JP2003006431A - System and method for risk calculation, and program - Google Patents

Abstract

PROBLEM TO BE SOLVED: To provide a risk calculation system which can calculate a risk accompanying the price variation resulting from dealings on a stock market. SOLUTION: This risk calculation system is equipped with a plan generation part 130 which generates a dealings plan by using the total quantity of planned dealings, a 1st calculation part 135 which calculates a 1st variation factor representing a price variation risk generated at the start or end of dealings, a 2nd calculation part 155 which calculates a 2nd variation factor representing a price variation risk generated in the dealing time between the start and end of the dealings, a 3rd calculation part 170 which calculates a 3rd variation factor representing a price variation risk caused by the time needed for the dealings by using the time needed for the dealings and statistic values of the price variation when the dealings are completed in the dealing time, and a risk calculation part 175 which calculates a price variation risk generated when the dealings are completed by the total planned dealing amount by using the 1st, 2nd, and 3rd variation factors.

Description

Detailed Description of the Invention

[0001]

TECHNICAL FIELD The present invention relates to a risk calculation system, a risk calculation method, and a program. In particular, the present invention is a risk calculation system for calculating the risk associated with price fluctuations when trading in the securities market, a risk calculation method,
And about the program.

[0002]

2. Description of the Related Art In a securities transaction on the securities market, when a sell order or a buy order is placed, the sell order or the buy order becomes one of the factors, and the price fluctuates, which may cause a loss. is there. Especially when a large transaction is made, the loss due to price fluctuations becomes large. Conventionally, a person who conducts securities trading determines the trading volume by referring to the past trading volume (so-called trick).

[0003]

However, the information regarding the past transaction volume is enormous for each transaction target,
In addition, since the characteristics of price fluctuations differ for each trading object, it is difficult to accurately predict the risks associated with price fluctuations.

Therefore, an object of the present invention is to provide a risk calculating system, a risk calculating method, and a program that can solve the above problems. This object is achieved by a combination of features described in independent claims of the invention. The dependent claims define further advantageous specific examples of the present invention.

[0005]

[Means for Solving the Problems] That is, according to the embodiment of the present invention, a risk calculation system for calculating a risk associated with a price change caused by a transaction in the securities market uses a planned transaction total amount to calculate a securities transaction plan. And a first calculation unit that calculates a first fluctuation factor that represents a price fluctuation risk that occurs when trading is performed at the timing of trading start or trading end of the securities market according to the trading plan,
Between the trading time and the second calculation unit that calculates the second fluctuation factor that represents the price fluctuation risk caused by the transaction when the transaction is performed during the trading time between the start and the end of the transaction according to the trading plan. Calculate the third fluctuation factor that represents the price fluctuation risk that occurs due to the time required for the transaction, using the information that indicates the time required for the transaction and the statistical value of the price fluctuation when the transaction is performed according to the transaction plan. And a risk calculation unit that calculates a price fluctuation risk when the planned total transaction amount is traded using the first fluctuation factor, the second fluctuation factor, and the third fluctuation factor. .

The system further comprises a history storage unit for storing information on past transaction volume and price fluctuation amount at the time of transaction start, transaction end, and transaction time, and the plan generation unit, at the time of transaction start in the history storage unit, By allocating the planned transaction total amount at the end of the transaction and according to the transaction amount at each transaction time, the transaction plan amount at the transaction start, at the transaction end, and at each transaction time is set as the transaction plan, and the first calculation unit The first fluctuation factor is calculated using the information on the transaction amount and the price fluctuation amount corresponding to the timing in the history storage unit and the transaction plan amount at the time of the transaction start and the transaction end, and the second calculation unit calculates the history. The second fluctuation factor may be calculated using the information on the trading volume and the price fluctuation amount corresponding to the trading time in the storage unit and the planned trading volume of the trading time.

The transaction amount in the history storage unit is further provided with a weighting unit for performing a weighting process so that the influence of the latest transaction amount becomes large, and the plan creation unit uses the information regarding the transaction amount processed by the weighting unit, The planned transaction volume may be set. The transaction unit and the price fluctuation amount in the history storage unit further include a weighting unit that performs a weighting process so that the influence of the latest transaction amount and the price fluctuation amount becomes large, and the first calculation unit and the second calculation unit include the weighting unit. The fluctuation factor may be calculated by using the information on the transaction amount and the price fluctuation amount processed by.

[0008] Sampling for extracting a price fluctuation amount in a transaction by correlating with a transaction amount for each transaction at the time of a plurality of transactions from a category storage unit for storing a division table for dividing the transaction amount and a history storage unit. Section, a transaction volume for each transaction, and a sample storage section for storing the price fluctuation amount in the transaction for each section according to the section table stored by the section storage section, and the second calculation section corresponds to the section. The second fluctuation factor may be calculated using the attached price fluctuation amount. A division storage unit that stores a division table that divides the transaction amount, and a sampling unit that extracts the price fluctuation amount in the unit time from the history storage unit in association with the transaction amount per unit time at a plurality of time points. Further comprising a sample storage unit for storing the amount of price fluctuation for each unit according to the transaction volume per unit time and the segment table stored by the unit storage unit, and the second calculation unit corresponds to the segment Second, using the attached price fluctuations
You may calculate the fluctuation factor of.

The history storage unit stores information regarding the total transaction amount traded by a predetermined trader within a predetermined period, and uses the maximum value of the total transaction amount stored in the history storage unit within a predetermined period. The third calculation unit further includes an allowable upper limit setting unit that sets the upper limit of the transaction allowed for each transaction target, and the third calculation unit sets the upper limit set by the allowable upper limit setting unit and the planned transaction amount at the transaction time shown in the transaction plan. The ratio of may be used as information representing time. An allowable upper limit monitoring unit that displays a warning on the user terminal and / or stops processing when the total planned transaction amount input by the user for each transaction exceeds the upper limit set by the allowable upper limit setting unit. May be further provided.

