WO2009005263A2 - System and method for automatic stock trading, and recording medium recorded with a program therefor. - Google Patents
System and method for automatic stock trading, and recording medium recorded with a program therefor. Download PDFInfo
- Publication number
- WO2009005263A2 WO2009005263A2 PCT/KR2008/003751 KR2008003751W WO2009005263A2 WO 2009005263 A2 WO2009005263 A2 WO 2009005263A2 KR 2008003751 W KR2008003751 W KR 2008003751W WO 2009005263 A2 WO2009005263 A2 WO 2009005263A2
- Authority
- WO
- WIPO (PCT)
- Prior art keywords
- trading
- companies
- market
- ratios
- stock
- Prior art date
Links
- 238000000034 method Methods 0.000 title claims abstract description 188
- 239000002131 composite material Substances 0.000 claims abstract description 22
- 238000004891 communication Methods 0.000 claims abstract description 21
- 239000006227 byproduct Substances 0.000 claims description 8
- 230000000875 corresponding effect Effects 0.000 description 10
- 238000010586 diagram Methods 0.000 description 3
- 239000000047 product Substances 0.000 description 3
- 230000003247 decreasing effect Effects 0.000 description 2
- 238000012544 monitoring process Methods 0.000 description 2
- 238000007796 conventional method Methods 0.000 description 1
- 238000009472 formulation Methods 0.000 description 1
- PWPJGUXAGUPAHP-UHFFFAOYSA-N lufenuron Chemical compound C1=C(Cl)C(OC(F)(F)C(C(F)(F)F)F)=CC(Cl)=C1NC(=O)NC(=O)C1=C(F)C=CC=C1F PWPJGUXAGUPAHP-UHFFFAOYSA-N 0.000 description 1
- 239000000203 mixture Substances 0.000 description 1
Classifications
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
Definitions
- the present invention relates to a method and system for trading spot stocks or stock price index futures through a data communication network, and more particularly, to a method and system for automatically placing an order based on trading conditions input by an investor and market situations analyzed by a computer.
- an inventor input offered trading price and amount of a specific stock and other trading conditions in a computer. According to the input trading conditions, a trading order is placed. After that, the trading may be contracted.
- FIG. 1 An investor allows a computer system 10 to access a stock exchange system 30 through a data communication network 50 so as to check a balance of an account, his own stocks, current prices of own stocks, yesterday ending prices, or the like.
- the investor places a trading order of a specific stock.
- the order is transmitted to the stock exchange system 30.
- the stock exchange system 30 receives trading orders from security companies through the data communication network 50.
- the stock exchange system 30 contracts the trading at a specific price based on offered selling prices and amounts of stocks and offered buying prices and amounts of stocks.
- the inventors needs to analyze the market situations and considers the analyzed market situations before inputting the trading conditions.
- high-level professional knowledge and long time are required for analysis of the market situations and generation and input of new trading conditions. Therefore, it is difficult for individual investors to suitably adapt to a change of the stock market and determine trading conditions.
- Korean Patent No. 2000-62553 (Publication Date: June 16, 2001) discloses an automatic trading order method and system for repetitively generating an trading order as a substitute for an investor including an individual inventor or an institutional investor.
- the automatic trading order method includes a step of inputting desired trading conditions; a step of placing a selling or buying order according to the desired trading conditions through a data communication network, a step of checking conclusion of the trading through the data communication network, and a step of, if the selling or buying order is concluded, placing a new selling or buying order according to predetermined trading conditions in the computer.
- the computer is allowed to place a new trading order, so that it is possible to reduce investor's burdens to checking the conclusion of the trading and inputting new trading conditions.
- the new trading conditions denote trading conditions that the investor has input in the computer system in advance under the assumption that the initial trading is concluded.
- the initial trading conditions may be buying of 100 stocks of "A” company with 1,000 wons per a stock
- the new trading conditions may be selling of 100 stocks of "A" company with 1,200 wons per a stock. If the buying is concluded according to the initial trading conditions, the investor holds 100 stocks of "A" company with 100,000 wons. Next, if the selling is automatically concluded through the computer according to the new trading conditions input by the investor in advance, the investor earns 20,000 wons.
- the present invention provides an automatic stock trading method and system capable of automatically monitoring and analyzing a change of a market and determining trading in consideration of trading conditions input by an investor and market situations and a storage medium storing an automatic stock trading program.
- the present invention also provides an automatic stock trading method and system capable of allowing an investor to select a trading method such as an arbitrage trading method, a pair trading method, a volatility trading method, and a stock- futures/spot-stock composite trading method and determining optimized trading in consideration of market situations according to the trading method and a storage medium storing an automatic stock trading program.
- a trading method such as an arbitrage trading method, a pair trading method, a volatility trading method, and a stock- futures/spot-stock composite trading method and determining optimized trading in consideration of market situations according to the trading method and a storage medium storing an automatic stock trading program.
- an automatic stock trading method for trading spot stocks and stock price index futures by using a computer system connected to a data communication network comprising: a trading method selecting step of selecting one of trading methods including an arbitrage trading method, a pair trading method, a volatility trading method, and a stock- futures/spot-stock composite trading method in the computer system; a trading condition input step of inputting trading conditions such as accounts, companies, trading amounts, and trading prices required for the trading method selected in the trading method selecting step; a market-situation checking/analyzing step of checking market situations such as current prices, traded amounts, basis ratios, and average moving lines associated with the trading of the trading method and comparing and analyzing the trading conditions input in the trading condition input step in the computer system; a trading determining step of determining trading based on the trading conditions input in the trading condition input step and the market situations analyzed in the market-situation checking/analyzing step in the computer system; and a placing/contracting checking step of automatically placing a selling or buying order according to
- the trading method selected in the trading method selecting step may be the arbitrage trading method, wherein the trading conditions input in the trading condition input step include basis-ratio-section-based selling and buying positions, wherein the market-situation checking/analyzing step includes a step of calculating a market basis ratio of the to-be-invested companies, and wherein the trading determining step includes a step of determining trading according to the market basis ratio calculated in the market-situation checking/analyzing step and holding positions in basis ratio sections input in the trading condition input step.
- the trading method selected in the trading method selecting step may be the pair trading method, wherein the trading conditions input in the trading condition input step include a pair of companies having high correlation, wherein the market- situation checking/analyzing step includes a step of calculating increase rates of the companies in the pair, and wherein the trading determining step includes a step of determining selling the company having a relatively high increase rate by a relative strength and buying the companying having a relatively low increase rate by a relative strength.
- the trading method selected in the trading method selecting step may be the pair trading method, wherein three or more companies constitute one pair group.
- the trading method selected in the trading method selecting step may be the volatility trading method, wherein the trading conditions input in the trading condition input step include to-be-traded companies, a total investment amount, investment ratios of the companies to the total investment amount, and adjusting ratios of the companies, wherein the market- situation checking/analyzing step includes a step of checking current prices of the companies and analyzing a change in the market ratios, and wherein the trading determining step includes a step of adjusting the investment ratios by products of the differences between the market ratios and the investment ratios with the adjusting ratios and determining selling or buying according the adjusted investment ratios.
- the trading method selected in the trading method selecting step may be the stock-futures/spot-stock composite trading method, wherein the trading conditions input in the trading condition input step include basis-ratio-section-based selling and buying positions, companies included in a spot stock balance at the time of the arbitrage trading, and the spot stock trading method, wherein the market-situation checking/analyzing step includes a step of calculating a market basis ratio and checking market situations required for the input spot stock trading method, and wherein the trading determining step includes a step of determining arbitrage trading according to the market basis ratio calculated in the market- situation checking/ analyzing step and the selling and buying positions in the basis ratio sections input in the trading condition input step and determining trading according to the spot stock trading method selected for the companies included in the spot stock balance at the time of the arbitrage trading and the market situations.
- the trading method selected in the trading method selecting step may be the stock-futures/spot-stock composite trading method, wherein the trading conditions input in the trading condition input step include basis-ratio-section-based selling and buying position and a pair of companies having a high correlation at the time of the arbitrage trading included in the spot stock balance, wherein the market- situation checking/analyzing step includes a step of calculating a market basis ratio and relative increase rates of the companies in the pair included in the spot stock balance at the time of the arbitrage trading, and wherein the trading determining step includes a step of determining arbitrage trading according to the market basis ratio calculated in the market- situation checking/analyzing step and the selling and buying positions in the basis ratio sections input in the trading condition input step and determining selling the company having a relatively high increase rate by a relative strength among the companies in the pair included in the spot stock balance at the time of the arbitrage trading and buying the company having a relatively high increase rate by a relative strength.
- the trading conditions input in the trading condition input step include basis-ratio-section-based selling and buying positions, companies for spot stock trading included in a spot stock balance at the time of the arbitrage trading, the volatility trading method as the spot stock trading method, a total investment amount for the spot stock trading, investment ratios of the companies for the spot stock trading to the total investment amount, and adjusting ratios
- the market- situation checking/analyzing step includes a step of calculating a basis ratio, checking current prices of the companies, and analyzing a change in the market ratios
- the trading determining step includes a step of determining trading according to the market basis ratio calculated in the market-situation checking/analyzing step and the selling and buying positions in the basis ratio sections input in the trading condition input step, adjusting the investment ratios by products of the differences between the market ratios of the companies for the spot stock trading included in the spot stock balance at the time of the arbitrage trading with the adjusting ratios and determining trading of the spot stocks according to the adjusted investment ratios.
