WO2019242143A1 - Procédé et appareil d'avertissement précoce de vente d'actions, et support de stockage lisible par ordinateur - Google Patents

Procédé et appareil d'avertissement précoce de vente d'actions, et support de stockage lisible par ordinateur Download PDF

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WO2019242143A1
WO2019242143A1 PCT/CN2018/107482 CN2018107482W WO2019242143A1 WO 2019242143 A1 WO2019242143 A1 WO 2019242143A1 CN 2018107482 W CN2018107482 W CN 2018107482W WO 2019242143 A1 WO2019242143 A1 WO 2019242143A1
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index
constituent
stocks
constituent stocks
target market
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PCT/CN2018/107482
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Chinese (zh)
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李海疆
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平安科技（深圳）有限公司
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    • 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 application relates to the technical field of data processing, and in particular, to a method and device for early warning of stock selling and a computer-readable storage medium.
  • the present application provides a method and device for early warning of stock selling, and a computer-readable storage medium, the main purpose of which is to improve the accuracy of early warning for stock selling and reduce transaction risk.
  • the present application also provides a stock selling early warning method, which includes:
  • the circulation ratio is greater than a preset threshold, it is determined that the target market index currently has a downward trend, and a sell early warning signal of the target market index is output.
  • the present application also provides a stock selling early warning device, which includes a memory and a processor, and the memory stores a stock selling early warning program that can be run on the processor.
  • a stock selling early warning device which includes a memory and a processor, and the memory stores a stock selling early warning program that can be run on the processor.
  • the circulation ratio is greater than a preset threshold, it is determined that the target market index currently has a downward trend, and a sell early warning signal of the target market index is output.
  • the present application also provides a computer-readable storage medium, where the computer-readable storage medium stores a stock-sale warning program, and the stock-sale warning program may be processed by one or more processors. Execute to achieve the following steps:
  • the circulation ratio is greater than a preset threshold, it is determined that the target market index currently has a downward trend, and a sell early warning signal of the target market index is output.
  • the stock selling early warning method, device and computer-readable storage medium proposed in this application obtain transaction data of the constituent stocks of the target market index within a plurality of consecutive trading days before the current trading day; and calculate the composition of the constituent stocks based on the acquired transaction data.
  • Hurst Index Count the constituent stocks with the Hurst index less than 0.5 in the target market index, and calculate the circulation ratio of the constituent stocks with the Hurst index less than 0.5 in all the constituent stocks of the target market index; Set a threshold value to output a sell warning signal for the target market index. Because the Hurst index can measure whether the time series has long-term memory, in this application, the Hurst index of the stock is calculated based on the transaction data of the stock over multiple consecutive trading days.
  • FIG. 1 is a schematic flowchart of a stock selling early warning method according to an embodiment of the present application
  • FIG. 2 is a schematic diagram of an internal structure of a stock selling early warning device according to an embodiment of the present application
  • FIG. 3 is a schematic diagram of a module of a stock selling early warning program in a stock selling early warning device according to an embodiment of the present application.
  • This application provides a method for early warning of stock selling.
  • a schematic flowchart of a stock selling early warning method according to an embodiment of the present application is shown. The method may be performed by a device, which may be implemented by software and / or hardware.
  • the stock selling early warning method includes:
  • Step S10 Obtain transaction data of the constituent stocks of the target market index within multiple consecutive trading days before the current trading day.
  • Step S20 Calculate the Hurst index of the constituent stocks based on the acquired transaction data.
  • the target market index used as an early warning object may be the Shanghai Composite Index, Shanghai and Shenzhen 300 Index, etc.
  • the Shanghai and Shenzhen 300 is used as an example to obtain the consecutive D trading days of the Shanghai and Shenzhen 300 before the current trading day.
  • Trading data calculate the Hurst index of constituent stocks.
  • the transaction data is minute-level closing price data.
  • the transaction data is minute-level closing price data.
  • the step of calculating the Hurst index of the constituent stocks based on the acquired transaction data may include the following detailed steps:
  • the following uses D 10 as an example to extract the closing price data of the constituent stocks of Shanghai and Shenzhen 300 every 10 consecutive trading days before the current trading day.
  • the trading time of each trading day is 4 hours, that is, 240 minutes.
  • a component stock has 240 closing price data in a trading day.
  • the extracted closing price data is cleaned to remove null values in the data.
  • Based on the closing price data after data cleaning, each component stock is calculated for 1 minute.
