Periodic fluctuation estimation method of financial index

The invention discloses a periodic fluctuation estimation method for financial indexes, and mainly relates to the technical field of financial tools, asset combination management or fund management. Comprising the following steps: S1, acquiring daily market data of a to-be-researched index from a fi...

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Hauptverfasser: ZHOU YUHUAN, BAO HONGXIN, XIAO JIANMAO, WU TIANTIAN, ZOU JIANYU
Format: Patent
Sprache:chi ; eng
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Beschreibung
Zusammenfassung:The invention discloses a periodic fluctuation estimation method for financial indexes, and mainly relates to the technical field of financial tools, asset combination management or fund management. Comprising the following steps: S1, acquiring daily market data of a to-be-researched index from a financial data terminal; s2, adopting an empirical mode decomposition series method, and obtaining a periodic factor IMF of the index market according to a periodic frequency; s3, reconstructing periodic components according to an average period, and reconstructing short-term, medium-term and trend reconstruction components; s4, income and risk in the investment activity are taken as consideration factors, the income is measured by a yield rate calculated by price change, and the risk is measured by a historical fluctuation rate; s5, integrating empirical mode decomposition and a random forest algorithm to predict market information and fluctuation; s6, constructing a periodic fluctuation investment strategy; accordi