CN106845693A - A kind of method and system for predicting random process variation tendency transition point - Google Patents

A kind of method and system for predicting random process variation tendency transition point Download PDF

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CN106845693A
CN106845693A CN201611256448.5A CN201611256448A CN106845693A CN 106845693 A CN106845693 A CN 106845693A CN 201611256448 A CN201611256448 A CN 201611256448A CN 106845693 A CN106845693 A CN 106845693A
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sliding window
diffusion index
time
time interval
numerical value
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王圣军
李阳
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Shaanxi Normal University
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    • G06QINFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
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Abstract

The present invention relates to a kind of method and system for predicting random process variation tendency transition point, the method is:The numerical value of change at random is gathered, time series is formed;The time interval of numerical value is chosen, standard deviation is obtained after determining the data variation amount in time interval;Standard deviation and time interval are fitted, diffusion index is obtained;With time interval scope as abscissa, the diffusion index of time series is as ordinate, draw relation curve, the length of sliding window is determined with the trough of this curve, the diffusion index under sliding window is calculated using short sliding window, this random process occurrence tendency near sliding window finish time is then indicated when diffusion index is significantly less than 0.5 and is changed;Forecasting Methodology of the present invention is simple, it is easy to operate, and the present invention is, according to support, diffusion index to be obtained by the fitting of function with real data, and with scientific and real-time, and the degree of accuracy predicted is high.