- FIG. 1 is a block diagram for explaining a conventional stock trading method using a data communication network.
- FIG. 2 is a block diagram showing an automatic stock trading system according to the present invention. Best Mode for Carrying Out the Invention
- FIG. 2 is a block diagram showing an automatic stock trading system according to an embodiment of the present invention.
- the automatic stock trading system includes a trading method selecting module 22, a trading condition input module 24, a market- situation checking/analyzing module 26, a trading determining module 28, and a placing/contracting checking module 29.
- an investor selects a trading method among arbitrage trading, pair trading, volatility trading, and stock-futures/spot-stock composite trading through the trading method selecting module 22 and inputs trading conditions required for the selected trading method through the trading condition input module 24.
- Basic trading conditions includes an account used for trading, companies, desired trading prices, desired trading amount, and the like.
- the market-situation checking/analyzing module 26 accesses a stock exchange system 30 through a data communication network 50 to check market situations including a current price, a trading amount, average moving lines, a stock price index, a basis ratio, and the like.
- a database accessed by the market- situation checking/ analyzing module 26 through the data communication network 30 is not limited to the stock exchange system of a stock exchange market, but any database capable of checking the market situations can be accessed.
- the trading determining module 28 receives the trading method, the trading condition, and the market situations through the trading method selecting module 22, the trading condition input module 24, and the market- situation checking/analyzing module 26, respectively, and collectively determines trading.
- the placing/contracting checking module 29 accesses the stock exchange system 30 through the data communication network 50 to place an order and check contracting of the trading according to the trading conditions received from the trading determining module 28.
- the computer checks and analyzes the market situations and determines trading in consideration of the analyzed market situations and the trading conditions set by the investor, so that a market-adaptable automatic stock trading can be performed so as to be actively and rapidly adapted to the market situations.
- trading conditions that can be input in the trading condition input module 24 includes basis-ratio-section-based selling and buying positions.
- the market- situation checking/analyzing module 26 calculates a market basis ratio.
- the trading determining module 28 determines trading according to the market basis ratio calculated by the market- situation checking/analyzing module and the basis-ratio-section-based selling and buying positions input in the trading condition input module.
- the arbitrage trading is sometimes refereed to as an arbitrage trading.
- the arbitrage trading is a riskless profit transaction using a discrepancy between a stock- futures price and a spot stock price in a stock price index futures market.
- the investor may clear all the funds; if the basis ratio is in a range of -0.1% to 0.5%, the investor may enter only 30% of the fund; if the basis ratio is in a range of 0.5% to 1.1%, the investor may enter 60% of the fund; and if the basis ratio is 1.1% or more, the investor may enter 90% of the fund.
- the investor inputs and sets basis-ratio-section-based selling and buying positions (that is, basis-ratio-section-based holding positions) through the trading condition input module 24.
- the market-situation checking/analyzing module 26 stores company-based number of shares, initial company-based prices, and KP200 index which are approximate to market ratio at the time of initial fund setting (initial entering) in a database and check whether or not the initial number of shares of each company is maintained. [44] If the initial number of shares is maintained, the market ratio is maintained. If the market ratio is changed due to a capital increase, a capital decrease, a withdrawal, the number of shares of the company which is approximate to the market ratio is calculated in comparison with yesterday final data (listed number of shares, a flowing stock ratio, and the like) stored in the database, and the database is modified. The initial price of a newly listed company is obtained by multiplying the current price with the initial KP200 price and dividing the result thereof with the current KP200 price, and the database is modified. The results are as follows.
- the market-situation checking/analyzing module 26 checks the changed data of each company and calculates the basis ratio of the fund. More specifically, the basis ratio can be calculated by dividing a sum amount of products of the number of shares of the companies and the current prices by a sum amount of products of the number of shares of the companies and the initial prices, dividing the resulting value multiplied with the initial KP200 index with the current stock-futures prices, and subtracting 1 from the resulting value. The calculation is formulized as follows.
- the initial price denotes a price at the first investment after establishment of fund.
- the trading determining module 28 calculates to-be-entered (held) number of shares of each company based on basis-ratio-section-based selling and buying positions calculated by the market-situation checking/analyzing module 2 and the basis ratio input in the trading condition input module 24.
- the to-be-held number of shares of each company is obtained by multiplying the number of shares corresponding to the investment amount of each company with the entering ratio.
- the sold amount of stock futures is also obtained by multiplying the total the amount of stock futures corresponding to the total investment amount with the entering ratio.
- trading order is determined and, information of trading order is output to the placing/contracting checking module 29.
- the placing/contracting checking module 25 accesses the stock exchange system 30 through the data communication network 50 to places the trading order and check contracting of the trading.
- a fund manager determines the market discrepancy ratio based on four variables of the maximum discrepancy ratio, the minimum discrepancy ratio, the trading discrepancy ratio, and the number of sections. If the market discrepancy ratio is equal to or larger than the maximum discrepancy ratio, the manager may the entire fund. If the market discrepancy ratio is smaller than the minimum discrepancy ratio, the manager may clear the entire fund.
- the manager may sequentially enter (clear) an amount that is obtained by dividing the total fund by the number of sections.
- the maximum discrepancy ratio is 1.0 %, the minimum discrepancy ratio is -0.2%, and the number of sections is 4 days. If the market discrepancy ratio is smaller than -0.2%, 0% of the fund is entered. If the market discrepancy ratio is in a range of -0.2% to 0.2%, 25% of the fund is entered. If the market discrepancy ratio is in a range of 0.2% to 0.6%, 50% of the fund is entered. If the market discrepancy ratio is in a range of 0.6% to 1.0%, 75% of the fund is entered. If the market discrepancy ratio is equal to or larger than 1.0%, 100% of the fund is entered.
- the trading discrepancy ratio is 0.4%
- if the market discrepancy ratio is 0.5% 50% of the fund is entered.
- the system stores the 0.5% as a previous trading discrepancy ratio. If the market discrepancy ratio deviates from the previous trading discrepancy ratio of 0.5% by the trading discrepancy ratio of 0.4%, that is, if the market discrepancy ratio is equal to or smaller than 0.1% if the market discrepancy ratio is equal to or larger than 0.9%, the entering ratios (in this case, 25% and 75%) corresponding to the market discrepancy ratios are calculated. Next, the trading corresponding to the entering ratios is automatically performed.
- the market- situation checking/analyzing module 26 can calculate the basis ratio immediately in response to a change of the market, and trading is automatically performed based on the basis ratio and the section-based selling and buying positions input through the trading condition input module 24, so that market situation can be automatically recognized by a program without inconvenient determination, and the trading can be performed without loss of chance. Accordingly, it is possible to stably make a profit.
- a fund manager approximately sets a price discrepancy between stock prices of the two companies for swapping stocks.
- the pair trading method is based on the experience that stocks of the companies running similar business have similar trends of stock prices and the experience that the price discrepancy between stock trends of the two companies in the pair disappears as time e lapses.
- the swapping of stocks is performed according to a relative increase or decrease rate of the companies in the pair.
- a selling or buying stock amount is determined based on a relative strength of an increase rate, so that standardization or formulation of the pair trading can be accomplished. Therefore, according to the third embodiment of the present invention, the pair trading can be more accurately performed, and a profit rate can be checked through quantitatively analysis (comparison of the relative strengths and the profit rates).
- the market- situation checking/analyzing module 26 calculates the increase rates of the companies in the pair.
- the trading determining module 28 determines the buying of the company having a high increase rate by the relative strength thereof and the selling of the company having a low increase rate by the relative strength thereof.
- the pair trading can be completed according to the relative strengths of the increase rates of the companies.
- the current price (Pi) for Samsung Electronics is 600,000 wons
- the current price (Pi) of LG Electronics is 52,000 wons.
- a fourth embodiment of the present invention three or more companies are selected as a pair group.
- the market- situation checking/analyzing module 26 calculates the increase rates of the companies in the pair.
- the trading determining module 28 calculates the relative strengths of the increase rates and determines the buying or selling by the relative strengths. [80] The same calculation as that of the above example is used for the pair trading of the three or more companies. According to the fourth embodiment of the present invention, it is possible to perform the pair trading of the three or more companies, which cannot be easily performed by a person.
- a predetermined investment amount is selected according to an investment ratio of a to-be-traded company, and the selling or buying of the stocks of the company is performed so that the investment amount can always be maintained.
- the investment amount is assumed to be 100,000 wons, and the stock price of the company is assumed to be 1,000 wons. 100 shares are assumed to be bought, and the stock price is assumed to be changed to 2,000 wons. In this case, in order to maintain the initial investment amount of 100,000 wons, 50 shores are sold from the held 100 shares, and thus, the remaining shares become 50 shares.
- the pattern of trading is repetitively performed according to a change in the stock price.
- the market- situation checking/ analyzing module 26 calculates volatilities of market ratios of invested companies.
- the trading determining module 28 determines buying or selling of stocks of the companies by adjusting the investment ratios (investment amounts) by a product of an adjusting ratio to a difference between market ratio and investment ratio of the companies, so that the volatility trading capable of adaptively responding to a volatility of the market ratio can be performed.
- the trading determining module 28 subtracts the investment ratio of 10% from the market ratio of 20% of the "A” company to obtain a difference of 10% and multiplies the difference with a predetermined adjusting ratio (for example, 2%) to obtain a value of 0.2%, and adds the value of 0.2% to the investment ratio of 10%, so that the adjusted investment ratio of 10.2% is obtained.
