TW201317922A - Measurement device for financial instrument transaction behavior - Google Patents
Measurement device for financial instrument transaction behavior Download PDFInfo
- Publication number
- TW201317922A TW201317922A TW101109470A TW101109470A TW201317922A TW 201317922 A TW201317922 A TW 201317922A TW 101109470 A TW101109470 A TW 101109470A TW 101109470 A TW101109470 A TW 101109470A TW 201317922 A TW201317922 A TW 201317922A
- Authority
- TW
- Taiwan
- Prior art keywords
- transaction
- financial
- profit
- trader
- detection module
- Prior art date
Links
Landscapes
- Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
Abstract
Description
本發明是有關於一種的金融商品交易行為測度裝置，且特別是有關於一種透過財務理論或行為財務學理論來分析交易者成交的金融價格和數量來測度其交易行為(偏誤)和經風險調整後的績效的金融商品交易行為測度裝置。The present invention relates to a financial commodity trading behavior measuring device, and in particular to a financial theory or behavioral finance theory to analyze the financial price and quantity of a trader's transaction to measure its trading behavior (bias) and risk. Adjusted performance of financial commodity trading behavior measurement devices.
習知上，有各式各樣類型的證券投資組合，其中的一種為證券投資組合管理類別是主動管理。在主動管理中，會依據個別的經濟、金融、信用、及/或商業分析、根據技術發展趨勢、根據循環型態等，以作為選擇投資組合的證券。Traditionally, there are various types of portfolios of securities, one of which is active management of the portfolio management category. In active management, securities are selected based on individual economic, financial, credit, and/or business analysis, according to technological trends, and according to the cyclical pattern.
另一種習知的投資管理類別是被動管理，也稱為指數法，其中，投資組合中的證券，乃複製自組成指數的那些證券。習慣上，在被動管理之投資組合中，以相對市值權數或等權數加權的各證券。另一習用之折衷的證券投資組合管理類別稱為增強型指數，其中，儘管有背離指數之適度的主動管理，但投資組合的特性、績效、及持股，仍實質地由指數的特性、績效、及持股支配。Another common type of investment management is passive management, also known as indexing, in which securities in a portfolio are copied from those securities that make up the index. Customarily, in a passively managed portfolio, each security is weighted by a relative market weight or an equal weight. Another eclectic portfolio of securities portfolio management is called an enhanced index. In spite of the modest active management of the index, the characteristics, performance, and shareholding of the portfolio are still essentially characterized by the performance and performance of the index. And holding shares.
就台灣市場而言，現在沒有測度交易者行為偏誤的分析系統，然而交易者的行為偏誤卻是造成虧損的最主要原因，只要避免交易的行為偏誤，投資獲利是可以期待的。交易者As far as the Taiwan market is concerned, there is no analytical system for measuring trader's behavioral bias. However, the trader's behavioral bias is the most important cause of loss. As long as the transaction's behavior is biased, investment profitability can be expected. trader
本發明提供一種金融商品交易行為測度裝置，可依據各項投資的風險及獲利指數分析出符合預設獲利函數值之交易者。The invention provides a financial commodity trading behavior measuring device, which can analyze traders who meet the preset profit function value according to various investment risks and profit indexes.
本發明提出一種金融商品交易行為測度裝置，此裝置包括一輸入單元、一儲存單元及一運算處理單元。輸入單元取得一交易風險資訊及對應一交易者端之一金融交易資訊；儲存單元連接輸入單元以儲存對應交易者端之交易風險資訊及金融交易資訊；以及運算處理單元連接儲存單元，以依據金融交易資訊及交易風險資訊推算而得到一獲利函數，獲利函數係對應交易者端，並以一預設獲利函數值為基準，取出獲利函數高於預設獲利函數值之交易者端。The invention provides a financial commodity transaction behavior measuring device, the device comprising an input unit, a storage unit and an operation processing unit. The input unit obtains a transaction risk information and corresponds to one of the trader's financial transaction information; the storage unit is connected to the input unit to store the transaction risk information and the financial transaction information of the corresponding trader; and the arithmetic processing unit is connected to the storage unit to be based on the financial The transaction information and the transaction risk information are calculated to obtain a profit function, and the profit function is corresponding to the trader end, and the trader with the profit function higher than the preset profit function value is taken as a benchmark based on a preset profit function value. end.