  • the logarithmic yield compared with the ordinary yield, overcomes the asymmetry of the ordinary yield.
  • the formula for calculating the logarithmic yield based on the closing price is as follows:
  • the cumulative deviation sequence of the sub-interval is constructed by the mean value, and the R / S value (that is, the rescaled extreme difference value) corresponding to each sub-interval is calculated according to the cumulative deviation sequence and the standard deviation of each sub-interval.
  • n 10
  • the average value of these 10 data is used as the The logarithmic rate of return for the subinterval.
  • the average value of the R / S values of the k sub-intervals is calculated as the R / S value of the component i when the length of the sub-interval is n.
  • n 15, 20, 24, 25, 30, 40, 48, 50, 60, 75, 80, 100, 120, 240, 480, and repeat the above steps if n is different. Calculate the R / S value of component i under different sub-interval lengths.
  • linear regression is performed on the rescaled extreme difference values of the component stocks at different sub-interval lengths to obtain a regression coefficient, and the regression coefficient is used as the Hurst index of the component stocks.
  • the above scheme uses the minute-level closing price data within the trading day to convert it into minute-level logarithmic returns and divides multiple consecutive trading days into more For a large number of sub-intervals, a cumulative interval series of sub-intervals is constructed through logarithmic returns at the minute level.
  • the advantage of this is that not only does the logarithmic return rate overcome the asymmetry of the ordinary return rate, and improves The accuracy of the Hurst index; and the use of smaller time granularity yield data to establish a cumulative dispersion series, further improving the accuracy of the calculated Hurst index.
  • Step S30 Count the constituent stocks with the Hurst index less than 0.5 in the target market index, and calculate the circulation ratio of the constituent stocks with the Hurst index less than 0.5 in all the constituent stocks of the target market index.
  • step S40 if the circulation ratio is greater than a preset threshold, it is determined that the target market index currently has a downward trend, and a sell early warning signal of the target market index is output.
  • I i is an illustrative function.
  • H i ⁇ 0.5
  • I i takes the value of 1; otherwise, I i takes the value of 0,
  • S i is the circulating market value of the constituent stock i before the current trading day
  • M is The total number of constituent stocks in the target market index. Is the circulating market value of all constituent stocks in the target market index, It is the sum of the circulating market capitalization of the constituent stocks whose Hurst index is less than 0.5.
  • the preset threshold value preferably ranges from 0.5 to 0.618.
  • an early warning signal is output.
  • Hurst index is an indicator used to measure whether a time series has long-term memory, its range is [0,1].
  • Hurst index> 0.5 strong memory, future increments are related to past increments, and the possibility of continuing the current trend is strong.
  • Hurst index ⁇ 0.5 it is very likely that the memory becomes weak, the trend ends and the beginning of the reversal, the closer the index value is to 0.5, the stronger the randomness, and the trend cannot be determined. Therefore, in this embodiment, [0,0.5
  • As an early warning interval when the stock's Hurst index is located in this interval, it shows that it has a tendency to return to its historical starting point. If the market consolidates at a high level, it has a downward trend.
  • the principle of early warning by combining the Hurst index and the circulation ratio is that when the Hurst index is less than 0.5, the time series will have a high probability of reversal, that is, there is a tendency to return to the historical starting point, and the market value factor in the stock market affects market trading sentiment. It has a decisive influence. When the constituent stocks with this trend have a large market capitalization, that is, when the weighted stocks with large market capitalization begin to fall, the remaining stocks are also difficult to perform well, and the probability of their decline is also large. Therefore, when the circulation ratio is greater than a preset threshold, a sell warning signal is output, which can give the user an early warning to sell in time and reduce the risk of stock trading.
  • the stock selling early warning method proposed in this embodiment obtains the transaction data of the constituent stocks of the target market index within multiple consecutive trading days before the current trading day; calculates the Hurst index of the constituent stocks based on the acquired transaction data; and statistics the target market In the index, the constituent stocks whose Hurst index is less than 0.5, and calculate the circulation ratio of the constituent stocks whose Hurst index is less than 0.5 in all constituent stocks of the target market index; if the circulation ratio is greater than a preset threshold, the target market is output Index sell warning signal. Because the Hurst index can measure whether the time series has long-term memory, in this application, the Hurst index of the stock is calculated based on the transaction data of the stock over multiple consecutive trading days.
  • the application also provides a stock selling early warning device.
  • FIG. 2 a schematic diagram of an internal structure of a stock selling early warning device according to an embodiment of the present application is shown.
  • the stock selling early warning device 1 may be a PC (Personal Computer) or a terminal device such as a smart phone, a tablet computer, or a portable computer.
  • the stock selling early warning device 1 includes at least a memory 11, a processor 12, a network interface 13, and a communication bus.