- the trading determining module 28 determines the buying or selling of the stocks of the "A" company according to the adjusted investment ratio.
- the stock-futures/spot-stock composite trading method is a composite trading method combining an arbitrage trading for stock price index futures with a spot stock trading involved with the arbitrage trading.
- an investor inputs basis-ratio-section-based selling and buying positions through the trading condition input module 24.
- the investor selects companies included in the spot stock balance at the time of the arbitrage trading and trading methods for the companies.
- the market-situation checking/analyzing module 26 calcualtes a market basis ratio.
- the trading determining module 28 determines trading by using the arbitrage trading.
- the trading determining module 28 determines the trading by using the arbitrage trading according to the input section-based selling and buying positions and the calculated market basis ratio.
- the market-situation checking/analyzing module 26 checks the market situation of the companies included in the spot stock balance at the time of the arbitrage trading and analyzes the market situations in a manner suitable for the spot stock trading method selected by the investor.
- the trading determining module 28 determines trading according to the arbitrage trading based on the data of the companies included in the spot stock balance at the time of the arbitrage trading, which are output from the market- situation checking/ analyzing module 26.
- a pair trading method is selected as the spot stock trading method.
- the market- situation checking/analyzing module calculates the stock prices and relative increase rates of the companies in the selected pair and outputs the results to the trading determining module 28.
- the trading determining module 28 determines selling or buying amounts corresponding to relative strengths of the increase rates of the companies and outputs the results to the placing/contracting checking module 29.
- the placing/contracting checking module 29 access a stock exchange system through the data communication network 50 to place a trading order and check the contracting thereof.
- the spot stock trading method is not limited to the pair trading method, but various investment methods including the volatility trading may be used.
- the system separately performs the arbitrage trading and spot stock trading such as pair trading and operates the separate adjustment system for combining and adjusting two trading methods at every time of occurrence of trading signals corresponding to the methods, so that the two trading methods are not to be incompatible with each other.
- the adjustment system suspends the buying if the trading determining module 28 determines the buying the shares with an amount exceeding the investment amount.
- the adjustment system suspends the selling if the trading determining module 28 determines the selling the shares exceeding the remaining number of shares. Accordingly, it is possible to prevent short selling.
- an automatic stock trading method and system capable of automatically monitoring and analyzing a change of a market and determining trading in consideration of trading conditions input by an investor and market situations and a storage medium storing an automatic stock trading program.
- an automatic stock trading method and system capable of allowing an investor to select a trading method such as an arbitrage trading method, a pair trading method, a volatility trading method, and a stock-futures/spot-stock composite trading method and determining optimized trading in consideration of market situations according to the trading method and a storage medium storing an automatic stock trading program.
Landscapes
- Business, Economics & Management (AREA)
- Engineering & Computer Science (AREA)
- Finance (AREA)
- Accounting & Taxation (AREA)
- Development Economics (AREA)
- Economics (AREA)
- Theoretical Computer Science (AREA)
- General Physics & Mathematics (AREA)
- General Business, Economics & Management (AREA)
- Marketing (AREA)
- Strategic Management (AREA)
- Technology Law (AREA)
- Physics & Mathematics (AREA)
- Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
- Entrepreneurship & Innovation (AREA)
- Operations Research (AREA)
- Human Resources & Organizations (AREA)
- Game Theory and Decision Science (AREA)
Abstract
Provided are automatic stock trading method and system for trading spot stocks and stock price index futures by using a computer system connected to a data communication network and a computer-readable storage medium storing an automatic stock trading program. In the method and system, an investor selects a trading method among an arbitrage trading method, a pair trading method, a volatility trading method, and a stock-futures/spot-stock composite trading method and inputs trading conditions required for the selected trading method. A computer system automatically checks and analyzes market situations such as a current price, a traded amount, a basis ratio, and average moving lines and determines trading in consideration of the input trading conditions and the market situations, and contracts and checks the trading.
Description
Description
SYSTEM AND METHOD FOR AUTOMATIC STOCK TRADING, AND RECORDING MEDIUM RECORDED WITH A PROGRAM
THEREFOR.
Technical Field
[1] The present invention relates to a method and system for trading spot stocks or stock price index futures through a data communication network, and more particularly, to a method and system for automatically placing an order based on trading conditions input by an investor and market situations analyzed by a computer. Background Art
[2] In a conventional method and system for trading stocks through a data communication network, an inventor input offered trading price and amount of a specific stock and other trading conditions in a computer. According to the input trading conditions, a trading order is placed. After that, the trading may be contracted.
[3] Now, a conventional stock trading method through a data communication network will be described with reference to FIG. 1. An investor allows a computer system 10 to access a stock exchange system 30 through a data communication network 50 so as to check a balance of an account, his own stocks, current prices of own stocks, yesterday ending prices, or the like.
[4] After the investor checks his own account and market situations, the investor places a trading order of a specific stock. The order is transmitted to the stock exchange system 30. The stock exchange system 30 receives trading orders from security companies through the data communication network 50. The stock exchange system 30 contracts the trading at a specific price based on offered selling prices and amounts of stocks and offered buying prices and amounts of stocks.
[5] The inventors needs to analyze the market situations and considers the analyzed market situations before inputting the trading conditions. However, high-level professional knowledge and long time are required for analysis of the market situations and generation and input of new trading conditions. Therefore, it is difficult for individual investors to suitably adapt to a change of the stock market and determine trading conditions.
[6] In addition to the individual investors, security companies or experts also spend a lot of personnel and time so as to analyze and adapt the market situations. However, the security companies or experts cannot always select optimal trading timing due to personal difference in time of responding the market.
[7] In order to solve the above problem, Korean Patent No. 2000-62553 (Publication
Date: June 16, 2001) discloses an automatic trading order method and system for repetitively generating an trading order as a substitute for an investor including an individual inventor or an institutional investor.
[8] According to the above Patent Document, the automatic trading order method includes a step of inputting desired trading conditions; a step of placing a selling or buying order according to the desired trading conditions through a data communication network, a step of checking conclusion of the trading through the data communication network, and a step of, if the selling or buying order is concluded, placing a new selling or buying order according to predetermined trading conditions in the computer.
[9] That is, if the selling or buying order is concluded, the computer is allowed to place a new trading order, so that it is possible to reduce investor's burdens to checking the conclusion of the trading and inputting new trading conditions. Here, the new trading conditions denote trading conditions that the investor has input in the computer system in advance under the assumption that the initial trading is concluded.
[10] For example, the initial trading conditions may be buying of 100 stocks of "A" company with 1,000 wons per a stock, and the new trading conditions may be selling of 100 stocks of "A" company with 1,200 wons per a stock. If the buying is concluded according to the initial trading conditions, the investor holds 100 stocks of "A" company with 100,000 wons. Next, if the selling is automatically concluded through the computer according to the new trading conditions input by the investor in advance, the investor earns 20,000 wons.
[11] However, such an automatic stock trading method is effective in a case where a trend of the stock market can be predicted and the trading conditions suitable for the trend are input. However, the method cannot cope with an unexpected change of the market, so that loss cannot be prevented.
[12] In addition, the conventional automatic stock trading method is not optimized with respect to various investment methods. Therefore, when an investor uses various trading methods, the conventional automatic stock trading method cannot be effectively used. Disclosure of Invention Technical Problem
[13] The present invention provides an automatic stock trading method and system capable of automatically monitoring and analyzing a change of a market and determining trading in consideration of trading conditions input by an investor and market situations and a storage medium storing an automatic stock trading program.
[14] The present invention also provides an automatic stock trading method and system capable of allowing an investor to select a trading method such as an arbitrage trading
method, a pair trading method, a volatility trading method, and a stock- futures/spot-stock composite trading method and determining optimized trading in consideration of market situations according to the trading method and a storage medium storing an automatic stock trading program. Technical Solution
[15] According to an aspect of the present invention, there is provided an automatic stock trading method for trading spot stocks and stock price index futures by using a computer system connected to a data communication network, comprising: a trading method selecting step of selecting one of trading methods including an arbitrage trading method, a pair trading method, a volatility trading method, and a stock- futures/spot-stock composite trading method in the computer system; a trading condition input step of inputting trading conditions such as accounts, companies, trading amounts, and trading prices required for the trading method selected in the trading method selecting step; a market-situation checking/analyzing step of checking market situations such as current prices, traded amounts, basis ratios, and average moving lines associated with the trading of the trading method and comparing and analyzing the trading conditions input in the trading condition input step in the computer system; a trading determining step of determining trading based on the trading conditions input in the trading condition input step and the market situations analyzed in the market-situation checking/analyzing step in the computer system; and a placing/contracting checking step of automatically placing a selling or buying order according to the determination of the trading determining step and checking contracting through the data communication network in the computer system.
[16] In the above aspect of the present invention, the trading method selected in the trading method selecting step may be the arbitrage trading method, wherein the trading conditions input in the trading condition input step include basis-ratio-section-based selling and buying positions, wherein the market-situation checking/analyzing step includes a step of calculating a market basis ratio of the to-be-invested companies, and wherein the trading determining step includes a step of determining trading according to the market basis ratio calculated in the market-situation checking/analyzing step and holding positions in basis ratio sections input in the trading condition input step.
[17] In addition, the trading method selected in the trading method selecting step may be the pair trading method, wherein the trading conditions input in the trading condition input step include a pair of companies having high correlation, wherein the market- situation checking/analyzing step includes a step of calculating increase rates of the companies in the pair, and wherein the trading determining step includes a step of determining selling the company having a relatively high increase rate by a relative
strength and buying the companying having a relatively low increase rate by a relative strength.