在本發明之一實施例中，上述之運算處理單元係包括一處置效果偵測模組、一過度自信偵測模組、一價格盤整時的過度交易偵測模組、一交易紀律偵測模組、一學習效果偵測模組、一老練交易偵測模組及一風險調整後的獲利偵測模組。處置效果偵測模組是偵測交易者端是否具有損失迴避天性，也就是一賺到錢後馬上拔檔，賠錢後卻一直沒有停損，讓虧損擴大，意即賺小賠大。過度自信偵測模組係偵測交易者端在前期的交易獲利後，是否因自信心增強後，而產生過度交易，讓交易成本侵蝕原先的獲利，也就是增加下單頻率和口數造成交易成本增加。價格盤整時的過度交易偵測模組係偵測交易者是否在價格盤整時，進行不當的追價，造成損失。交易紀律偵測模組係針對個別交易者端的交易習性，分別計算出個人的停損值，再計算出非理性虧損佔全部獲利的比率，依據此比率，比率越低者其績效越佳。學習效果偵測模組係偵測是否能透過交易來累積經驗，逐漸減少行為偏誤(這裡所指的行為偏誤為：處置效果、過度自信(過度交易)、交易紀律、價格盤整時的不當追價交易)，增加交易績效。老練交易偵測模組係偵測交易員是否能極小化帳上虧損並讓平均獲利高於平均損失及風險調整後的獲利偵測模組係計算每一單位風險能夠帶來的獲利，而不是未經風險調整的絕對獲利。此外，運算處理單元更依據財務理論、行為財務學理論測度出交易者的行為偏誤以及經風險調整後的交易績效。In an embodiment of the invention, the processing unit includes a processing effect detection module, an overconfidence detection module, an over-trading detection module at a price consolidation, and a transaction discipline detection module. A group, a learning effect detection module, a sophisticated transaction detection module and a risk-adjusted profit detection module. The disposal effect detection module detects whether the trader has the loss avoidance nature, that is, immediately after the money is earned, the file is pulled out, but after losing the money, there is no stop loss, and the loss is expanded, which means that the profit is small. The Overconfidence Detection Module detects whether the trader has generated excessive trading after the previous transaction has been profited, so that the transaction cost erodes the original profit, that is, increases the order frequency and number of mouths. Resulting in an increase in transaction costs. The over-trading detection module at the time of price consolidation detects whether the trader improperly pursues the price and causes losses when the price is consolidating. The trading disciplinary detection module calculates the individual stop loss value for each trader's trading habits, and then calculates the ratio of irrational losses to total profit. According to this ratio, the lower the ratio, the better the performance. The learning effect detection module detects whether it is possible to accumulate experience through transactions and gradually reduce behavioral biases (the behavioral biases referred to here are: disposal effects, overconfidence (over-trading), trading discipline, improper price consolidation) Price-trading transactions) to increase trading performance. The sophisticated trading detection module detects whether the trader can minimize the loss on the account and the average profit is higher than the average loss and the risk-adjusted profit detection module calculates the profit per unit risk. Instead of absolute profit without risk adjustment. In addition, the arithmetic processing unit measures the behavioral bias of the trader and the risk-adjusted trading performance based on financial theory and behavioral finance theory.
本發明因採用運算處理單元中的處置效果偵測模組、過度自信偵測模組、價格盤整時的過度交易偵測模組、交易紀律偵測模組、學習效果偵測模組、老練交易偵測模組及一風險調整後的獲利偵測模組，係分析投資者的交易行為和其績效，故計算並分析每個交易者端的獲利函數，故由本發明可讓投資者更精確知道造成投資獲利與虧損的原因。The invention adopts the treatment effect detection module, the overconfidence detection module in the arithmetic processing unit, the excessive transaction detection module during the price consolidation, the transaction discipline detection module, the learning effect detection module, the sophisticated transaction The detection module and a risk-adjusted profit detection module analyze the investor's trading behavior and its performance, so the profit function of each trader is calculated and analyzed, so the invention can make the investor more precise. Know the reasons for the profit and loss of the investment.
為讓本發明之上述特徵和優點能更明顯易懂，下文特舉實施例，並配合所附圖式，作詳細說明如下。The above described features and advantages of the present invention will be more apparent from the following description.