A price fluctuation characteristic for calculating a price fluctuation characteristic parameter indicating the easiness of returning of the price by using the price fluctuation between consecutive transactions related to a predetermined transaction object, which is extracted from the information on the price fluctuation in the history storage section. The analysis unit may further be provided, and the second calculation unit may further calculate the second fluctuation factor using the price fluctuation characteristic parameter. The price fluctuation characteristic analysis unit analyzes the price fluctuation within a predetermined period for each transaction by using the information on the price fluctuation amount in the history storage unit, and the price rises by a predetermined value or more in the continuous transactions of the predetermined transaction target. Or, if the price continues to fall, add a maintenance parameter that is a preset value, and if the price drops after rising above a predetermined value or drops and then rises, add a conversion parameter smaller than the maintenance parameter, If the price does not change more than a predetermined value after it rises or falls by more than a predetermined value, it has a price change detection unit that adds an intermediate parameter that is a value between the maintenance parameter and the conversion parameter, and analyzes the price fluctuation characteristics. The unit may calculate the price fluctuation characteristic parameter by averaging the results added by the price change detection unit. The parameter added by the price change detection unit is further provided with a weighting unit that performs weighting processing so that the influence of the parameter corresponding to the latest transaction becomes large, and the price fluctuation characteristic analysis unit uses the parameter processed by the weighting unit. The price fluctuation characteristic parameter may be calculated by averaging the added results.

[0011] Using the information on the ratio of the total planned transaction amount of a plurality of transaction objects input by the user and the price fluctuation risk calculated for each of a plurality of transaction objects by the risk calculation unit, a plurality of transaction object groups are collectively traded. A total risk calculation unit for calculating the total price fluctuation risk in the case of doing so may be further provided. The system further comprises a correlation analysis unit that calculates a correlation parameter that indicates a correlation between the price fluctuation of the transaction target traded by the user and a predetermined reference price fluctuation, and a correction unit that corrects the price fluctuation risk using the correlation parameter. Good.

According to another aspect of the present invention, there is provided a risk calculating method for calculating a risk associated with a price fluctuation caused by a transaction in a securities market, in which a computer creates a trading plan of a security using a planned total trading amount. And a step of calculating by the computer a first fluctuation factor that represents a price fluctuation risk that occurs when a transaction is made at the timing of starting or closing a transaction in the securities market according to the trading plan, and starting the trading according to the trading plan. In the case of trading during the trading time between the end, when the computer calculates the second fluctuation factor representing the price fluctuation risk caused by the transaction, and when trading according to the trading plan between the trading hours. , Information indicating the time required for the transaction,
A step of causing the computer to calculate a third fluctuation factor that represents a price fluctuation risk that occurs due to the time required for the transaction, using the statistical value of the price fluctuation, a first fluctuation factor, a second fluctuation factor, And using a third fluctuation factor, the computer calculates a price fluctuation risk when the planned total trading volume is traded.

According to another aspect of the present invention, a program for calculating a risk associated with a price fluctuation caused by a transaction in a securities market includes a plan creation module for creating a trading plan of a security by using a planned total trading volume. A first calculation module that calculates a first fluctuation factor that represents a price fluctuation risk that occurs when trading is performed at the timing of starting or closing a transaction in the securities market according to the trading plan, and the start and end of trading according to the trading plan A second calculation module that calculates a second fluctuation factor that represents the price fluctuation risk that occurs due to the transaction when trading during a trading time between , The information indicating the time required for the transaction and the statistical value of the price fluctuation are used to express the risk of price fluctuation caused by the time required for the transaction. Risk of calculating the price fluctuation risk when the planned total trading volume is traded by using the third calculation module for calculating the fluctuation factor of, and the first fluctuation factor, the second fluctuation factor, and the third fluctuation factor And a calculation module.

It should be noted that the above summary of the invention does not enumerate all the necessary features of the present invention, and sub-combinations of these feature groups can also be the invention.

[0015]

BEST MODE FOR CARRYING OUT THE INVENTION Hereinafter, the present invention will be described through embodiments of the invention, but the embodiments do not limit the claimed invention, and all combinations of the features described in the embodiments Is not always essential to the solution of the invention.

FIG. 1 shows an outline of the entire risk calculation system. The risk calculation system includes a user terminal 50 and a risk calculation server 100. The user terminal 50 connects to the risk calculation server 100 via a leased line, the Internet network, or the like. The user terminal 50 requests the risk calculation server 100 to calculate the risk associated with the price fluctuation caused by the transaction in the securities market. The user terminal 50 transmits the planned transaction total amount to the risk calculation server 100 for each predetermined transaction target, that is, for each predetermined issue, for example. The planned total transaction amount is the total amount of transaction objects that are scheduled to be transacted.

The risk calculation server 100 calculates the risk associated with the price fluctuation and outputs it to the user terminal 50. The risk calculation server 100 calculates, for example, price fluctuation risk for a plurality of stocks included in a predetermined portfolio,
The price fluctuation risk of the portfolio is calculated by adding predetermined corrections.

FIG. 2 shows functional blocks of the risk calculation server 100. The risk calculation server 100 includes an input unit 10
5, a history storage unit 110, a weighting unit 115, a price fluctuation characteristic analysis unit 120, a plan creation unit 130, a first calculation unit 135, a classification storage unit 140, and a sampling unit 14.
5, the sample storage unit 150, the second calculation unit 155,
An allowable upper limit setting unit 160, an allowable upper limit monitoring unit 165, a third calculating unit 170, a risk calculating unit 175, a total risk calculating unit 180, a correlation analyzing unit 185, a correcting unit 190, and an output unit 195 are provided. .

When the input unit 105 receives from the user terminal 50 a request for risk calculation, together with the information designating a brand and the total planned transaction amount of the brand, the input unit 105 outputs the plan trading unit 130 and the third calculation unit 170. . The input unit may further output information regarding the ratio of the amounts of a plurality of stocks included in the portfolio to the total risk calculation unit 175.