[18] In addition, the trading method selected in the trading method selecting step may be the pair trading method, wherein three or more companies constitute one pair group.
[19] In addition, the trading method selected in the trading method selecting step may be the volatility trading method, wherein the trading conditions input in the trading condition input step include to-be-traded companies, a total investment amount, investment ratios of the companies to the total investment amount, and adjusting ratios of the companies, wherein the market- situation checking/analyzing step includes a step of checking current prices of the companies and analyzing a change in the market ratios, and wherein the trading determining step includes a step of adjusting the investment ratios by products of the differences between the market ratios and the investment ratios with the adjusting ratios and determining selling or buying according the adjusted investment ratios.
[20] In addition, the trading method selected in the trading method selecting step may be the stock-futures/spot-stock composite trading method, wherein the trading conditions input in the trading condition input step include basis-ratio-section-based selling and buying positions, companies included in a spot stock balance at the time of the arbitrage trading, and the spot stock trading method, wherein the market-situation checking/analyzing step includes a step of calculating a market basis ratio and checking market situations required for the input spot stock trading method, and wherein the trading determining step includes a step of determining arbitrage trading according to the market basis ratio calculated in the market- situation checking/ analyzing step and the selling and buying positions in the basis ratio sections input in the trading condition input step and determining trading according to the spot stock trading method selected for the companies included in the spot stock balance at the time of the arbitrage trading and the market situations.
[21] In addition, the trading method selected in the trading method selecting step may be the stock-futures/spot-stock composite trading method, wherein the trading conditions input in the trading condition input step include basis-ratio-section-based selling and buying position and a pair of companies having a high correlation at the time of the arbitrage trading included in the spot stock balance, wherein the market- situation checking/analyzing step includes a step of calculating a market basis ratio and relative increase rates of the companies in the pair included in the spot stock balance at the time of the arbitrage trading, and wherein the trading determining step includes a step of determining arbitrage trading according to the market basis ratio calculated in the market- situation checking/analyzing step and the selling and buying positions in the basis ratio sections input in the trading condition input step and determining selling the
company having a relatively high increase rate by a relative strength among the companies in the pair included in the spot stock balance at the time of the arbitrage trading and buying the company having a relatively high increase rate by a relative strength.
[22] In addition, wherein the trading conditions input in the trading condition input step include basis-ratio-section-based selling and buying positions, companies for spot stock trading included in a spot stock balance at the time of the arbitrage trading, the volatility trading method as the spot stock trading method, a total investment amount for the spot stock trading, investment ratios of the companies for the spot stock trading to the total investment amount, and adjusting ratios, and wherein the market- situation checking/analyzing step includes a step of calculating a basis ratio, checking current prices of the companies, and analyzing a change in the market ratios, and wherein the trading determining step includes a step of determining trading according to the market basis ratio calculated in the market-situation checking/analyzing step and the selling and buying positions in the basis ratio sections input in the trading condition input step, adjusting the investment ratios by products of the differences between the market ratios of the companies for the spot stock trading included in the spot stock balance at the time of the arbitrage trading with the adjusting ratios and determining trading of the spot stocks according to the adjusted investment ratios. Brief Description of the Drawings
[23] FIG. 1 is a block diagram for explaining a conventional stock trading method using a data communication network.
[24] FIG. 2 is a block diagram showing an automatic stock trading system according to the present invention. Best Mode for Carrying Out the Invention
[25] Hereinafter, embodiments of the present invention will be described in detail with reference to FIG. 2. FIG. 2 is a block diagram showing an automatic stock trading system according to an embodiment of the present invention.
[26] The automatic stock trading system according to a first embodiment of the present invention includes a trading method selecting module 22, a trading condition input module 24, a market- situation checking/analyzing module 26, a trading determining module 28, and a placing/contracting checking module 29.
[27] Firstly, an investor selects a trading method among arbitrage trading, pair trading, volatility trading, and stock-futures/spot-stock composite trading through the trading method selecting module 22 and inputs trading conditions required for the selected trading method through the trading condition input module 24. Basic trading conditions includes an account used for trading, companies, desired trading prices,
desired trading amount, and the like.
[28] The market-situation checking/analyzing module 26 accesses a stock exchange system 30 through a data communication network 50 to check market situations including a current price, a trading amount, average moving lines, a stock price index, a basis ratio, and the like. A database accessed by the market- situation checking/ analyzing module 26 through the data communication network 30 is not limited to the stock exchange system of a stock exchange market, but any database capable of checking the market situations can be accessed.
[29] The trading determining module 28 receives the trading method, the trading condition, and the market situations through the trading method selecting module 22, the trading condition input module 24, and the market- situation checking/analyzing module 26, respectively, and collectively determines trading.
[30] The placing/contracting checking module 29 accesses the stock exchange system 30 through the data communication network 50 to place an order and check contracting of the trading according to the trading conditions received from the trading determining module 28.
[31] Unlike the conventional automatic stock trading system where the trading is contracted under the trading conditions one-sidedly set by an investor, in the automatic stock trading system according to the first embodiment of the present invention, the computer checks and analyzes the market situations and determines trading in consideration of the analyzed market situations and the trading conditions set by the investor, so that a market-adaptable automatic stock trading can be performed so as to be actively and rapidly adapted to the market situations.
[32] In addition, in the automatic stock trading system according to the first embodiment, since the investor can select the trading method, various investment techniques can be satisfactorily employed.
[33] In addition, since profession analysis of market situations corresponding to the various investment techniques and applications thereof are automatically performed, more professionalized stock investment environments can be provided to general persons.
[34] In addition, since the profession analysis of market situations corresponding to the various investment techniques and applications thereof are performed in real time by the computer, it is possible to minimize loss caused from overlooking of a change in the market situations and missing of optimal trade timing.
[35] Now, an automatic stock trading system using arbitrage trading as a trading method according to a second embodiment of the present invention will be described with reference to FIG. 2.
[36] In the embodiment, trading conditions that can be input in the trading condition input
module 24 includes basis-ratio-section-based selling and buying positions. The market- situation checking/analyzing module 26 calculates a market basis ratio. The trading determining module 28 determines trading according to the market basis ratio calculated by the market- situation checking/analyzing module and the basis-ratio-section-based selling and buying positions input in the trading condition input module.
[37] The arbitrage trading is sometimes refereed to as an arbitrage trading. The arbitrage trading is a riskless profit transaction using a discrepancy between a stock- futures price and a spot stock price in a stock price index futures market.
[38] In the arbitrage trading, if there is a temporary discrepancy between a real price of the stock price index futures and an theoretical price which is a spot stock price added with a financial fee in the stock price index futures market, a relatively high price one is sold, and a relatively low price one is bought, so that a reckless profit corresponding to a reduction of the discrepancy can be obtained in the future that the two prices are recovered to normal prices.
[39] For example, if the real price of the stock price index futures is higher than the theoretical price, the stock-futures price is evaluated to be relatively high. Therefore, a buying arbitrage trading of selling the stock price index futures and buying the spot stock is performed.
[40] On the contrary, if the real price of the stock price index futures is lower than the spot stock price, the real price of the stock price index futures is evaluated to be relatively low. Therefore, a selling arbitrage trading of buying the stock price index futures and selling the spot stock is performed.
[41] A basis denotes a discrepancy between the stock- futures price and the spot stock price in the stock market, that is, (basis) = (stock-futures price)-(spot stock price). If the basis is positive, the market is called "in contango." If the basis is negative, the market is called "in backwardation."
[42] For example, in the second embodiment of the present invention, if the basis ratio is -
0.1% or less (the backwardation occurs), the investor may clear all the funds; if the basis ratio is in a range of -0.1% to 0.5%, the investor may enter only 30% of the fund; if the basis ratio is in a range of 0.5% to 1.1%, the investor may enter 60% of the fund; and if the basis ratio is 1.1% or more, the investor may enter 90% of the fund. In this case, the investor inputs and sets basis-ratio-section-based selling and buying positions (that is, basis-ratio-section-based holding positions) through the trading condition input module 24.
[43] The market-situation checking/analyzing module 26 stores company-based number of shares, initial company-based prices, and KP200 index which are approximate to market ratio at the time of initial fund setting (initial entering) in a database and check whether or not the initial number of shares of each company is maintained.
[44] If the initial number of shares is maintained, the market ratio is maintained. If the market ratio is changed due to a capital increase, a capital decrease, a withdrawal, the number of shares of the company which is approximate to the market ratio is calculated in comparison with yesterday final data (listed number of shares, a flowing stock ratio, and the like) stored in the database, and the database is modified. The initial price of a newly listed company is obtained by multiplying the current price with the initial KP200 price and dividing the result thereof with the current KP200 price, and the database is modified. The results are as follows.
[45] (Number of Shares of Company) = (Investment Amount * (Xi * Pi * Ri ) / sum(Xi *
Pi * Ri )) / Pi
[46] Xi: number of listed shares of each company, Pi: current price of each company, Ri: flowing stock ratio
[47] (Initial Price of Newly Listed Company) = Pi * (Initial KP200 Price)/(Current KP200
Price)
[48] In this manner, the changed data of each company are automatically checked, and the database is updated.
