) * | 2018-06-21 | 2019-12-26 | 平安科技（深圳）有限公司 | Stocks selling early-warning method and apparatus, and computer-readable storage medium |
| CN112330464A (en) * | 2020-12-31 | 2021-02-05 | 北京口袋财富信息科技有限公司 | Data early warning method and system |
Family Cites Families (4)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN103077306A (en) * | 2012-12-31 | 2013-05-01 | 河海大学 | Hurst index-based slope safety evaluation method |
| CN105989536A (en) * | 2015-02-10 | 2016-10-05 | 上海华颂软件科技有限公司 | Individual stock buying-selling method and system of stock investment |
| CN106022522A (en) * | 2016-05-20 | 2016-10-12 | 南京大学 | Method and system for predicting stocks based on big data published by internet |
| CN108681968A (en) * | 2018-06-21 | 2018-10-19 | 平安科技（深圳）有限公司 | Stock sells method for early warning, device and computer readable storage medium |
-
2018
- 2018-06-21 CN CN201810645020.2A patent/CN108681968A/en not_active Withdrawn
- 2018-09-26 WO PCT/CN2018/107482 patent/WO2019242143A1/en active Application Filing
Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| WO2019242143A1 (en) * | 2018-06-21 | 2019-12-26 | 平安科技（深圳）有限公司 | Stocks selling early-warning method and apparatus, and computer-readable storage medium |
| CN112330464A (en) * | 2020-12-31 | 2021-02-05 | 北京口袋财富信息科技有限公司 | Data early warning method and system |
Also Published As
| Publication number | Publication date |
|---|---|
| WO2019242143A1 (en) | 2019-12-26 |
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Application publication date: 20181019 |