The history storage unit 110 stores transaction history data in the securities market. The history storage unit 110 stores, as history data, information regarding past transaction volume and price fluctuation amount, for example, at the start of a transaction, at the end of a transaction, and at each transaction time between the transaction start and the transaction end. At this time, the history storage unit 110 may store the transaction amount and the price fluctuation amount in a predetermined transaction in association with the transaction. The start and end of a transaction are so-called “bending” and “closing”, and itayose trading is performed. On the other hand, the trading time is what is called Zaraba. The price determination process of the transaction target is different between the transaction start time and the transaction end time and the transaction time. Further, the information on the price fluctuation amount is, for example, the price fluctuation amount itself, the price fluctuation rate, or the like. The history storage unit 110 further stores, as history data, information relating to the total amount of transactions made by a predetermined trader within a predetermined period and a reference index such as TOPIX. For example, the history storage unit 110 stores the total amount of transactions in which a given trader trades a given trading target per day.

FIG. 3 exemplifies a table in which the history storage unit 110 stores history data. FIG. 3A illustrates an example of a table in which the history storage unit 110 stores the transaction amount and the price fluctuation amount. In this example, the history storage unit 110 stores the transaction volume and the price fluctuation rate of the price fluctuation that accompanies the transaction at the transaction start, the transaction end, and the transaction time. The history storage unit 110 stores, as the transaction amount, a transaction unit when trading a security. FIG. 3B shows an example of a table in which the history storage unit 110 stores the total transaction amount traded by a given trader within a given period. In this example, the history storage unit 110 stores the total amount of transactions in which each trader traded a predetermined trading target on the previous day. Figure 3
(C) shows an example of a table in which the history storage unit 110 stores the price fluctuation amount in a predetermined transaction in association with the transaction. In this example, the history storage unit 110 stores the state of price fluctuation (price increase, decrease, no change) at the time of establishment of the transaction in association with a predetermined transaction. History storage unit 110
May store actual transaction data in the securities market as history data as it is.

Returning to FIG. The weighting unit 115 performs a weighting process on the history data in the history storage unit 110 so that the influence of the latest history data is large. For example, the weighting unit 115 performs weighting processing so that the transaction amount and the price fluctuation amount in the history storage unit 110 are greatly affected by the latest transaction amount and the price fluctuation amount. Weighting unit 115
Further, the weighting processing is performed so that the influence of the latest parameter becomes large on the predetermined parameter used when the price fluctuation characteristic analysis unit 120 calculates the price fluctuation characteristic parameter. For example, as the weighting process, the weighting unit 115 multiplies the latest history data or parameter to the oldest history data or parameter by a numerical value that decreases in order. The weighting unit 115 may store the information regarding the generation time of the history data to be weighted and the weighting coefficient used when performing the weighting in association with each other.

FIG. 4 shows an example of a table stored by the weighting unit 115. In this example, the weighting unit 115 stores the information regarding the time when the data to be weighted occurs and the weighting coefficient used when performing the weighting process in association with each other. The weighting coefficient is preferably set so that the degree of influence increases in order from the oldest data to the latest data. For example, as in the present example, the weighting unit 115 stores a weighting coefficient that becomes larger as the coefficient by which new data is multiplied.

The price fluctuation characteristic analysis unit 120 uses the price fluctuation extracted between the history data in the history storage unit 110 between consecutive transactions related to a predetermined transaction object, and indicates the price fluctuation indicating the ease of returning the price. Calculate the characteristic parameters,
It is output to the second calculator 155. The price fluctuation characteristic parameter is, for example, a price elasticity value.

The price change characteristic analysis section 120 has a price change detection section 124. The price fluctuation detecting unit 124 analyzes the price fluctuation within a predetermined period for each transaction by using the information about the price fluctuation amount in the history storage unit 110, and in a continuous transaction of a predetermined transaction target, the price changes to a predetermined value. If the price continues to rise or fall above, a maintenance parameter is added, and if the price rises above a specified value and then falls or falls, then a conversion parameter is added and after the price rises or falls above a specified value When it is determined that there is no change equal to or greater than the predetermined value, the intermediate parameter is added and output to the price fluctuation characteristic analysis unit 120. It is desirable that the maintenance parameter, the conversion parameter, and the intermediate parameter have different values, for example, “0”,
It is set to "1" and "0.5". The price fluctuation characteristic analysis unit 120 calculates the price fluctuation parameter by averaging the parameters added by the price change detection unit 124 for each predetermined transaction. In cooperation with the weighting unit 115, the price fluctuation characteristic analysis unit 120 may calculate the price fluctuation characteristic parameter by weighted averaging the parameters added by the price change detection unit 124. Price fluctuation characteristic analysis unit 120
Calculates the price fluctuation characteristic parameter P using, for example, the following mathematical expression (1).

[Equation 1] The price change characteristic parameter P is calculated by substituting the parameter P _k detected by the price change detection unit 124, the weighting coefficient a _k , and the detected parameter number n into the formula (1).

Upon receiving the planned total transaction amount from the input unit 105, the plan creation unit 130 allocates the planned total transaction amount according to the transaction amount in the history storage unit 110 at the start of transaction, at the end of transaction, and at each transaction time. , At the start of trading,
Set the planned transaction volume at the end of the transaction and every transaction time,
The data is output to the first calculator 135, the second calculator 155, the allowable upper limit setting unit 160, and the third calculator 170. For example,
The plan creating unit 130 allocates the planned total transaction amount to the ratio of the transaction amount at the transaction start time, the transaction end time, and the transaction time in the history storage unit 110, and sets the planned transaction amount. At this time, it is preferable that the plan creation unit 130 sets the planned transaction volume using the information regarding the transaction volume weighted by the weighting unit 115.

