Macro and micro dynamic hybrid [beta] estimation method fusing macroeconomic policy factor
The invention discloses a macro and micro dynamic hybrid [beta] estimation method fusing a macroeconomic policy factor. The method comprises the steps of firstly splitting a systematic risk into a prior information part and a traditional transaction information part; for the prior systematic risk pa...
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| creator | CHEN BIN DENG KEBIN GUAN ZIHUAN |
| description | The invention discloses a macro and micro dynamic hybrid [beta] estimation method fusing a macroeconomic policy factor. The method comprises the steps of firstly splitting a systematic risk into a prior information part and a traditional transaction information part; for the prior systematic risk part, defining the prior systematic risk as a risk function related to macro and micro factors; and then substituting back to compute a risk function value, namely a prior systematic risk, through considering the influence of each factor on the prior systematic risk, and by using a shrinkage method, and through combining the prior information with stock transaction information, computing a posterior systematic risk, namely macro and micro dynamic hybrid [beta]. According to the method provided bythe invention, the macro period factor and the enterprise micro factor are combined with the systematic risk to remove noise factors such as market anomalies, and thus the estimation accuracy is improved.
本发明公开了种融合宏观经济政策因素的宏微 |
| format | Patent |
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本发明公开了种融合宏观经济政策因素的宏微</description><language>chi ; eng</language><subject>CALCULATING ; COMPUTING ; COUNTING ; DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES ; PHYSICS ; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR</subject><creationdate>2018</creationdate><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://worldwide.espacenet.com/publicationDetails/biblio?FT=D&date=20181123&DB=EPODOC&CC=CN&NR=108876106A$$EHTML$$P50$$Gepo$$Hfree_for_read</linktohtml><link.rule.ids>230,308,777,882,25545,76296</link.rule.ids><linktorsrc>$$Uhttps://worldwide.espacenet.com/publicationDetails/biblio?FT=D&date=20181123&DB=EPODOC&CC=CN&NR=108876106A$$EView_record_in_European_Patent_Office$$FView_record_in_$$GEuropean_Patent_Office$$Hfree_for_read</linktorsrc></links><search><creatorcontrib>CHEN BIN</creatorcontrib><creatorcontrib>DENG KEBIN</creatorcontrib><creatorcontrib>GUAN ZIHUAN</creatorcontrib><title>Macro and micro dynamic hybrid [beta] estimation method fusing macroeconomic policy factor</title><description>The invention discloses a macro and micro dynamic hybrid [beta] estimation method fusing a macroeconomic policy factor. The method comprises the steps of firstly splitting a systematic risk into a prior information part and a traditional transaction information part; for the prior systematic risk part, defining the prior systematic risk as a risk function related to macro and micro factors; and then substituting back to compute a risk function value, namely a prior systematic risk, through considering the influence of each factor on the prior systematic risk, and by using a shrinkage method, and through combining the prior information with stock transaction information, computing a posterior systematic risk, namely macro and micro dynamic hybrid [beta]. According to the method provided bythe invention, the macro period factor and the enterprise micro factor are combined with the systematic risk to remove noise factors such as market anomalies, and thus the estimation accuracy is improved.
本发明公开了种融合宏观经济政策因素的宏微</description><subject>CALCULATING</subject><subject>COMPUTING</subject><subject>COUNTING</subject><subject>DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES</subject><subject>PHYSICS</subject><subject>SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR</subject><fulltext>true</fulltext><rsrctype>patent</rsrctype><creationdate>2018</creationdate><recordtype>patent</recordtype><sourceid>EVB</sourceid><recordid>eNqNizEKwjAUQLM4iHqH7wGEFqF2LUVx0clJkfKb_NhAkx-SOOT2GvAATu8N7y3F_YIyMKBTYE0xlR1-DaY8BqPgMVLCJ1BMxmIy7MBSmliBfkfjXmDLTpIdl8nzbGQGjTJxWIuFxjnS5seV2J6Ot_68I88DRY-SHKWhv9ZV2x6aumq6_T_NBzaiO10</recordid><startdate>20181123</startdate><enddate>20181123</enddate><creator>CHEN BIN</creator><creator>DENG KEBIN</creator><creator>GUAN ZIHUAN</creator><scope>EVB</scope></search><sort><creationdate>20181123</creationdate><title>Macro and micro dynamic hybrid [beta] estimation method fusing macroeconomic policy factor</title><author>CHEN BIN ; DENG KEBIN ; GUAN ZIHUAN</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-epo_espacenet_CN108876106A3</frbrgroupid><rsrctype>patents</rsrctype><prefilter>patents</prefilter><language>chi ; eng</language><creationdate>2018</creationdate><topic>CALCULATING</topic><topic>COMPUTING</topic><topic>COUNTING</topic><topic>DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES</topic><topic>PHYSICS</topic><topic>SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR</topic><toplevel>online_resources</toplevel><creatorcontrib>CHEN BIN</creatorcontrib><creatorcontrib>DENG KEBIN</creatorcontrib><creatorcontrib>GUAN ZIHUAN</creatorcontrib><collection>esp@cenet</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>CHEN BIN</au><au>DENG KEBIN</au><au>GUAN ZIHUAN</au><format>patent</format><genre>patent</genre><ristype>GEN</ristype><title>Macro and micro dynamic hybrid [beta] estimation method fusing macroeconomic policy factor</title><date>2018-11-23</date><risdate>2018</risdate><abstract>The invention discloses a macro and micro dynamic hybrid [beta] estimation method fusing a macroeconomic policy factor. The method comprises the steps of firstly splitting a systematic risk into a prior information part and a traditional transaction information part; for the prior systematic risk part, defining the prior systematic risk as a risk function related to macro and micro factors; and then substituting back to compute a risk function value, namely a prior systematic risk, through considering the influence of each factor on the prior systematic risk, and by using a shrinkage method, and through combining the prior information with stock transaction information, computing a posterior systematic risk, namely macro and micro dynamic hybrid [beta]. According to the method provided bythe invention, the macro period factor and the enterprise micro factor are combined with the systematic risk to remove noise factors such as market anomalies, and thus the estimation accuracy is improved.
本发明公开了种融合宏观经济政策因素的宏微</abstract><oa>free_for_read</oa></addata></record> |
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| subjects | CALCULATING COMPUTING COUNTING DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES PHYSICS SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR |
| title | Macro and micro dynamic hybrid [beta] estimation method fusing macroeconomic policy factor |
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