[49] The market-situation checking/analyzing module 26 checks the changed data of each company and calculates the basis ratio of the fund. More specifically, the basis ratio can be calculated by dividing a sum amount of products of the number of shares of the companies and the current prices by a sum amount of products of the number of shares of the companies and the initial prices, dividing the resulting value multiplied with the initial KP200 index with the current stock-futures prices, and subtracting 1 from the resulting value. The calculation is formulized as follows.
[50] (Basis Ratio) = (Stock-Futures Price)/((sum(Xi * Pi)/sum(Xi * Po))*(Initial KP200
Index)- 1)
[51] (Xi: number of shares of each company, Pi: current price of each company, Po: initial price of each company)
[52] The initial price denotes a price at the first investment after establishment of fund.
[53] The trading determining module 28 calculates to-be-entered (held) number of shares of each company based on basis-ratio-section-based selling and buying positions calculated by the market-situation checking/analyzing module 2 and the basis ratio input in the trading condition input module 24.
[54] As described later, if a total entering ratio is determined, the to-be-held number of shares of each company is obtained by multiplying the number of shares corresponding to the investment amount of each company with the entering ratio. The sold amount of stock futures is also obtained by multiplying the total the amount of stock futures corresponding to the total investment amount with the entering ratio.
[55] When the to-be-held number of shares of each company is determined, a previously-
held number of shares is subtracted from the to-be-held number of shares. As a result of the subtraction, if a selling position is needed to be taken, bid price is obtained from the market-situation checking/analyzing module 26. If a buying position is needed to be taken, offered price is obtained from the market- situation checking/analyzing module 26. Next, the basis ratio is calculated.
[56] As a result of the re-calculation, if the basis ratio is larger than a trading discrepancy ratio, trading order is determined and, information of trading order is output to the placing/contracting checking module 29. The placing/contracting checking module 25 accesses the stock exchange system 30 through the data communication network 50 to places the trading order and check contracting of the trading.
[57] For example, firstly, a fund manager determines the market discrepancy ratio based on four variables of the maximum discrepancy ratio, the minimum discrepancy ratio, the trading discrepancy ratio, and the number of sections. If the market discrepancy ratio is equal to or larger than the maximum discrepancy ratio, the manager may the entire fund. If the market discrepancy ratio is smaller than the minimum discrepancy ratio, the manager may clear the entire fund.
[58] If the market discrepancy ratio is larger than the minimum discrepancy ratio and smaller than maximum discrepancy ratio, the manager may sequentially enter (clear) an amount that is obtained by dividing the total fund by the number of sections.
[59] As an example, it is assumed that the maximum discrepancy ratio is 1.0 %, the minimum discrepancy ratio is -0.2%, and the number of sections is 4 days. If the market discrepancy ratio is smaller than -0.2%, 0% of the fund is entered. If the market discrepancy ratio is in a range of -0.2% to 0.2%, 25% of the fund is entered. If the market discrepancy ratio is in a range of 0.2% to 0.6%, 50% of the fund is entered. If the market discrepancy ratio is in a range of 0.6% to 1.0%, 75% of the fund is entered. If the market discrepancy ratio is equal to or larger than 1.0%, 100% of the fund is entered.
[60] In this case, when the trading discrepancy ratio is 0.4%, if the market discrepancy ratio is 0.5%, 50% of the fund is entered. Once the entering of the fund is performed, the system stores the 0.5% as a previous trading discrepancy ratio. If the market discrepancy ratio deviates from the previous trading discrepancy ratio of 0.5% by the trading discrepancy ratio of 0.4%, that is, if the market discrepancy ratio is equal to or smaller than 0.1% if the market discrepancy ratio is equal to or larger than 0.9%, the entering ratios (in this case, 25% and 75%) corresponding to the market discrepancy ratios are calculated. Next, the trading corresponding to the entering ratios is automatically performed.
[61] As a result, 0.5% of the fund is entered, and 0.1% of the fund is cleared. Therefore, an amount obtained by subtracting a trading fee from 0.4% of the fund (that is the net
amount of the entered and the cleared fund) (25%) becomes the established profit.
[62] According to the second embodiment of the present invention, the market- situation checking/analyzing module 26 can calculate the basis ratio immediately in response to a change of the market, and trading is automatically performed based on the basis ratio and the section-based selling and buying positions input through the trading condition input module 24, so that market situation can be automatically recognized by a program without inconvenient determination, and the trading can be performed without loss of chance. Accordingly, it is possible to stably make a profit.
[63] In addition, it is possible to make an additional profit according to a change in basis ratio as well as a conventional arbitrage trading profit.
[64] Now, an automatic stock trading system using pair trading as a trading method according to a third embodiment of the present invention will be described with reference to FIG. 2.
[65] In a conventional generalized pair trading method, two companies that run similar business are selected as a pair, and a fund manager approximately sets a price discrepancy between stock prices of the two companies for swapping stocks. The pair trading method is based on the experience that stocks of the companies running similar business have similar trends of stock prices and the experience that the price discrepancy between stock trends of the two companies in the pair disappears as time e lapses. In the pair trading method, the swapping of stocks is performed according to a relative increase or decrease rate of the companies in the pair.
[66] On the other and, according to a third embodiment of the present invention, a selling or buying stock amount is determined based on a relative strength of an increase rate, so that standardization or formulation of the pair trading can be accomplished. Therefore, according to the third embodiment of the present invention, the pair trading can be more accurately performed, and a profit rate can be checked through quantitatively analysis (comparison of the relative strengths and the profit rates).
[67] According to the third embodiment of the present invention, the market- situation checking/analyzing module 26 calculates the increase rates of the companies in the pair. The trading determining module 28 determines the buying of the company having a high increase rate by the relative strength thereof and the selling of the company having a low increase rate by the relative strength thereof.
[68] As an example, Samsung Electronics (an assumed initial investment of 100 shares) and LG Electronics (an assumed initial investment of 500 shares) are selected as a pair. The stock price of Samsung Electronics is assumed to be increased from 500,000 wons to 600,000 wons, the stock prices of LG Electronics is assumed to be increased from 50,000 wons to 52,000 wons. The increase rate of Samsung Electronics is 20%, and the increase rate of LG Electronics is 4%. Therefore, the stock price of Samsung
Electronics is relatively increased, and the stock price of LG Electronics is relatively decreased. As a result, the buying amounts according to the relative strengths are as follows.
[69] Firstly, initial investment ratios Ri for Samsung Electronics and LG Electronics before change of the stock prices are calculated.
[70] Investment Ratio for Samsung Electronics (Rl) = (500,000 wons * 100 shares)/(500,000 wons * 100 shares + 50,000 wons * 500 shares) = 66.7%
[71] Investment Ratio for LG Electronics (R2) = (50,000 wons * 500 shares)/(500,000 wons * 100 shares + 50,000 wons * 500 shares) = 33.3%
[72] Next, a total evaluated amount (T) after increase of the stock prices is calculated.
[73] (Total Evaluated Amount after Increase of Stock Price) (T) = (600,000 wons * 100 shares + 52,000 wons * 500 share) = 86,000,000 wons
[74] The numbers of stocks of the companies for maintaining the investment ratios after increase of stock prices are calculated.
[75] (Number of shares of Samsung Electronics) = 86,000,000 wons * 66.7 % / 600,000 wons = 96 shares
[76] (Number of shares of LG Electronics) = 86,000,000 wons * 33.3 % / 52,000 wons =
551 shares
[77] Accordingly, by selling 4 shares of Samsung Electronics and buying 51 shares of LG
Electronics, the pair trading can be completed according to the relative strengths of the increase rates of the companies. In this case, the current price (Pi) for Samsung Electronics is 600,000 wons, and the current price (Pi) of LG Electronics is 52,000 wons.
[78] In the above calculation of the pair trading, if the price discrepancy between stock trends of the pair companies is continuously maintained due to external environment or internal situation of the companies, a tracking error is increased. Therefore, in the system according to the present invention, a difference between the investment ratios (= (a market ratio of the company) - (initial investment ratio)) is multiplied with a ratio (generally, 0.1% ~ 3%) set by the fund manager. Every time that the system starts before daily opening of the market, the resulting value is added to the initial investment ratios, so that the tracking error is controlled. Accordingly, even in a market situation having a strongly biased momentum, profit can be stably ensured through the pair trading.
[79] According to a fourth embodiment of the present invention, three or more companies are selected as a pair group. The market- situation checking/analyzing module 26 calculates the increase rates of the companies in the pair. The trading determining module 28 calculates the relative strengths of the increase rates and determines the buying or selling by the relative strengths.
[80] The same calculation as that of the above example is used for the pair trading of the three or more companies. According to the fourth embodiment of the present invention, it is possible to perform the pair trading of the three or more companies, which cannot be easily performed by a person.
[81] Hereinafter, a volatility trading method in the automatic stock trading system according to a fifth embodiment will be described with reference to FIG. 2.
[82] In a volatility trading method, a predetermined investment amount is selected according to an investment ratio of a to-be-traded company, and the selling or buying of the stocks of the company is performed so that the investment amount can always be maintained.
[83] The investment amount is assumed to be 100,000 wons, and the stock price of the company is assumed to be 1,000 wons. 100 shares are assumed to be bought, and the stock price is assumed to be changed to 2,000 wons. In this case, in order to maintain the initial investment amount of 100,000 wons, 50 shores are sold from the held 100 shares, and thus, the remaining shares become 50 shares. The pattern of trading is repetitively performed according to a change in the stock price.