When the first calculation unit 135 receives the planned trading volume from the plan creation unit 130, it represents the price fluctuation risk that occurs when trading is performed according to the trading plan at the time of starting or ending the trading of the securities market. The first variation factor is calculated and output to the risk calculation unit 175. That is,
When the first calculation unit 135 receives the planned transaction amount from the plan creation unit 130, the first calculation unit 135 represents a price fluctuation risk that occurs when the planned transaction amount is traded by so-called "close" or "close".
The fluctuation factor of is calculated and output to the risk calculation unit 175. Price fluctuation risk is, for example, the risk of loss due to a price decrease caused by a sell order or a price increase caused by a buy order, and is indicated by the price fluctuation amount itself or the price fluctuation rate. Good. Further, the first fluctuation factor may be, for example, the price fluctuation risk itself caused by the transaction at the time of starting the transaction or at the time of the transaction ending. When calculating the first variation factor, the first calculation unit 135 further uses information about the transaction volume and the price variation at the time of the transaction start and at the transaction end in the history storage unit 110 to determine the first variation factor. To calculate. First calculator 135
Calculates the _first variation factor I ₁ using the following mathematical expression (2), for example.

[Equation 2] The trade amount and the price fluctuation amount in the history storage unit 110 are made to correspond to the variable V and the variable I ₁ , respectively, to calculate a variable β ₂ which is a regression coefficient, and the planned trade amount is added to the mathematical expression (2) in which the variable β ₂ is substituted. To calculate the _first variation factor I ₁ . It is desirable that the first calculator 135 calculate the first fluctuation factor using the information on the transaction amount and the price fluctuation amount weighted by the weighting unit 115.

The classification storage section 140 stores a classification table for classifying the transaction amount. That is, the division storage unit 14
0 stores a division table in which the range of the transaction amount when the transaction amount is divided into a plurality of divisions and the corresponding divisions are associated with each other.

FIG. 5 shows an example of the partition table stored in the partition storage unit 140. In this example, the classification storage unit 140
Stores the range of "unit" indicating the transaction amount of the security in association with the category. The unit is, for example, a trading unit in the stock market.

Returning to FIG. The sampling unit 145 extracts the amount of price fluctuation in the transaction from the history storage unit 110 in association with the transaction amount of each transaction during a plurality of transactions, and outputs it to the sample storage unit 150. The sampling unit 145 may extract the transaction amount and the price change amount for each predetermined unit time. That is, the sampling unit 145
Corresponds to the transaction volume per unit time at a plurality of time points, extracts the price fluctuation amount in the unit time,
You may output to the sample storage part 150.

Upon receiving the transaction amount and the price fluctuation amount for each transaction from the sampling unit 145, the sample storage unit 150 follows the transaction amount for each transaction and the price table for the trade according to the trade table stored by the class storage unit 140. Store the quantity for each category. That is, the sample storage unit 150
The price fluctuation amount corresponding to the transaction is stored in association with the category in which the transaction volume for each transaction received and the transaction volume range in the category table match.

FIG. 6 shows an example of a table stored in the sample storage section 150. In this example, the sample storage unit 15
0 stores the "price change rate" as the price change amount in association with the category. The sample storage unit 150 may store the price fluctuation amount in association with the category and the transaction that caused the price fluctuation. In this way, the amount of data can be reduced by grouping the transaction amount data into predetermined categories,
The processing of the risk calculation server 100 can be reduced.

Returning to FIG. When the second calculation unit 155 receives the planned transaction amount from the plan creation unit 130, when the transaction is made during the transaction time between the start and the end of the transaction according to the transaction plan, the risk of price fluctuation caused by the transaction is calculated. The second fluctuation factor represented is calculated and output to the risk calculation unit 175. That is, the second calculation unit 155 has the plan creation unit 1
When the planned transaction volume is received from 30, when the planned transaction volume is traded on the so-called Zaraba, the second fluctuation factor representing the price fluctuation risk caused by the transaction is calculated, and the calculated risk is calculated by the risk calculation unit 175. Output. The planned transaction volume at this time is the transaction volume handled in one transaction during the transaction time (Zara spot), and the total amount of the planned transaction volume allocated for the transaction time (Zara spot) was allocated by the predetermined process. It is a thing. For example, the planned trading volume is the total planned trading volume assigned to the trading hours (Zara), based on the length of the trading hours.
The planned transaction volume per unit time may be calculated, or the user may input the transaction volume per transaction or the transaction frequency during the transaction time (Zara), and based on the transaction volume per transaction or the transaction frequency. , The planned transaction amount per transaction may be determined. When calculating the second fluctuation factor, the second calculation unit 155 calculates the second fluctuation factor using the information regarding the trading volume and the price fluctuation during the transaction in the sample storage unit 150. Furthermore, the second calculation unit 155 includes the price fluctuation characteristic analysis unit 1
It is preferable to further use the price fluctuation characteristic parameter received from 20 to calculate the second fluctuation factor. The second calculator 155 calculates the second variation factor I ₂ using, for example, the following mathematical expressions (3) and (4).

[Equation 3] The number of categories and price fluctuations in the sample storage unit 150
Corresponding to the variable V and the variable E of the equation (3),
Regression coefficient α_Two, Β_TwoAnd calculated α_Two, Β _TwoThe number
The function E (V) is calculated by substituting in the formula (3), and the formula (4)
Function E (V), sum of planned transaction volume handled during trading hours
S, planned transaction volume V handled in one transaction, and price fluctuation characteristics
The second variation factor I by substituting the sex parameter P_TwoTo
calculate. In the second calculation unit 155, the weighting unit 115 is weighted.
For information on the volume of transactions and price fluctuations that have been processed
Using information on the classification based on price and the amount of price change,
It is desirable to calculate the second variation factor.

The allowable upper limit setting unit 160 includes a history storage unit 11
Using the maximum value of the total transaction amount stored by 0, the upper limit of the transaction allowed within a predetermined period is set for each transaction object, and is output to the allowable upper limit monitoring unit 165 and the third calculating unit 170.
For example, the allowable upper limit setting unit 160 sets the maximum value in the total transaction amount for each trader traded on the previous day to the history storage unit 110.
The upper limit is set by multiplying the retrieved maximum value by a predetermined coefficient.

When the allowable upper limit monitoring unit 165 receives the upper limit from the allowable upper limit setting unit 160, it monitors the planned transaction total amount for each transaction target input by the user, and the planned transaction total amount input by the user is the allowable upper limit setting unit 160. If the upper limit set by is exceeded, at least one of displaying a warning on the user terminal 50 of the user and stopping the process is performed.

