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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Format: | Patent |
Sprache: | chi ; eng |
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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 |
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