請同時參閱圖1及圖2，圖1是依照本發明之一實施例之一種元件的示意圖。圖2是圖1之實施態樣狀態示意圖。在圖1中，金融商品交易行為測度裝置100包括一輸入單元110、一儲存單元120及一運算處理單元130。輸入單元110取得一交易風險資訊111及對應一交易者端200之一金融交易資訊112。Please refer to both FIG. 1 and FIG. 2. FIG. 1 is a schematic diagram of an element in accordance with an embodiment of the present invention. Figure 2 is a schematic view of the state of the embodiment of Figure 1. In FIG. 1, the financial commodity transaction behavior measuring apparatus 100 includes an input unit 110, a storage unit 120, and an operation processing unit 130. The input unit 110 obtains a transaction risk information 111 and a financial transaction information 112 corresponding to one of the dealer terminals 200.
儲存單元120連接輸入單元110以儲存對應交易者端200之交易風險資訊111及金融交易資訊112。運算處理單元130連接儲存單元120，以依據金融交易資訊112及交易風險資訊111推算而得到一獲利函數，獲利函數係對應交易者端200，並以一預設獲利函數值為基準，取出獲利函數高於預設獲利函數值之交易者端200。The storage unit 120 is connected to the input unit 110 to store the transaction risk information 111 and the financial transaction information 112 corresponding to the trader end 200. The operation processing unit 130 is connected to the storage unit 120 to obtain a profit function according to the financial transaction information 112 and the transaction risk information 111. The profit function corresponds to the trader end 200 and is based on a preset profit function value. The trader end 200 with the profit function higher than the preset profit function value is taken out.
於本實施例中，運算處理單元130係包括一處置效果偵測模組131、一過度自信偵測模組132、一價格盤整時的過度交易偵測模組133、一交易紀律偵測模組134、一學習效果偵測模組135、老練交易偵測模組136及一風險調整後的獲利偵測模組137。In this embodiment, the operation processing unit 130 includes a treatment effect detection module 131, an overconfidence detection module 132, an over-trading detection module 133 at a price consolidation, and a transaction discipline detection module. 134. A learning effect detection module 135, a sophisticated transaction detection module 136, and a risk-adjusted profit detection module 137.
其中，處置效果偵測模組131偵測資者端是否具有損失迴避天性，也就是一賺到錢後馬上拔檔，賠錢後卻一直沒有停損，讓虧損擴大而造成賺小賠大的結果。過度自信偵測模組132係偵測交易者端在前期的交易獲利後，因自信心增強，是否會產生過度交易，讓交易成本侵蝕原先的獲利，也就是增加下單頻率和口數造成交易成本增加。Among them, the treatment effect detection module 131 detects whether the asset owner has the loss avoidance nature, that is, immediately after the money is earned, the file is pulled out, but after losing the money, there is no stop loss, and the loss is expanded, resulting in a small profit. . The Overconfidence Detection Module 132 detects whether the trader's profit in the previous period is increased, and because of increased self-confidence, will there be excessive trading, so that the transaction cost will erode the original profit, that is, increase the order frequency and number of mouths. Resulting in an increase in transaction costs.
價格盤整時的過度交易偵測模組133係偵測交易者是否在價格盤整時，因為腎上腺素分泌，而在價格盤整時去進行不當追價，造成損失。交易紀律偵測模組134係針對個別交易者端的交易習性，分別計算出個人的停損值，再計算出非理性虧損佔全部獲利的比率，依據此比率，比率越低者其績效越佳。學習效果偵測模組135係偵測是否能透過交易來累積經驗，逐漸減少行為偏誤(這裡所指的行為偏誤為：處置效果、過度自信(過度交易)、交易紀律、價格盤整時的不當追價交易)，增加交易績效。老練交易偵測模組136係偵測交易員是否能極小化帳上虧損並讓平均獲利高於平均損失。風險調整後的獲利偵測模組137係計算每一單位風險能夠帶來的獲利，而不是未經風險調整的絕對獲利。此外，運算處理單元更依據財務理論、行為財務學理論測度出交易者的行為偏誤以及經風險調整後的交易績效。The over-trading detection module 133 at the time of price consolidation detects whether the trader is in the price consolidation, because the adrenaline is secreted, and the price is improperly chased when the price is consolidating, resulting in loss. The trading discipline detection module 134 calculates the individual stop loss value for each trader's trading habits, and then calculates the ratio of irrational losses to total profit. According to this ratio, the lower the ratio, the better the performance. . The learning effect detection module 135 detects whether it is possible to accumulate experience through transactions and gradually reduce behavioral biases (the behavioral biases referred to here are: disposal effects, overconfidence (over-trading), transaction discipline, price consolidation) Improper price-tracking transactions) increase trading performance. The sophisticated trading detection module 136 detects whether the trader can minimize the loss on the account and make the average profit higher than the average loss. The risk-adjusted profit detection module 137 calculates the profit that each unit of risk can bring, rather than the absolute profit without risk adjustment. In addition, the arithmetic processing unit measures the behavioral bias of the trader and the risk-adjusted trading performance based on financial theory and behavioral finance theory.