When the third calculation unit 170 receives the transaction plan from the plan creation unit 130, the third calculation unit 170 obtains information indicating the time required for the transaction and the statistical value of the price fluctuation when the transaction is performed according to the transaction plan during the transaction time. The third fluctuation factor representing the price fluctuation risk that occurs due to the time required for the transaction is calculated and output to the risk calculation unit 175. The information indicating the time required for the transaction may be, for example, the number of times the transaction is performed, and in this case, the third calculation unit 170 sets the upper limit set by the allowable upper limit setting unit 160 and the transaction time indicated in the received transaction plan. The ratio to the planned transaction volume may be used as information indicating the time required for the transaction. In addition, the statistical value of the price fluctuation is, for example, the standard deviation of the price fluctuation, and in this case, the third calculation unit 170 uses the history data in the history storage unit 110 to acquire the standard deviation of the price fluctuation. . Third
The calculation unit 170 uses, for example, the following mathematical expression (5),
The third variation factor I ₃ is calculated.

[Equation 4] Substituting the statistical value σ obtained from the history storage unit 110, the upper limit V _max received from the allowable upper limit setting unit 160, and the total amount V of planned transaction amount to be traded in the transaction time received from the plan creating unit 130 into the mathematical expression (5). Then, the third variation factor I ₃ is calculated.

The risk calculator 175 is the first calculator 13
5, when the first variation factor, the second variation factor, and the third variation factor are received from the second calculation unit 155, and the third calculation unit 170, respectively, the first variation factor, the second variation factor, And the third fluctuation factor is used to calculate the price fluctuation risk in the case of trading the planned total transaction amount, and output it to the total risk calculation unit 180. The price fluctuation risk calculated by the risk calculation unit 175 may be information suggesting the price fluctuation risk (for example, the price fluctuation rate). The risk calculator 175 calculates the price fluctuation risk MI using, for example, the following mathematical expression (6).

[Equation 5] The first variation factor I ₁ , the second variation factor I ₂ , and the third variation factor I ₃ received from the first calculation unit 135, the second calculation unit 155, and the third calculation unit 170, respectively, are expressed by the mathematical formula ( Substituting in 6), price fluctuation risk MI
To calculate.

The total risk calculation unit 180 receives the information regarding the ratio of the total planned transaction amount of a plurality of transaction objects input by the user from the input unit 105, and calculates the price fluctuation risk calculated for each of a plurality of transaction objects from the risk calculation unit 175. When you receive
Using the information on the ratio of the total planned transaction volume of multiple trading targets and the price fluctuation risk calculated for each trading target, calculate the total price fluctuation risk in the case of collectively trading the plural trading target groups, Output to the correlation analysis unit 185.
For example, when the user transmits the ratio of the total planned transaction amount of a plurality of transaction objects included in a predetermined portfolio to the input unit 105, the total risk calculation unit 180 calculates the ratio according to the ratio of the amounts of the plurality of transaction objects included in the portfolio. Calculate the total price fluctuation risk by weighted averaging the price fluctuation risks of multiple transactions.

When the correlation analysis unit 185 receives from the history storage unit 110 the information regarding the price fluctuation of the transaction object traded by the user and the information regarding the predetermined reference price fluctuation, the price fluctuation of the transaction object traded by the user and the predetermined information are carried out. Calculate the correlation parameter that shows the correlation with the standard price fluctuation of
Output to the correction unit 190. The reference price fluctuation is information indicating the price fluctuation of the reference transaction object or transaction object group, and is, for example, the fluctuation of TOPIX. The correlation parameter may be so-called tracking error, residual risk, or the like.

When the correction unit 190 receives the correlation parameter and the price fluctuation risk from the correlation analysis unit 185, the correction unit 190 corrects the price fluctuation risk using the correlation parameter, and outputs the output unit 1.
Output to 95. The correction unit 190 may correct the total price fluctuation risk using the correlation parameter, and output the corrected price fluctuation risk to the output unit 195.

Upon receiving the corrected price fluctuation risk from the correction unit 190, the output unit 195 transmits it to the user terminal 50. The output unit 195 may transmit the total price fluctuation risk before correction with the correlation parameter and the price fluctuation risk for each transaction target to the user terminal 50 together with the corrected price fluctuation risk. The output unit 195 may further transmit the first variation factor, the second variation factor, and the third variation factor to the user terminal 50.

FIG. 7 shows a flow of processing in which the risk calculation server 100 updates data when history data is updated. In this figure, the case where the history data in the history storage unit 110 is updated by the patch processing after the end of the transaction for one day will be described, but the present invention is not limited to this example. That is, the history storage unit 110 may store the transaction data acquired in real time as history data.
The history storage unit 110 updates the transaction amount, price fluctuation amount, total transaction amount for each trader, TOPIX, etc. as history data (S100), and then uses the history data to obtain statistical values (standard deviation of price fluctuation, etc.). Update (S105). Further, when the history storage unit 110 transmits the fact that the history data has been updated to the allowable upper limit setting unit 160, the allowable upper limit value setting unit 160 causes the allowable upper limit value setting unit 160 to calculate the total transaction amount for the last day calculated for each trader in the history storage unit 110. Is newly set as the upper limit value (S110). The history storage unit 110 further transmits to the weighting unit 115 that the history data has been updated. Then, the weighting unit 115 performs a weighting process on the updated transaction amount and price fluctuation amount in the history storage unit 110 (S115). When the history storage unit 110 further transmits to the sampling unit 145 that the history data has been updated, the sampling unit 145 selects a predetermined period, for example, the latest 20 days from the updated history data in the history storage unit 110. Sample storage unit 1 for extracting transaction volume and price fluctuation volume
It outputs to 50 (S120). Sample storage unit 150
When the transaction amount and the price fluctuation amount are received, the storage unit 140 stores the price fluctuation amount in association with the classification according to the classification table in which the classification storage unit 140 stores the classification and the price fluctuation amount (S).
125). When the history storage unit 110 further transmits the fact that the history data has been updated to the price fluctuation characteristic analysis unit 120, the price change detection unit 124 selects from the updated history data,
Based on the price change for each transaction, the parameter corresponding to the change is detected and output to the price fluctuation characteristic analysis unit 120 (S130). When the price fluctuation characteristic analysis unit 120 receives the updated parameter, the weighting unit 115 is requested to perform the weighting process, and the weighting unit 115 performs the weighting process on the parameter held by the price fluctuation characteristic analysis unit 120 (S135). When the weighting process is completed, the price fluctuation characteristic analysis unit 120 calculates the price fluctuation characteristic parameter by averaging the weighted parameters, and outputs the price fluctuation characteristic parameter to the second calculation unit 155 (S140).