  • the memory 11 includes at least one type of readable storage medium.
  • the readable storage medium includes a flash memory, a hard disk, a multimedia card, a card-type memory (for example, SD or DX memory, etc.), a magnetic memory, a magnetic disk, an optical disk, and the like.
  • the memory 11 may be an internal storage unit of the stock selling early warning device 1 in some embodiments, such as a hard disk of the stock selling early warning device 1.
  • the memory 11 may also be an external storage device of the stock selling early warning device 1 in other embodiments, for example, a plug-in hard disk equipped on the stock selling early warning device 1, a smart memory card (Smart Media Card, SMC), a secure digital (Secure Digital, SD) card, Flash card, etc.
  • the memory 11 may include both an internal storage unit of the stock selling early warning device 1 and an external storage device.
  • the memory 11 can be used not only to store application software and various types of data installed in the stock selling early warning device 1, such as a code of the stock selling early warning program 01, but also to temporarily store data that has been or will be output.
  • the processor 12 may be a central processing unit (CPU), a controller, a microcontroller, a microprocessor, or other data processing chip in some embodiments, and is configured to run program codes or processes stored in the memory 11 Data, such as the execution of the stock sell warning program 01.
  • the network interface 13 may optionally include a standard wired interface, a wireless interface (such as a WI-FI interface), and is generally used to establish a communication connection between the device 1 and other electronic devices.
  • a standard wired interface such as a WI-FI interface
  • the communication bus is used to implement connection communication between these components.
  • the device 1 may further include a user interface.
  • the user interface may include a display, an input unit such as a keyboard, and the optional user interface may further include a standard wired interface and a wireless interface.
  • the display may be an LED display, a liquid crystal display, a touch-type liquid crystal display, an OLED (Organic Light-Emitting Diode, organic light emitting diode) touch device, or the like.
  • the display may also be appropriately referred to as a display screen or a display unit for displaying information processed in the stock selling early warning device 1 and a user interface for displaying visualization.
  • FIG. 2 only shows a stock selling early warning device 1 having components 11-13 and a stock selling early warning program 01. Those skilled in the art can understand that the structure shown in FIG. 1 does not constitute a stock selling early warning device.
  • the definition of 1 may include fewer or more components than shown, or some components may be combined, or different component arrangements.
  • the stock selling early warning program 01 is stored in the memory 11; when the processor 12 executes the stock selling early warning program 01 stored in the memory 11, the following steps are implemented:
  • the circulation ratio is greater than a preset threshold, it is determined that the target market index currently has a downward trend, and a sell early warning signal of the target market index is output.
  • the target market index used as an early warning object may be the Shanghai Composite Index, Shanghai and Shenzhen 300 Index, etc.
  • the Shanghai and Shenzhen 300 is used as an example to obtain the consecutive D trading days of the Shanghai and Shenzhen 300 before the current trading day.
  • Trading data calculate the Hurst index of constituent stocks.
  • the transaction data is minute-level closing price data.
  • the transaction data is minute-level closing price data.
  • the step of calculating the Hurst index of the constituent stocks based on the acquired transaction data may include the following detailed steps:
  • the following uses D 10 as an example to extract the closing price data of the constituent stocks of Shanghai and Shenzhen 300 every 10 consecutive trading days before the current trading day.
  • the trading time of each trading day is 4 hours, that is, 240 minutes.
  • a component stock has 240 closing price data in a trading day.
  • the extracted closing price data is cleaned to remove null values in the data.
  • Based on the closing price data after data cleaning, each component stock is calculated for 1 minute.
  • the logarithmic yield compared with the ordinary yield, overcomes the asymmetry of the ordinary yield.
  • the formula for calculating the logarithmic yield based on the closing price is as follows:
  • the cumulative deviation sequence of the sub-interval is constructed by the mean value, and the R / S value (that is, the rescaled extreme difference value) corresponding to each sub-interval is calculated according to the cumulative deviation sequence and the standard deviation of each sub-interval.
  • n 10
  • the average value of these 10 data is used as the The logarithmic rate of return for the subinterval.
  • the average value of the R / S values of the k sub-intervals is calculated as the R / S value of the component i when the length of the sub-interval is n.
  • n 15, 20, 24, 25, 30, 40, 48, 50, 60, 75, 80, 100, 120, 240, 480, and repeat the above steps if n is different. Calculate the R / S value of component i under different sub-interval lengths.
  • linear regression is performed on the rescaled extreme difference values of the component stocks at different sub-interval lengths to obtain a regression coefficient, and the regression coefficient is used as the Hurst index of the component stocks.