更進一步來說，當金融商品交易行為測度裝置100所要需要的結果數越多時，就必須從更多的交易者端200去取得更多的交易風險資訊111及金融交易資訊112(如圖2所示)。Furthermore, when the number of results to be required by the financial commodity transaction behavior measuring device 100 is increased, more transaction risk information 111 and financial transaction information 112 must be obtained from more trader terminals 200 (see FIG. 2). Shown).
此外，金融商品交易行為測度裝置100更設置有一買鍵、一賣鍵及一完全平倉鍵，由傳統的滑鼠左鍵操作，設定為鍵盤操作(由操作者自行設定)，當操作買鍵時，買單就一口一口委託出去成交；當操作賣鍵時，賣單就一口一口委託出去成交；當操作完全平倉鍵時，所有的部位會全部委託出去成交；而口數限制是每次操作該些熱鍵最多能成交的口數。再者，操作者更可透過設置輔助線，並可以自行設定輔助線間的間距，以輔助線的中線作為買(賣)價格，兩條線的間距寬度就是方向作錯時停損區間。輔助線另一功能在於確定是價格小波動或價格中波動，也就是交易者可以依輔助線進行追價。In addition, the financial commodity transaction behavior measuring device 100 is further provided with a buy button, a sell button and a complete close button, which are operated by a traditional mouse left button, set to keyboard operation (set by the operator), when the operation buys the button When the order is paid, the transaction is commissioned to go out; when the selling button is sold, the selling order is commissioned to be sold out; when the operation is completely closed, all the parts will be commissioned to be sold; and the number of mouths is limited to each operation. The number of hotkeys that can be filled at most. Furthermore, the operator can set the auxiliary line, and can set the spacing between the auxiliary lines by himself, and the middle line of the auxiliary line is used as the buying (selling) price. The width of the two lines is the stopping interval when the direction is wrong. Another function of the auxiliary line is to determine whether the price is small fluctuation or fluctuation in the price, that is, the trader can perform the price change according to the auxiliary line.
雖然本發明以前述實施例揭露如上，然其並非用以限定本發明，任何熟習相像技藝者，在不脫離本發明之精神和範圍內，所作更動與潤飾之等效替換，仍為本發明之專利保護範圍內。While the present invention has been described above in the foregoing embodiments, it is not intended to limit the invention, and the equivalents of the modifications and retouchings are still in the present invention without departing from the spirit and scope of the invention. Within the scope of patent protection.
100．．．金融商品交易行為測度裝置100. . . Financial commodity trading behavior measuring device
110．．．輸入單元110. . . Input unit
111．．．交易風險資訊111. . . Trading risk information
112．．．金融交易資訊112. . . Financial transaction information
120．．．儲存單元120. . . Storage unit
130．．．運算處理單元130. . . Operation processing unit
131．．．處置效果偵測模組131. . . Disposal effect detection module
132．．．過度自信偵測模組132. . . Overconfidence detection module
133．．．價格盤整時的不當追價交易偵測模組133. . . Inappropriate price tracking detection module when price consolidation
134．．．交易紀律偵測模組134. . . Trading discipline detection module
135．．．學習效果偵測模組135. . . Learning effect detection module
136．．．老練交易偵測模組136. . . Sophisticated transaction detection module
137．．．風險調整後的獲利偵測模組137. . . Risk-adjusted profit detection module
200．．．交易者端200. . . Trader side
圖1是依照本發明之一實施例之一種元件的示意圖。1 is a schematic illustration of an element in accordance with an embodiment of the present invention.
圖2是圖1之實施態樣狀態示意圖。Figure 2 is a schematic view of the state of the embodiment of Figure 1.