FIG. 8 shows a flow of processing in which the risk calculation server 100 calculates the price fluctuation risk using the total planned transaction amount input by the user. For example, the user uses the user terminal 50 to transmit portfolio identification information that identifies a portfolio and a brand to be traded, and the total planned trade amount to be traded to the risk calculation server 100. When the input unit 105 receives the portfolio identification information and the planned total transaction amount, the input unit 105 calculates the total planned transaction amount for each of a plurality of transaction objects (issues) included in the identified portfolio, and outputs the total planned transaction amount to the plan creation unit 130 (S200). Upon receiving the total planned transaction amount, the plan creation unit 130 follows the planned transaction amount in the history storage unit 110 according to the ratio of the transaction amount at the time of the transaction start (close), the transaction end (closed), and the transaction time (Zara). Allocate the total amount, set the planned transaction amount, and use the first calculation unit 135 and the second calculation as the transaction plan for the planned transaction amount at the time of the transaction start (close), the transaction end (close), and the transaction time (Zara) 155 and third calculator 17
It is output to 0 (S205). When the first calculation unit 135 receives the planned transaction amount at the time of starting a transaction (with a close) and ending the transaction (withdrawal) from the plan creating unit 130, the history storage unit 11
Extract the transaction amount and price fluctuation amount at the time of transaction start (close) and transaction end (close) from the historical data in 0, and substitute the received planned transaction amount into the function obtained using the extracted historical data. Then, the first variation factor is calculated and output to the risk calculation unit 175 (S210). Second calculator 1
Upon receiving the planned total transaction amount and the planned transaction amount of the trading time (Zara) from the plan creation unit 130, the unit 55 acquires the classification and the price fluctuation amount from the sample storage unit 150 (S21).
5). Further, when the second calculation unit 155 receives the price fluctuation characteristic parameter from the price fluctuation characteristic analysis unit 120, the second calculation unit 155 uses the classification and the price fluctuation amount acquired from the sample storage unit 150 as a function of the planned transaction per transaction. The second fluctuation factor is calculated by substituting the amount, the planned total trading amount in the trading time (Zara), and the price fluctuation characteristic parameter, and outputs the second fluctuation factor to the risk calculation unit 175 (S220). When the third calculation unit 170 receives the planned transaction amount of the trading time (Zara) from the plan creation unit 130, the standard deviation of the price fluctuation in the history storage unit 110 and the upper limit set by the allowable upper limit setting unit 160, The third fluctuation factor is calculated using the planned transaction amount and is output to the risk calculation unit 175 (S225). The risk calculator 175 includes a first calculator 135 and a second calculator 15.
5, and the first variation factor from the third calculation unit 170,
When the second fluctuation factor and the third fluctuation factor are received, the price fluctuation risk for a predetermined trading object is calculated using the first fluctuation factor, the second fluctuation factor, and the third fluctuation factor, It is output to the total risk calculation unit 180 (S230). The above-described processing of S205 to S230 is similarly performed for all the transaction objects included in the portfolio (S235). Total risk calculator 18
0 is a weighted average of the price fluctuation risks of all the trading objects included in the portfolio by the ratio of the amount of the trading objects included in the portfolio received from the input unit 105,
The data is output to the correlation analysis unit 185 (S250). When the correlation analysis unit 185 receives the weighted average price fluctuation risk from the total risk calculation unit 180, the correlation analysis unit 185 uses the historical data in the history storage unit 110 to calculate the price fluctuation of the portfolio and the TO.
A correlation parameter with the fluctuation of PIX is calculated and output to the correction unit 190 together with the received price fluctuation risk (S25
5). Upon receiving the price fluctuation risk and the correlation parameter, the correction unit 190 corrects the price fluctuation risk using the correlation parameter and outputs the price fluctuation risk to the output unit 195 (S26).
0). Upon receiving the corrected price fluctuation risk, the output unit 195 transmits it to the user terminal 50 (S270). The user can refer to the received price fluctuation risk or the like regarding the portfolio and evaluate the plurality of issues included in the portfolio from the viewpoint of the price fluctuation risk.

FIG. 9 is a block diagram showing the hardware configuration of the risk calculation server 100. The risk calculation server 100 includes a CPU 700, a ROM 702, and a RAM 7.
04 and a communication interface 706. CP
The U700 operates based on the programs stored in the ROM 702 and the RAM 704. The communication interface 706 communicates with the outside via the Internet.
Hard disk drive 710 as an example of a storage device
Stores setting information and a program for operating the CPU 700.

The flexible disk drive 712 reads data or a program from the flexible disk 714 and provides it to the CPU 700. The CD-ROM drive 716 reads data or programs from the CD-ROM 718 and provides them to the CPU 700. The communication interface 706 connects to the Internet to send and receive data.

The software executed by the CPU 700 is
Flexible disk 714 or CD-ROM 718
Etc. and is provided to the user. The software stored in the recording medium may be compressed or uncompressed. The software is installed in the hard disk drive 710 from the recording medium, and the RAM 70
4 and is executed by the CPU 700.

The software stored in the recording medium and provided, that is, the software installed in the hard disk drive 710 has, as functional configurations, an input module, a history storage module, a weighting module,
Price fluctuation characteristic analysis module, plan creation module, first calculation module, classification storage module, sampling module, sample storage module, second
A calculation module, an allowable upper limit setting module, an allowable upper limit monitoring module, a third calculation module, a risk calculation module, a total risk calculation module, a correlation analysis module, a correction module, and an output module. Further, the price fluctuation characteristic analysis module has a price change detection module as a sub module. Each of these modules works on the computer, CP
The processing to be performed by the U700 is the same as the function and operation of the corresponding member in the risk calculation server 100 according to this embodiment, and thus the description thereof is omitted.