  • the above scheme uses the minute-level closing price data within the trading day to convert it into minute-level logarithmic returns and divides multiple consecutive trading days into more For a large number of sub-intervals, a cumulative interval series of sub-intervals is constructed through logarithmic returns at the minute level.
  • the advantage of this is that not only does the logarithmic return rate overcome the asymmetry of the ordinary return rate, and improves The accuracy of the Hurst index; and the use of smaller time granularity yield data to establish a cumulative dispersion series, further improving the accuracy of the calculated Hurst index.
  • I i is an illustrative function.
  • H i ⁇ 0.5
  • I i takes the value of 1; otherwise, I i takes the value of 0,
  • S i is the circulating market value of the constituent stock i before the current trading day
  • M is The total number of constituent stocks in the target market index. Is the circulating market value of all constituent stocks in the target market index, It is the sum of the circulating market capitalization of the constituent stocks whose Hurst index is less than 0.5.
  • the preset threshold value preferably ranges from 0.5 to 0.618.
  • an early warning signal is output.
  • Hurst index is an indicator used to measure whether a time series has long-term memory, its range is [0,1].
  • Hurst index> 0.5 strong memory, future increments are related to past increments, and the possibility of continuing the current trend is strong.
  • Hurst index ⁇ 0.5 it is very likely that the memory becomes weak, the trend ends and the beginning of the reversal, the closer the index value is to 0.5, the stronger the randomness, and the trend cannot be determined. Therefore, in this embodiment, [0,0.5
  • As an early warning interval when the stock's Hurst index is located in this interval, it shows that it has a tendency to return to its historical starting point. If the market consolidates at a high level, it has a downward trend.
  • the principle of early warning by combining the Hurst index and the circulation ratio is that when the Hurst index is less than 0.5, the time series will have a high probability of reversal, that is, there is a tendency to return to the historical starting point, and the market value factor in the stock market affects market trading sentiment It has a decisive influence.
  • the constituent stocks with this trend have a large market capitalization, that is, when the weighted stocks with large market capitalization begin to fall, the remaining stocks are also difficult to perform well, and the probability of their decline is also large. Therefore, when the circulation ratio is greater than a preset threshold, a sell warning signal is output, which can give the user an early warning to sell in time and reduce the risk of stock trading.
  • the stock selling early warning device proposed in this embodiment obtains the transaction data of the constituent stocks of the target market index within multiple consecutive trading days before the current trading day; calculates the Hurst index of the constituent stocks based on the acquired transaction data; and statistics the target market In the index, the constituent stocks whose Hurst index is less than 0.5, and calculate the circulation ratio of the constituent stocks whose Hurst index is less than 0.5 in all constituent stocks of the target market index; if the circulation ratio is greater than a preset threshold, the target market is output Index sell warning signal. Because the Hurst index can measure whether the time series has long-term memory, in this application, the Hurst index of the stock is calculated based on the transaction data of the stock over multiple consecutive trading days.
  • the stock selling early warning program may also be divided into one or more modules, and the one or more modules are stored in the memory 11 and implemented by one or more processors (this implementation The example is executed by the processor 12) to complete the present application.
  • the module referred to in the present application refers to a series of computer program instruction segments capable of performing specific functions, and is used to describe the execution of the stock selling early warning program in the stock selling early warning device. process.
  • FIG. 3 a schematic diagram of a program module of a stock selling early warning program in an embodiment of the stock selling early warning device of the present application.
  • the stock selling early warning program can be divided into data acquisition modules 10, The first calculation module 20, the second calculation module 30, and the signal output module 40, for example:
  • the data acquisition module 10 is configured to: acquire transaction data of the constituent stocks of the target market index within multiple consecutive trading days before the current trading day;
  • the first calculation module 20 is configured to calculate a Hurst index of the constituent stocks according to the acquired transaction data
  • the second calculation module 30 is configured to count the constituent stocks with the Hurst index less than 0.5 in the target market index, and calculate the circulation share of the constituent stocks with the Hurst index less than 0.5 among all the constituent stocks in the target market index. ratio;
  • the signal output module 40 is configured to: if the circulation ratio is greater than a preset threshold, determine that the target market index currently has a downward trend, and output a sell warning signal of the target market index.
  • an embodiment of the present application further provides a computer-readable storage medium, where the computer-readable storage medium stores a stock selling early warning program, and the stock selling early warning program can be executed by one or more processors to To achieve the following:
  • the circulation ratio is greater than a preset threshold, it is determined that the target market index currently has a downward trend, and a sell early warning signal of the target market index is output.

