Signal reference value setting method, signal reference value setting device, signal reference value setting program

摘要

PROBLEM TO BE SOLVED: To solve the problem in which while it is desired to set a threshold as a criterion relating to the reputations of an individual stock to an appropriate value in accordance with the fluctuations of stock prices, it is necessary to consider that the degree of fluctuations of the stock prices is not fixed.;SOLUTION: When a β value as a value showing the degree of sensitivity of individual stock prices with respect to the average stock price of a market is larger than a predetermined value, a risk efficiency ratio as a function for finding profitability is selected by using a relation between a risk and a return, and when the β value is smaller than the predetermined value, a return efficiency ratio for finding profitability is selected by using a relation between an actual return and an expected return. Then, a plurality of signal reference value candidates are applied to a reputation value (value obtained by digitizing reputations on the Internet relating to an individual stock) in the past predetermined period, and the profitability of each signal reference value candidate is determined by using the selected evaluation function, and when a signal reference value candidate determined to be highly profitable is more profitable than a signal reference value having already been set, the signal reference value candidate is set as a new signal reference value.;COPYRIGHT: (C)2013,JPO&INPIT