A flexible disk 714 or a CD-ROM 718 as an example of a recording medium shown in FIG. 9 stores some or all functions of the operation of the risk calculation server 100 in all the embodiments described in the present application. can do.

These programs are read directly from the recording medium.
It may be read out to the AM and executed, or once installed in the hard disk drive and then read out to the RAM and executed. Further, the program may be stored in a single recording medium or a plurality of recording media. Further, the modules stored in the recording medium may provide each function in cooperation with the operating system. For example, the operating system may be requested to perform some or all of the functions, and the functions may be provided based on the response from the operating system.

As the recording medium, in addition to a flexible disk and a CD-ROM, an optical recording medium such as a DVD,
A magnetic recording medium such as MD, a magneto-optical recording medium such as PD, a tape medium, a magnetic recording medium, a semiconductor memory such as an IC card or a miniature card, and the like can be used. or,
A storage device such as a hard disk or a RAM provided in a server system connected to a dedicated communication network or the Internet may be used as a recording medium, and the program may be provided to the risk calculation server 100 via the communication network.

Such a recording medium is used only for manufacturing the risk calculating server 100, and the manufacture and sale of such a recording medium as a business does not infringe the patent right based on the present application. It is clear to configure.

As described above, by using the risk calculation server 100, it is possible to calculate the risk associated with price fluctuations when a predetermined amount of trading object is traded in the securities market. Further, by inputting a plurality of trading objects into the risk calculation server 100, it is possible to calculate a price fluctuation risk when a plurality of trading objects are collectively traded.

Although the present invention has been described with reference to the embodiments, the technical scope of the present invention is not limited to the scope described in the above embodiments. Various changes or improvements can be added to the above-described embodiment. It is apparent from the scope of the claims that the embodiments added with such changes or improvements can be included in the technical scope of the present invention.

For example, in the present embodiment, the user terminal 50
The server / client type risk calculation system including the risk calculation server 100 and the risk calculation server 100 has been described. However, the user terminal 50 described in the present embodiment is provided on one user terminal.
The risk calculating system may be provided with the function of the risk calculating server 100 to realize the risk calculating system with one user terminal.

[0055]

As is apparent from the above description, according to the present invention, it is possible to calculate the risk associated with the price fluctuation caused by the transaction in the securities market.

[Brief description of drawings]

FIG. 1 is a schematic diagram of an entire risk calculation system.

FIG. 2 is a functional block diagram of a risk calculation server 100.

FIG. 3 is a diagram illustrating a table in which history storage unit 110 stores history data.

FIG. 4 is a diagram showing an example of a table stored by a weighting unit 115.

5 is a diagram showing an example of a partition table stored in a partition storage unit 140. FIG.

6 is a diagram showing an example of a table stored in a sample storage section 150. FIG.

FIG. 7 is a flowchart of processing in which the risk calculation server 100 updates data when history data is updated.

FIG. 8 is a flowchart of a process in which the risk calculation server 100 calculates a price fluctuation risk using the total planned transaction amount input by the user.

FIG. 9 is a block diagram showing a hardware configuration of the risk calculation server 100.

[Explanation of symbols]

50 user terminals 100 risk calculation server 105 Input section 110 history storage 115 Weighting unit 120 Price Fluctuation Characteristic Analysis Unit 124 Price change detector 130 Planning Department 135 First calculator 140 classification storage 145 Sampling unit 150 sample storage 155 Second calculator 160 Allowable upper limit setting section 165 Allowable upper limit monitoring unit 170 Third calculator 175 Risk calculator 180 Total Risk Calculation Department 185 Correlation analysis unit 190 Corrector 195 Output section 700 CPU 702 ROM 704 RAM

Claims (15)