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Abstract

L'invention concerne un procédé d'avertissement précoce de vente d'actions. Le procédé consiste à : acquérir des données de négociation d'actions constitutives dans un indice de marché cible plusieurs jours de négociation consécutifs avant le jour de négociation actuel ; calculer des exposants de Hurst des actions constitutives en fonction des données de négociation acquises ; compiler des statistiques d'actions constitutives, dont les exposants de Hurst sont inférieurs à 0,5, dans l'indice de marché cible, et calculer une proportion de circulation des actions constitutives, dont les exposants de Hurst sont inférieurs à 0,5, dans toutes les actions constitutives dans l'index de marché cible ; et si la proportion de circulation est supérieure à une valeur de seuil prédéfinie, déterminer que l'indice de marché cible a actuellement tendance à chuter et émettre un signal d'avertissement précoce de vente pour l'indice de marché cible. L'invention concerne également un appareil d'avertissement précoce de vente d'actions et un support de stockage lisible par ordinateur. La présente invention améliore la précision d'avertissement précoce de la vente d'actions et réduit les risques de négociation.
PCT/CN2018/107482 2018-06-21 2018-09-26 Procédé et appareil d'avertissement précoce de vente d'actions, et support de stockage lisible par ordinateur WO2019242143A1 (fr)

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CN108681968A (zh) * 2018-06-21 2018-10-19 平安科技（深圳）有限公司 股票卖出预警方法、装置及计算机可读存储介质
CN112330464A (zh) * 2020-12-31 2021-02-05 北京口袋财富信息科技有限公司 数据预警方法及系统

Citations (4)

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Publication number Priority date Publication date Assignee Title
CN103077306A (zh) * 2012-12-31 2013-05-01 河海大学 一种基于赫斯特指数的边坡安全评价方法
CN105989536A (zh) * 2015-02-10 2016-10-05 上海华颂软件科技有限公司 一种股票投资个股买入与卖出方法及系统
CN106022522A (zh) * 2016-05-20 2016-10-12 南京大学 一种基于互联网公开的大数据预测股票的方法及系统
CN108681968A (zh) * 2018-06-21 2018-10-19 平安科技（深圳）有限公司 股票卖出预警方法、装置及计算机可读存储介质

Patent Citations (4)

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Publication number Priority date Publication date Assignee Title
CN103077306A (zh) * 2012-12-31 2013-05-01 河海大学 一种基于赫斯特指数的边坡安全评价方法
CN105989536A (zh) * 2015-02-10 2016-10-05 上海华颂软件科技有限公司 一种股票投资个股买入与卖出方法及系统
CN106022522A (zh) * 2016-05-20 2016-10-12 南京大学 一种基于互联网公开的大数据预测股票的方法及系统
CN108681968A (zh) * 2018-06-21 2018-10-19 平安科技（深圳）有限公司 股票卖出预警方法、装置及计算机可读存储介质

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