[84] However, according to the repetition of the trading pattern, stocks of a price- increasing company are continuously sold, so that the held shares thereof are decreased. On the contrary, stocks of a price-decreasing company are continuously bought, so that the held shares thereof are increased. As a result, in a strong market, the profit cannot be maximized, and in a weak market, the loss is further increased.
[85] In the fifth embodiment of the present invention, the market- situation checking/ analyzing module 26 calculates volatilities of market ratios of invested companies. The trading determining module 28 determines buying or selling of stocks of the companies by adjusting the investment ratios (investment amounts) by a product of an adjusting ratio to a difference between market ratio and investment ratio of the companies, so that the volatility trading capable of adaptively responding to a volatility of the market ratio can be performed.
[86] For example, 10 companies are selected as to-be-invested companies, and the investment ratio of "A" company among them is selected as 10%. The stock prices of the other 9 companies are assumed not to be changed, and the stock price of the "A" company is assumed to be increased twice. In this case, according to a conventional volatility trading method, 50% of the held shares of the "A" company needs to be sold.
[87] According to the present invention, since the market ratio of the "A" company is changed by about 20% due to the increase in the stock price, the trading determining module 28 subtracts the investment ratio of 10% from the market ratio of 20% of the "A" company to obtain a difference of 10% and multiplies the difference with a predetermined adjusting ratio (for example, 2%) to obtain a value of 0.2%, and adds the
value of 0.2% to the investment ratio of 10%, so that the adjusted investment ratio of 10.2% is obtained. The trading determining module 28 determines the buying or selling of the stocks of the "A" company according to the adjusted investment ratio.
[88] For example, 100 shares of Samsung Electronics are assumed to be initially bought at the stock price of 500,000 wons with the investment ratio of 10%. The stock price of Samsung Electronics is assumed to be increased to 1,000,000 wons, and the stock prices of the other companies are assumed not to be changed. The investment ratio of Samsung Electronics becomes 20% (=10% x (1,000,000/500,000)).
[89] In a volatility trading method without adjustment, 100 shares (= 100 shares x
(1,000,000/500,000-1)) is sold. However, in a volatility trading method using adjustment, the adjustment ratio of, for example, 4% is entered, so that the investment ratio is changed from 10% to 10.4% (= 10%+(20%-10%)*4%). The number of shares is increased by 4 share to be 104 shares (= 100 share x (10.4%/10%)). Accordingly, the to-be-sold shares are adjusted by 4 shares to be changed from 100 shares to 96 shares.
[90] That is, after the adjustment, shares reduced by 4 shares are sold. If the adjustment is continuously performed every time that the market opens, the market ratios of stocks of the companies can be corrected to be maintained even in a great increase or decrease in the stock prices.
[91] Therefore, according to the fifth embodiment of the present invention, profit can be obtained through stock trading pattern using a volatility of stocks, and the investment ratio is adjusted by adaptively responding to a discrepancy between the market ratio and the investment ratio according to the change in the stock price, so that shortcomings of conventional volatility trading can be overcome.
[92] Hereinafter, a stock-futures/spot-stock composite trading method in the automatic stock trading system according to a sixth embodiment will be described with reference to FIG. 2.
[93] The stock-futures/spot-stock composite trading method is a composite trading method combining an arbitrage trading for stock price index futures with a spot stock trading involved with the arbitrage trading.
[94] For example, in the above-described buying arbitrage trading, if the real prices of the stock price index futures are higher than a theoretical price, that is, evaluated at a relatively higher price, the stock price index futures are sold, and at the same time, the spot stocks are bought. In this case, the bought spot stocks had rather be re-traded (spot stock trading) than be held until the maturity of the stock price index futures, so that additional profit can be obtained.
[95] Particularly, since only 15% of the buying amount of the stock price index futures needs to be paid as a margin, the remaining amount of 85% can be used for spot stock trading. Therefore, additional profit can be obtained. In addition, a profit cor-
responding to the interest thereof can also be obtained.
[96] According to the sixth embodiment for automatic composite investment trading, an investor inputs basis-ratio-section-based selling and buying positions through the trading condition input module 24. In addition, the investor selects companies included in the spot stock balance at the time of the arbitrage trading and trading methods for the companies.
[97] The market-situation checking/analyzing module 26 calcualtes a market basis ratio.
Based on the market basis ratio, the trading determining module 28 determines trading by using the arbitrage trading.
[98] The trading determining module 28 determines the trading by using the arbitrage trading according to the input section-based selling and buying positions and the calculated market basis ratio.
[99] The market-situation checking/analyzing module 26 checks the market situation of the companies included in the spot stock balance at the time of the arbitrage trading and analyzes the market situations in a manner suitable for the spot stock trading method selected by the investor.
[100] The trading determining module 28 determines trading according to the arbitrage trading based on the data of the companies included in the spot stock balance at the time of the arbitrage trading, which are output from the market- situation checking/ analyzing module 26.
[101] In the stock-futures/spot-stock composite trading according to a seventh embodiment of the present invention, a pair trading method is selected as the spot stock trading method.
[102] When the investor selects a pair of companies having a high correlation among the companies included in the spot stock balance at the time of the arbitrage trading through the trading condition input module, the market- situation checking/analyzing module calculates the stock prices and relative increase rates of the companies in the selected pair and outputs the results to the trading determining module 28.
[103] The trading determining module 28 determines selling or buying amounts corresponding to relative strengths of the increase rates of the companies and outputs the results to the placing/contracting checking module 29. The placing/contracting checking module 29 access a stock exchange system through the data communication network 50 to place a trading order and check the contracting thereof.
[104] In the stock-futures/spot-stock composite trading, the spot stock trading method is not limited to the pair trading method, but various investment methods including the volatility trading may be used. The system separately performs the arbitrage trading and spot stock trading such as pair trading and operates the separate adjustment system for combining and adjusting two trading methods at every time of occurrence of
trading signals corresponding to the methods, so that the two trading methods are not to be incompatible with each other.
[105] The adjustment system suspends the buying if the trading determining module 28 determines the buying the shares with an amount exceeding the investment amount. The adjustment system suspends the selling if the trading determining module 28 determines the selling the shares exceeding the remaining number of shares. Accordingly, it is possible to prevent short selling. Industrial Applicability
[106] According to the present invention, an automatic stock trading method and system capable of automatically monitoring and analyzing a change of a market and determining trading in consideration of trading conditions input by an investor and market situations and a storage medium storing an automatic stock trading program.
[107] In addition, according to the present invention, an automatic stock trading method and system capable of allowing an investor to select a trading method such as an arbitrage trading method, a pair trading method, a volatility trading method, and a stock-futures/spot-stock composite trading method and determining optimized trading in consideration of market situations according to the trading method and a storage medium storing an automatic stock trading program.
Claims
[1] An automatic stock trading method for trading spot stocks and stock price index futures by using a computer system connected to a data communication network, comprising: a trading method selecting step of selecting one of trading methods including an arbitrage trading method, a pair trading method, a volatility trading method, and a stock-futures/spot-stock composite trading method in the computer system; a trading condition input step of inputting trading conditions required for the trading method selected in the trading method selecting step; a market-situation checking/analyzing step of checking market situations associated with the trading of the trading method and comparing and analyzing the trading conditions input in the trading condition input step in the computer system; a trading determining step of determining trading based on the trading conditions input in the trading condition input step and the market situations analyzed in the market- situation checking/analyzing step in the computer system; and a placing/contracting checking step of automatically placing a selling or buying order according to the determination of the trading determining step and checking contracting through the data communication network in the computer system, wherein the trading method selected in the trading method selecting step is the arbitrage trading method, wherein the trading conditions input in the trading condition input step include basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies, wherein the market- situation checking/analyzing step includes a step of calculating a market basis ratio of the to-be-invested companies, and wherein the trading determining step includes a step of determining trading according to the market basis ratio calculated in the market- situation checking/ analyzing step and holding positions in basis ratio sections input in the trading condition input step.
[2] The automatic stock trading method according to claim 1, wherein the trading method selected in the trading method selecting step is the pair trading method, wherein the trading conditions input in the trading condition input step further includes a pair group of at least two companies which are traded as a pair, wherein the market- situation checking/analyzing step further comprises:
a step of calculating initial investment ratios (Ri) of the companies in the pair group; and a step of calculating stock price changing rates (Pi) of the companies at the time of a change in stock price and calculating a total evaluated amount (T) of the companies in the pair group, and wherein the trading determining step determines trading of holding the number of shares that is a multiplication of a total evaluated amount (T) of the entire companies in the pair with the initial investment ratios (Ri) divided by current stock prices (P) of the companies so as to maintain the initial investment ratios of the companies in the pair even at the time of change in the stock prices.
[3] The automatic stock trading method according to claim 1, wherein the trading method selected in the trading method selecting step is the volatility trading method, wherein the trading conditions input in the trading condition input step further includes to-be-traded companies, a total investment amount, investment ratios of the companies to the total investment amount, and adjusting ratios of the companies, wherein the market- situation checking/analyzing step further comprises a step of checking current prices of the companies and calculating changing rates of the current prices to previous trading prices and differences between current holding ratios and market ratios of the companies, and wherein the trading determining step adjusts the investment ratios of the companies by products of the differences between the market ratios and the current holding ratios of the companies with the adjusting ratios and determines held shores of the companies that is a multiplication of the total investment amounts with the investment ratios of the companies divided by the current prices, and determines trading by the number of shares that is a subtraction of the previous held shares from the determined held shares.