[Claims] 1. A risk calculation system for calculating a risk associated with price fluctuations caused by trading in a securities market, wherein a planning section for preparing a trading plan of a security using a planned total trading volume; In accordance with the above, the first fluctuation factor expressing the risk of price fluctuation occurring when trading at the time of starting or closing the transaction of the securities market is calculated.
A calculation unit, and a second calculation unit that calculates a second fluctuation factor that represents a price fluctuation risk caused by the transaction when a transaction is made during the transaction time between the start and the end of the transaction, according to the transaction plan. , When trading according to the trading plan between the trading hours, using the information indicating the time required for trading and the statistical value of the price fluctuation, the risk of price fluctuation occurring due to the time required for the trading A third calculation unit that calculates a third fluctuation factor, and a case where the planned total transaction amount is traded using the first fluctuation factor, the second fluctuation factor, and the third fluctuation factor A risk calculation system comprising: a risk calculation unit that calculates a price fluctuation risk. 2. A history storage unit for storing information on a past transaction volume and a price fluctuation amount at the time of starting the transaction, at the time of the transaction, and at each transaction time, wherein the plan creating unit stores the history. By allocating the planned total transaction amount according to the transaction amount at the transaction start time, the transaction end time, and the transaction time in the storage unit,
At the start of the transaction, at the end of the transaction, and set the planned transaction amount for each transaction time as the transaction plan, the first calculation unit, the transaction amount and the price corresponding to the timing in the history storage unit. The first variation factor is calculated using information about the amount of fluctuation and the planned transaction amount at the time of starting the transaction and at the time of ending the transaction, and the second calculator calculates the transaction time in the history storage unit. Information on the transaction volume and price fluctuations corresponding to
The risk calculation system according to claim 1, wherein the second fluctuation factor is calculated using the planned transaction amount of the transaction time. 3. The transaction amount in the history storage unit further comprises a weighting unit that performs weighting processing so that the influence of the most recent transaction amount becomes large, and the plan creating unit processes the transaction amount processed by the weighting unit. The risk calculation system according to claim 2, wherein the planned transaction amount is set by using information regarding the transaction amount. 4. A weighting unit for weighting the transaction volume and the price fluctuation amount in the history storage unit so that the latest transaction volume and the price fluctuation amount have a greater influence. The risk calculation system according to claim 2, wherein the calculation unit and the second calculation unit calculate the fluctuation factor using information on the transaction amount and the price fluctuation amount processed by the weighting unit. . 5. A partition storage unit that stores a partition table for partitioning the transaction volume; and a history storage unit that correlates with the transaction volume of each transaction during a plurality of transactions, and the amount of price fluctuation in the transaction. Further comprising a sampling unit for extracting the transaction amount, a transaction amount for each transaction, and a sample storage unit for storing the amount of price fluctuation in the transaction for each segment according to the segment table stored by the segment storage unit, The risk calculation system according to claim 2, wherein the second calculation unit calculates the second fluctuation factor using the price fluctuation amount associated with the classification. 6. A partition storage unit for storing a partition table for partitioning the transaction volume, and the history storage unit, in association with the transaction volume per unit time at a plurality of time points, the price fluctuation in the unit time. A sampling unit for extracting a quantity, a transaction amount per unit time, and a sample storage unit for storing the amount of price fluctuation in the unit time according to the division table stored by the division storage unit. The risk calculating system according to claim 2, further comprising: the second calculating unit calculates the second fluctuation factor using the price fluctuation amount associated with the classification. 7. The history storage unit stores information on the total transaction amount traded by a predetermined trader within a predetermined period, and uses the maximum value of the total transaction amount stored by the history storage unit, It further comprises an allowable upper limit setting unit that sets an upper limit of the transaction allowed within a predetermined period for each transaction target, and the third calculation unit is indicated by the upper limit set by the allowable upper limit setting unit and the transaction plan. The risk calculation system according to claim 2, wherein a ratio of the planned trading volume in the trading time is used as information indicating the time. 8. A warning display and a process stop on the user terminal when the planned transaction total amount for each transaction object input by the user exceeds the upper limit set by the allowable upper limit setting unit. The risk calculation system according to claim 7, further comprising an allowable upper limit monitoring unit that performs at least one. 9. The price fluctuation characteristic parameter indicating the easiness of returning of the price is calculated by using the price fluctuation between consecutive transactions related to a predetermined transaction object, which is extracted from the information on the price fluctuation in the history storage unit. The risk calculation according to claim 2, further comprising: a price fluctuation characteristic analysis unit, wherein the second calculation unit further calculates the second fluctuation factor using the price fluctuation characteristic parameter. system. 10. The price fluctuation characteristic analysis unit analyzes the price fluctuation within a predetermined period for each transaction using the information on the price fluctuation amount in the history storage unit, and a predetermined transaction target continues. In the transaction, if the price continues to rise or fall by more than a predetermined value, a maintenance parameter that is a preset value is added, and if the price rises after falling above or above the predetermined value or rises after falling, Add the conversion parameter smaller than the maintenance parameter,
A price change detection unit that adds an intermediate parameter that is a value between the maintenance parameter and the conversion parameter when the price does not change by the predetermined value or more after the price rises or falls by the predetermined value or more, The risk calculation system according to claim 9, wherein the price fluctuation characteristic analysis unit calculates the price fluctuation characteristic parameter by averaging the results added by the price change detection unit. 11. The price change characteristic analysis unit further includes a weighting unit that performs a weighting process on the parameter added by the price change detection unit so that the influence of the parameter corresponding to the most recent transaction becomes large. The risk calculation system according to claim 10, wherein the price fluctuation characteristic parameter is calculated by averaging the results of addition using the parameters processed by the weighting unit. 12. The plurality of transactions using the information regarding the ratio of the total planned transaction amount of the plurality of transactions, which is input by the user, and the price fluctuation risk calculated for each of the plurality of transactions by the risk calculation unit. The transaction support system according to claim 1, further comprising a total risk calculation unit that calculates a total price fluctuation risk when the target group is collectively traded. 13. A correlation analysis unit that calculates a correlation parameter indicating a correlation between a price fluctuation of a trading object traded by a user and a predetermined reference price fluctuation, and the price fluctuation risk is corrected using the correlation parameter. A correction unit is further provided.
Risk calculation system described in. 14. A risk calculation method for calculating a risk associated with a price fluctuation caused by a transaction in a securities market, wherein a computer creates a transaction plan of a security using a planned total transaction amount, and the transaction plan. According to the above, the computer calculates a first fluctuation factor that represents a price fluctuation risk that occurs when trading is performed at the timing of starting or ending the trading of the securities market; Trading at a trading time between two trading hours, the computer calculates a second fluctuation factor representing a risk of price fluctuations caused by the trading, and trading according to the trading plan between the trading hours. In this case, using the information showing the time required for the transaction and the statistical value of the price fluctuation, The plan is calculated using the step of the computer calculating a third fluctuation factor that represents a price fluctuation risk that occurs, and the plan using the first fluctuation factor, the second fluctuation factor, and the third fluctuation factor. And a step of causing the computer to calculate a risk of price fluctuation when the total amount of transactions is traded. 15. A program for calculating a risk associated with price fluctuations caused by trading in a securities market, wherein a planning module for creating a trading plan of a security using a planned total trading volume, and according to the trading plan, First calculating a first fluctuation factor that represents a price fluctuation risk that occurs when a transaction is made at the time of starting or closing a transaction in the securities market
A calculation module, and a second calculation module that calculates a second fluctuation factor that represents a price fluctuation risk caused by the transaction when a transaction is made during the transaction time between the start and the end of the transaction according to the transaction plan. , When trading according to the trading plan between the trading hours, using the information indicating the time required for trading and the statistical value of the price fluctuation, the risk of price fluctuation occurring due to the time required for the trading A third calculation module for calculating a third fluctuation factor, and a case where the planned total transaction amount is traded using the first fluctuation factor, the second fluctuation factor, and the third fluctuation factor A program comprising a risk calculation module for calculating a risk of price fluctuation.