100．．．金融商品交易行為測度裝置100. . . Financial commodity trading behavior measuring device
110．．．輸入單元110. . . Input unit
111．．．交易風險資訊111. . . Trading risk information
112．．．金融交易資訊112. . . Financial transaction information
120．．．儲存單元120. . . Storage unit
130．．．運算處理單元130. . . Operation processing unit
131．．．處置效果偵測模組131. . . Disposal effect detection module
132．．．過度自信偵測模組132. . . Overconfidence detection module
133．．．價格盤整時的過度交易偵測模組133. . . Over-trading detection module for price consolidation
134．．．交易紀律偵測模組134. . . Trading discipline detection module
135．．．學習效果偵測模組135. . . Learning effect detection module
136．．．老練交易偵測模組136. . . Sophisticated transaction detection module
137．．．風險調整後的獲利偵測模組137. . . Risk-adjusted profit detection module
200．．．交易者端200. . . Trader side
Claims (10)
Priority Applications (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| TW101109470A TW201317922A (en) | 2011-10-21 | 2011-10-21 | Measurement device for financial instrument transaction behavior |
Applications Claiming Priority (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| TW101109470A TW201317922A (en) | 2011-10-21 | 2011-10-21 | Measurement device for financial instrument transaction behavior |
Publications (1)
| Publication Number | Publication Date |
|---|---|
| TW201317922A true TW201317922A (en) | 2013-05-01 |
Family
ID=48871978
Family Applications (1)
| Application Number | Title | Priority Date | Filing Date |
|---|---|---|---|
| TW101109470A TW201317922A (en) | 2011-10-21 | 2011-10-21 | Measurement device for financial instrument transaction behavior |
Country Status (1)
| Country | Link |
|---|---|
| TW (1) | TW201317922A (en) |
Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| TWI760982B (en) * | 2020-02-28 | 2022-04-11 | 南韓商韓領有限公司 | Computer-implemented systems and methods for generating demand forecasting data by performing wavelet transform for generating accurate purchase orders |
| TWI762788B (en) * | 2018-08-20 | 2022-05-01 | 開曼群島商創新先進技術有限公司 | Payment risk control method and system |
-
2011
- 2011-10-21 TW TW101109470A patent/TW201317922A/en unknown
Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| TWI762788B (en) * | 2018-08-20 | 2022-05-01 | 開曼群島商創新先進技術有限公司 | Payment risk control method and system |
| TWI760982B (en) * | 2020-02-28 | 2022-04-11 | 南韓商韓領有限公司 | Computer-implemented systems and methods for generating demand forecasting data by performing wavelet transform for generating accurate purchase orders |
Similar Documents
| Publication | Publication Date | Title |
|---|---|---|
| Dayri et al. | Large tick assets: implicit spread and optimal tick size | |
| Putniņš | Market manipulation: A survey | |
| Bervas | Market liquidity and its incorporation into risk management | |
| He et al. | Determinants of liquidity and execution probability in exchange operated dark pool: Evidence from the Australian Securities Exchange | |
| Cohen et al. | Detecting and repairing arbitrage in traded option prices | |
| Hu et al. | Can Government Policies Induce Earnings Management Behavior?‐Evidence from Chinese Public Listed Firms | |
| Wang et al. | Economic benefits of technical analysis in portfolio management: Evidence from global stock markets | |
| Lepone et al. | The impact of mandatory IFRS reporting on institutional trading costs: Evidence from Australia | |
| Lee et al. | Commonality in trading activity and futures‐cash basis: Evidence from the Taiwan futures and stock markets | |
| Wu | CVA and FVA to derivatives trades collateralized by cash | |
| Nordén et al. | Option happiness and liquidity: Is the dynamics of the volatility smirk affected by relative option liquidity? | |
| US20160019646A1 (en) | Computer systems and methods for balancing indexes | |
| TW201317922A (en) | Measurement device for financial instrument transaction behavior | |
| Aslan et al. | The real effects of forced sales of corporate bonds | |
| Kaal et al. | Hedge funds and systemic risk | |
| Barnea et al. | Quantifying the variance risk premium in VIX options | |
| Kotlarz et al. | Regime-dependent drivers of the EUR/CHF exchange rate | |
| Bohl et al. | Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896 | |
| Ren et al. | Analysis of trade packages in the Chinese stock market | |
| Mamplata et al. | Hedging against foreign exchange risk of peso-dollar rates using futures | |
| Li et al. | FVA and CVA for Collateralized Trades with Re‐hypothecation | |
| Maringer et al. | Structured products: Performance, costs and investments | |
| Mela et al. | The Influence of Accounting Information Quality on Trade Credit with Inventory Liquidation Cost as Modetaring Variable | |
| Krueger et al. | Event-Driven Strategies in Crypto Assets | |
| Denga et al. | Forex risk management for multinationals: internal and external hedging techniques |