[4] The automatic stock trading method according to claim 1, wherein the trading method selected in the trading method selecting step is the stock- futures/spot- stock composite trading method of performing the arbitrage trading method and the pair trading at the same time, wherein the trading conditions input in the trading condition input step further includes basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies and a pair group of at least two companies which are traded as a pair, wherein the market- situation checking/analyzing step includes a step of calculating a market basis ratio of the to-be-invested companies and calculating
initial investment ratios (Ri) of the companies in the pair group and stock price changing rates (Pi) of the companies at the time of a change in stock price and calculating a total evaluated amount (T) of the companies in the pair group, and wherein the trading determining step includes a step of determining trading according to the market basis ratio calculated in the market- situation checking/ analyzing step and holding positions in basis ratio sections input in the trading condition input step, determining trading of holding the number of shares that is a multiplication of a total evaluated amount (T) of the entire companies in the pair with the initial investment ratios (Ri) divided by current stock prices (P) of the companies so as to maintain the initial investment ratios of the companies in the pair even at the time of change in the stock prices, and finally performing trading a sum of the two determined trading amounts.
[5] The automatic stock trading method according to claim 1, wherein the trading method selected in the trading method selecting step is the stock- futures/spot- stock composite trading method of performing the arbitrage trading method and the volatility trading method at the same time, wherein the trading conditions input in the trading condition input step further includes basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies and to-be-traded companies, a total investment amount, investment ratios of the companies to the total investment amount, and adjusting ratios of the companies, wherein the market- situation checking/analyzing step includes a step of calculating a market basis ratio of the to-be-invested companies and checking current prices of the companies and calculating changing rates of the current prices to previous trading prices and differences between current holding ratios and market ratios of the companies, and wherein the trading determining step includes a step of determining trading according to the market basis ratio calculated in the market- situation checking/ analyzing step and holding positions in basis ratio sections input in the trading condition input step, adjusting the investment ratios of the companies by products of the differences between the market ratios and the current holding ratios of the companies with the adjusting ratios and determines held shores of the companies that is a multiplication of the total investment amounts with the investment ratios of the companies divided by the current prices, determining trading by the number of shares that is a subtraction of the previous held shares from the determined held shares, and finally performing trading a sum of the two determined trading amounts.
[6] An automatic stock trading system for trading spot stocks and stock price index futures by using a computer system connected to a data communication network, comprising: a trading method selecting module of selecting one of trading methods including an arbitrage trading method, a pair trading method, a volatility trading method, and a stock-futures/spot-stock composite trading method; a trading condition input module of inputting trading conditions required for the trading method selected in the trading method selecting module; a market-situation checking/analyzing module of checking market situations associated with the trading of the trading method and comparing and analyzing the trading conditions input in the trading condition input module; a trading determining module of determining trading based on the trading conditions input in the trading condition input module and the market situations analyzed in the market- situation checking/analyzing module; and a placing/contracting checking module of automatically placing a selling or buying order according to the determination of the trading determining module and checking contracting through the data communication network, wherein the trading method selected in the trading method selecting module is the arbitrage trading method, wherein the trading conditions input in the trading condition input module include basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies, wherein the market- situation checking/analyzing module includes a step of calculating a market basis ratio of the to-be-invested companies, and wherein the trading determining module includes a step of determining trading according to holding positions where the market basis ratio calculated in the market- situation checking/analyzing module is included in a basis ratio section input in the trading condition input module.
[7] The automatic stock trading system according to claim 6, wherein the trading method selected in the trading method selecting module is the pair trading, wherein the trading conditions input in the trading condition input module further includes a pair group of at least two companies which are traded as a pair, wherein the market- situation checking/analyzing module calculates initial investment ratios (Ri) of the companies in the pair group and calculates stock price changing rates (Pi) of the companies at the time of a change in stock price and calculating a total evaluated amount (T) of the companies in the pair group,
and wherein the trading determining module determines trading of holding the number of shares that is a multiplication of a total evaluated amount (T) of the entire companies in the pair with the initial investment ratios (Ri) divided by current stock prices (P) of the companies so as to maintain the initial investment ratios of the companies in the pair even at the time of change in the stock prices.
[8] The automatic stock trading system according to claim 6, wherein the trading method selected in the trading method selecting module is the volatility trading method, wherein the trading conditions input in the trading condition input module further includes to-be-traded companies, a total investment amount, investment ratios of the companies to the total investment amount, and adjusting ratios of the companies, wherein the market- situation checking/analyzing module checks current prices of the companies and calculates changing rates of the current prices to previous trading prices and differences between current holding ratios and market ratios of the companies, and wherein the trading determining module adjusts the investment ratios of the companies by products of the differences between the market ratios and the current holding ratios of the companies with the adjusting ratios and determines held shores of the companies that is a multiplication of the total investment amounts with the investment ratios of the companies divided by the current prices, and determines trading by the number of shares that is a subtraction of the previous held shares from the determined held shares.
[9] The automatic stock trading system according to claim 6, wherein the trading method selected in the trading method selecting module is the stock- futures/spot-stock composite trading method of performing the arbitrage trading method and the pair trading at the same time, wherein the trading conditions input in the trading condition input module further includes basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies and a pair group of at least two companies which are traded as a pair, wherein the market- situation checking/analyzing module calculates a market basis ratio of the to-be-invested companies and calculating initial investment ratios (Ri) of the companies in the pair group and stock price changing rates (Pi) of the companies at the time of a change in stock price and calculates a total evaluated amount (T) of the companies in the pair group, and wherein the trading determining module determines trading according to holding
positions where the market basis ratio calculated in the market-situation checking/analyzing module is included in a basis ratio section input in the trading condition input module, determines trading of holding the number of shares that is a multiplication of a total evaluated amount (T) of the entire companies in the pair with the initial investment ratios (Ri) divided by current stock prices (P) of the companies so as to maintain the initial investment ratios of the companies in the pair even at the time of change in the stock prices, and finally performs trading a sum of the two determined trading amounts.
[10] The automatic stock trading system according to claim 6, wherein the trading method selected in the trading method selecting step is the stock- futures/spot- stock composite trading method of performing the arbitrage trading method and the volatility trading method at the same time, wherein the trading conditions input in the trading condition input module further includes basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies and to-be-traded companies, a total investment amount, investment ratios of the companies to the total investment amount, and adjusting ratios of the companies, wherein the market- situation checking/analyzing module calculates a market basis ratio of the to-be-invested companies and checking current prices of the companies and calculates changing rates of the current prices to previous trading prices and differences between current holding ratios and market ratios of the companies, and wherein the trading determining module determines trading according to holding positions where the market basis ratio calculated in the market-situation checking/analyzing module is included in a basis ratio section input in the trading condition input module, adjusts the investment ratios of the companies by products of the differences between the market ratios and the current holding ratios of the companies with the adjusting ratios and determines held shores of the companies that is a multiplication of the total investment amounts with the investment ratios of the companies divided by the current prices, determines trading by the number of shares that is a subtraction of the previous held shares from the determined held shares, and finally performs trading a sum of the two determined trading amounts.
[11] A computer-readable storage medium storing an automatic stock trading program for trading spot stocks and stock price index futures, wherein the automatic stock trading program comprises: a trading method selecting module of selecting one of trading methods including
an arbitrage trading method, a pair trading method, a volatility trading method, and a stock-futures/spot-stock composite trading method; a trading condition input module of inputting trading conditions required for the trading method selected in the trading method selecting module; a market-situation checking/analyzing module of checking market situations associated with the trading of the trading method and comparing and analyzing the trading conditions input in the trading condition input module; a trading determining module of determining trading based on the trading conditions input in the trading condition input module and the market situations analyzed in the market- situation checking/analyzing module; and a placing/contracting checking module of automatically placing a selling or buying order according to the determination of the trading determining module and checking contracting through the data communication network, wherein the trading method selected in the trading method selecting module is the arbitrage trading method, wherein the trading conditions input in the trading condition input module include basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies, wherein the market- situation checking/analyzing module calculates a market basis ratio of the to-be-invested companies, and wherein the trading determining module determines trading according to holding positions where the market basis ratio calculated in the market-situation checking/analyzing module is included in a basis ratio section input in the trading condition input module.
[12] The storage medium according to claim 11, wherein the trading method selected in the trading method selecting module is the pair trading, wherein the trading conditions input in the trading condition input module further includes a pair group of at least two companies which are traded as a pair, wherein the market- situation checking/analyzing module calculates initial investment ratios (Ri) of the companies in the pair group and calculates stock price changing rates (Pi) of the companies at the time of a change in stock price and calculating a total evaluated amount (T) of the companies in the pair group, and wherein the trading determining module determines trading of holding the number of shares that is a multiplication of a total evaluated amount (T) of the entire companies in the pair with the initial investment ratios (Ri) divided by
current stock prices (P) of the companies so as to maintain the initial investment ratios of the companies in the pair even at the time of change in the stock prices.
[13] The storage medium according to claim 11, wherein the trading method selected in the trading method selecting module is the volatility trading method, wherein the trading conditions input in the trading condition input module further includes to-be-traded companies, a total investment amount, investment ratios of the companies to the total investment amount, and adjusting ratios of the companies, wherein the market- situation checking/analyzing module checks current prices of the companies and calculates changing rates of the current prices to previous trading prices and differences between current holding ratios and market ratios of the companies, and wherein the trading determining module adjusts the investment ratios of the companies by products of the differences between the market ratios and the current holding ratios of the companies with the adjusting ratios and determines held shores of the companies that is a multiplication of the total investment amounts with the investment ratios of the companies divided by the current prices, and determines trading by the number of shares that is a subtraction of the previous held shares from the determined held shares.
