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Enforcement probability calculation program execution and probability calculation system of the limit order

机译:限价单的执行概率计算程序执行和概率计算系统

摘要

PROBLEM TO BE SOLVED: To provide a technique for calculating an execution probability of a limit order by creating a probability model accurately reflecting a market trend.;SOLUTION: In the execution probability calculation system, execution information and quotation information of a securities exchange are stored in a market data storing part, limit order information is extracted on the basis of time series change of quotation information and stored in a limit order DB, determination of execution, cancelation, unexecution of each limit order is carried out on the basis of the execution information and cancel information and a determination result is stored in a determination result DB, predetermined attribute information relevant to executed and unexecuted limit orders is calculated on the basis of the information of the market data storing part, remaining time of trading relevant to each limit order is calculated, the determination result of execution/unexecution relevant to each limit order, its quantity, the remaining time, and the attribute information are statistically processed to create the probability model per brand, and the probability model corresponding to the current attribute information, the remaining time of trading, and the quantity of the limit order is applied to calculate the probability.;COPYRIGHT: (C)2006,JPO&NCIPI
机译:解决的问题:提供一种通过创建准确反映市场趋势的概率模型来计算限价单的执行概率的技术。解决方案:在执行概率计算系统中,存储证券交易所的执行信息和报价信息。在市场数据存储部中,基于报价信息的时间序列变化提取限价订单信息,并将其存储在限价订单DB中,基于该执行来执行确定,取消,不执行每个限价订单信息和取消信息,并将确定结果存储在确定结果DB中,根据市场数据存储部分的信息,与每个限价单相关的剩余交易时间,计算与已执行和未执行的限价单相关的预定属性信息计算出与每个限制相关的执行/不执行的确定结果对订单,数量,剩余时间和属性信息进行统计处理,以创建每个品牌的概率模型,并且与当前属性信息,剩余交易时间和限价单数量相对应的概率模型为COPYRIGHT:(C)2006,JPO&NCIPI

著录项

  • 公开/公告号JP4643993B2

    专利类型

  • 公开/公告日2011-03-02

    原文格式PDF

  • 申请/专利权人 株式会社野村総合研究所;

    申请/专利号JP20050000074

  • 发明设计人 加藤 大輝;田中 隆博;

    申请日2005-01-04

  • 分类号G06Q40/00;

  • 国家 JP

  • 入库时间 2022-08-21 18:17:40

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