[14] The storage medium according to claim 11, wherein the trading method selected in the trading method selecting module is the stock- futures/spot-stock composite trading method of performing the arbitrage trading method and the pair trading at the same time, wherein the trading conditions input in the trading condition input module further includes basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies and a pair group of at least two companies which are traded as a pair, wherein the market- situation checking/analyzing module calculates a market basis ratio of the to-be-invested companies and calculating initial investment ratios (Ri) of the companies in the pair group and stock price changing rates (Pi) of the companies at the time of a change in stock price and calculates a total evaluated amount (T) of the companies in the pair group, and wherein the trading determining module determines trading according to holding positions where the market basis ratio calculated in the market-situation checking/analyzing module is included in a basis ratio section input in the trading condition input module, determines trading of holding the number of shares that is a multiplication of a total evaluated amount (T) of the entire
companies in the pair with the initial investment ratios (Ri) divided by current stock prices (P) of the companies so as to maintain the initial investment ratios of the companies in the pair even at the time of change in the stock prices, and finally performs trading a sum of the two determined trading amounts. [15] The storage medium according to claim 11, wherein the trading method selected in the trading method selecting step is the stock- futures/spot- stock composite trading method of performing the arbitrage trading method and the volatility trading method at the same time, wherein the trading conditions input in the trading condition input module further includes basis-ratio-section-based holding positions which defines a to-be-held number of shares according to a change in a basis ratio of a to-be-invested companies and to-be-traded companies, a total investment amount, investment ratios of the companies to the total investment amount, and adjusting ratios of the companies, wherein the market- situation checking/analyzing module calculates a market basis ratio of the to-be-invested companies and checking current prices of the companies and calculates changing rates of the current prices to previous trading prices and differences between current holding ratios and market ratios of the companies, and wherein the trading determining module determines trading according to holding positions where the market basis ratio calculated in the market-situation checking/analyzing module is included in a basis ratio section input in the trading condition input module, adjusts the investment ratios of the companies by products of the differences between the market ratios and the current holding ratios of the companies with the adjusting ratios and determines held shores of the companies that is a multiplication of the total investment amounts with the investment ratios of the companies divided by the current prices, determines trading by the number of shares that is a subtraction of the previous held shares from the determined held shares, and finally performs trading a sum of the two determined trading amounts.
Applications Claiming Priority (2)
Application Number | Priority Date | Filing Date | Title |
---|---|---|---|
KR10-2007-0065780 | 2007-06-29 | ||
KR1020070065780A KR100836066B1 (en) | 2007-06-29 | 2007-06-29 | System and method for automatic stock trading, and recording medium recorded with a program therefor |
Publications (2)
Publication Number | Publication Date |
---|---|
WO2009005263A2 true WO2009005263A2 (en) | 2009-01-08 |
WO2009005263A3 WO2009005263A3 (en) | 2009-02-19 |
Family
ID=39770402
Family Applications (1)
Application Number | Title | Priority Date | Filing Date |
---|---|---|---|
PCT/KR2008/003751 WO2009005263A2 (en) | 2007-06-29 | 2008-06-27 | System and method for automatic stock trading, and recording medium recorded with a program therefor. |
Country Status (2)
Country | Link |
---|---|
KR (1) | KR100836066B1 (en) |
WO (1) | WO2009005263A2 (en) |
Families Citing this family (8)
Publication number | Priority date | Publication date | Assignee | Title |
---|---|---|---|---|
KR100931826B1 (en) * | 2009-05-14 | 2009-12-15 | 이계영 | Financial asset investment management system and that method |
KR101261628B1 (en) | 2012-02-06 | 2013-05-07 | 권성만 | Strategic trade method and system of stocks, futures, options for protection minority shareholder |
KR101330690B1 (en) * | 2012-03-08 | 2013-11-19 | 권성만 | Automated trading method and system for protection minority shareholder |
KR101501601B1 (en) * | 2013-03-25 | 2015-03-10 | 남기원 | System for switching of trading markets and method of the same |
KR20170089380A (en) * | 2016-01-25 | 2017-08-03 | 주식회사 씽크풀 | System and method for judging stock based on context recognition |
KR101949794B1 (en) | 2016-12-09 | 2019-02-19 | 동국대학교 산학협력단 | Apparatus and method for estimating stock price |
KR102012373B1 (en) * | 2018-11-30 | 2019-10-21 | 최종훈 | Method for auto-trading based on searching stock item by the stock trading server |
KR20200098182A (en) | 2019-02-12 | 2020-08-20 | 주식회사 더블유아이지소프트 | Automated stock trading system and its service method |
Citations (4)
Publication number | Priority date | Publication date | Assignee | Title |
---|---|---|---|---|
KR20010091621A (en) * | 2000-03-16 | 2001-10-23 | 김귀만 | Service system and method for analyzing stocks using internet stocks analyzing program |
KR20020011609A (en) * | 2000-08-03 | 2002-02-09 | 우찬구 | Stock information service supporting system and method for trading of a investor |
KR20020013007A (en) * | 2000-08-10 | 2002-02-20 | 이종실 | Method and system for selling stocks, futures, and options automatically using internet |
KR20050110135A (en) * | 2004-05-18 | 2005-11-23 | 한국투자증권 주식회사 | System for service of security exchange and the providing method thereof |
Family Cites Families (1)
Publication number | Priority date | Publication date | Assignee | Title |
---|---|---|---|---|
KR20010075877A (en) * | 2000-01-21 | 2001-08-11 | 변형광 | System for operating automatic stock transaction program |
-
2007
- 2007-06-29 KR KR1020070065780A patent/KR100836066B1/en active IP Right Grant
-
2008
- 2008-06-27 WO PCT/KR2008/003751 patent/WO2009005263A2/en active Application Filing
Patent Citations (4)
Publication number | Priority date | Publication date | Assignee | Title |
---|---|---|---|---|
KR20010091621A (en) * | 2000-03-16 | 2001-10-23 | 김귀만 | Service system and method for analyzing stocks using internet stocks analyzing program |
KR20020011609A (en) * | 2000-08-03 | 2002-02-09 | 우찬구 | Stock information service supporting system and method for trading of a investor |
KR20020013007A (en) * | 2000-08-10 | 2002-02-20 | 이종실 | Method and system for selling stocks, futures, and options automatically using internet |
KR20050110135A (en) * | 2004-05-18 | 2005-11-23 | 한국투자증권 주식회사 | System for service of security exchange and the providing method thereof |
Also Published As
Publication number | Publication date |
---|---|
WO2009005263A3 (en) | 2009-02-19 |
KR100836066B1 (en) | 2008-06-10 |
Similar Documents
Publication | Publication Date | Title |
---|---|---|
Brenner et al. | Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets | |
Madhavan et al. | An analysis of changes in specialist inventories and quotations | |
WO2009005263A2 (en) | System and method for automatic stock trading, and recording medium recorded with a program therefor. | |
Kumar et al. | Futures manipulation with “cash settlement” | |
US7908195B2 (en) | System for calculating model option settlement prices | |
Gourieroux et al. | Econometric specification of stochastic discount factor models | |
US20060080250A1 (en) | System and method for providing a hedge fund structured products platform | |
EP1232461A1 (en) | Derivative transactions governing system and network | |
WO2009017565A1 (en) | Risk management system | |
US20130132301A1 (en) | System and method for processing data relating to providing risk management for investment accounts | |
Conner | Asset Allocation Effects of Adjusting Alternative Assets for Stale Pricing | |
Lintner | Optimum or maximum corporate growth under uncertainty | |
Schmidt et al. | Credit risk-a survey | |
Lou | Liability-Side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation | |
Sokolovsky et al. | Justification of risk management in virtual securities transactions | |
Nan et al. | The Optimal Foreign Exchange Futures Hedge on the Bitcoin Exchange Rate: An Application to the US Dollar and the Euro | |
Schmidt | Credit risk modeling with random fields | |
Miyazaki | Labor-Management Bargaining: Contract Curves and Slutsky Equations | |
Bauer et al. | Are gross margins of structured products priced in a market-consistent way? Evidence from the new issuer estimated value | |
Salterini | Optimal control problems and their applications to insurance | |
WO2009017564A1 (en) | Equity/interest rate hybrid hedging system and method | |
Kling et al. | Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees | |
Subramanian et al. | Explicit solutions of discrete-time quadratic optimal hedging strategies for european contingent claims | |
Takino | An equilibrium pricing for OTC derivatives with non-cash collateralisation | |
Kessler | Competition in regulated over-the-counter markets |
Legal Events
Date | Code | Title | Description |
---|---|---|---|
121 | Ep: the epo has been informed by wipo that ep was designated in this application |
Ref document number: 08778425 Country of ref document: EP Kind code of ref document: A2 |
|
NENP | Non-entry into the national phase in: |
Ref country code: DE |
|
32PN | Ep: public notification in the ep bulletin as address of the adressee cannot be established |
Free format text: NOTING OF LOSS OF RIGHTS PURSUANT TO RULE 112 (1) EPC (EPO FORM 1205A DATED 23/04/2010) |
|
122 | Ep: pct application non-entry in european phase |
Ref document number: 08778425 Country of ref document: EP Kind code of ref document: A2 |