Description

A kind of method and system for predicting random process variation tendency transition point
Technical field
The invention belongs to data processing field, and in particular to a kind of method of prediction random process variation tendency transition point and System.
Background technology
Stock market is the important component in financial market, and closely related with the national economic development, stock is used as one kind The representative of fictitious capital, easily can finance in stock market.On the surface, stock market is a lack of under ordinary meaning It is regular, it appears that its variation is difficult to predict, but many economist's energies throughout one's life, create various Mathematical Modelings To simplify stock market, flow direction and its regularity of capital are sounded out.
Research of the economist to the analyzing and predicting method of the various asset prices with stock price as representative, can be with It is divided into fundamental analysis and the major class of technical Analysis two.Fundamental analysis is the Fundamentals by studying influence security price, it is determined that card The inherent value of certificate, finds out by the security of market mispricing, buys in and holds for a long time, until the market price of security is returned to Untill its inherent value;Technical Analysis are then the historical datas according to stock market information, are sought by chart, technical indicator etc. The rule of stock price change best being bought in a little and selling a little to find.
With going deep into for mathematical theory research and developing rapidly that various data analysis tools are developed, technical Analysis are gradually deep Enter the popular feeling, people analyze financial time series with a variety of Method and kit fors, make various Financial Time Series Forecastings Model, especially the time series of stock price have huge attraction to dopester always, be various Forecasting Methodologies should Popular domain,
Share certificate transaction analysis software in the very powerful freenet of many functions for occurring in the market, for example together The softwares such as Hua Shun, sensible letter, DZH.Their basic function is real-time announcement and the K line chart technical Analysis of information, including each Plant technical indicator, quotation information, information etc..With the development of security analysis technology and software engineering, with regard to equity investment side For method opinion, stock tickers evolve many functions:Technical Analysis, fundamental analysis, EVOLUTION ANALYSIS, and information are collected, intelligence Select stocks, select stocks automatically, link consignment trade etc..
The essence of stock tickers is, by the statistics to historical data, to set up analysis model and be presented to user on the market, is used Family need to fall according to the liter in conventional micro-judgment stock later stage.The method for predicting stock price tendency by the stock tickers does not have Prediction Parameters as support, with not scientific;And rely primarily on the micro-judgment price trend of individual subscriber, it is difficult to adapt to Fast changing stock market.
Therefore, in order to solve the not scientific of existing Financial Time Series Forecasting model, a science is needed badly accurate The system and method for predicted time sequence transitions point.
The content of the invention
It is random the invention provides one kind prediction in order to solve the not scientific of existing Financial Time Series Forecasting model The method and system of change in process trend reverse point.The technical problem to be solved in the present invention is achieved through the following technical solutions:
A kind of system for predicting random process variation tendency turning point, including:
Data capture unit, for obtaining the numerical value of change at random, and forms time series;
First determining unit, the time interval for determining the numerical value;
First processing units, for calculating the data variation amount under time series in multiple time intervals, and to institute State time series, the time interval and the data variation amount to be processed, obtain diffusion index;
Image generation unit, the diffusion index under multiple different time interval scopes is in smoothing junction, generate one and put down Sliding curve;
Second determining unit, for determining time window length according to the curve, and chooses in the time series The time window length is used as sliding window;
Data on each described sliding window, are processed by second processing unit, obtain the expansion of the sliding window Dissipate index;
Data analysis unit, for being analyzed to the diffusion index uniquely determined on sliding window each described, Also, when the diffusion index of the sliding window is significantly less than 0.5, is sent to pre-alarm unit and instructed;
Pre-alarm unit, for receiving the instruction of data analysis unit and being alarmed.
A kind of method for predicting random process variation tendency transition point, becomes using a kind of above-mentioned prediction random process change The system of gesture turning point, comprises the following steps:
The numerical value of step one, search or collection change at random, time series, time series such as formula (1) institute are formed by numerical value Show:
Y (t) (t=1,2 ..., N) (1)
Step 2, the time interval for choosing the numerical value, are taken after determining the data variation amount in the time interval The standard deviation of value changes;
Shown in the computational methods of data variation amount such as formula (2):
YΔt(t)=Y (t+ Δs t)-Y (t) (2)
Wherein, Δ t is time interval, and Δ t=1,2 ..., n;
Shown in the computational methods such as formula (3) of the standard deviation of value change:
Wherein, n is the scope of time interval;
Step 3, the standard deviation and time interval are fitted, obtain diffusion index, the computational methods such as formula of diffusion index (4) shown in:
σΔt~Δ tD (4)
Wherein, power exponent D is diffusion index;
Step 4, by under multiple time interval scopes diffusion index connection, obtain a smooth curve;
Step 5, time window length is determined according to the curve, and the time window is chosen in the time series Mouth length is used as sliding window;
Step 6, on each described sliding window, determine the standard deviation of data variation in each described time interval, will Standard deviation is fitted with time interval, obtains the diffusion index of the sliding window;
Wherein, shown in the computational methods of standard deviation such as formula (3);The computational methods such as formula of the sliding window diffusion index (4) shown in;
Step 7, the movement with sliding window, when the diffusion index of sliding window drops to less than 0.5 by more than 0.5 When, then it represents that in the vicinity of sliding window finish time of the diffusion index less than 0.5, numerical value is by the transformation of occurrence tendency.
The method of above-mentioned a kind of prediction random process variation tendency transition point, also including step 8:When the sliding window When the diffusion index of mouth is significantly less than 0.5, data analysis unit sends to pre-alarm unit and instructs, and pre-alarm unit receives finger Alarmed after order.
Compared with prior art, beneficial effects of the present invention:
1. the present invention with time interval scope as abscissa, the diffusion index of time series as ordinate, draw out one Relation curve, the length of sliding window is determined with the trough of this curve, is calculated under sliding window using short sliding window Diffusion index, this random process near sliding window finish time is then indicated when diffusion index is significantly less than 0.5 Occurrence tendency changes, and Forecasting Methodology of the present invention is simple, it is easy to operate;
2. the present invention is, according to support, diffusion index to be obtained by the fitting of function with real data, with scientific and real Shi Xing, and the degree of accuracy predicted is high.
Brief description of the drawings
Fig. 1 is structural representation of the invention;
Fig. 2 is flow chart of the invention;
Fig. 3 is the graph of relation of Hu-Shen 300 index;
Fig. 4 is the stock price and time series comparison diagram of Hu-Shen 300 index.
Specific embodiment
Further detailed description is done to the present invention with reference to specific embodiment, but embodiments of the present invention are not limited to This.
Embodiment 1:
Reference picture 1, a kind of system for predicting random process variation tendency turning point, including:
Data capture unit, for obtaining the numerical value of change at random, and forms time series;
First determining unit, the time interval for determining the numerical value;
First processing units, for calculating the data variation amount under time series in multiple time intervals, and to institute State time series, the time interval and the data variation amount to be processed, obtain diffusion index;
Image generation unit, the diffusion index under multiple different time interval scopes is in smoothing junction, generate one and put down Sliding curve;
Second determining unit, for determining time window length according to the curve, and chooses in the time series The time window length is used as sliding window;
Data on each described sliding window, are processed by second processing unit, obtain the expansion of the sliding window Dissipate index;
Data analysis unit, for being analyzed to the diffusion index uniquely determined on sliding window each described, Also, when the diffusion index of the sliding window is significantly less than 0.5, is sent to pre-alarm unit and instructed;
Pre-alarm unit, for receiving the instruction of data analysis unit and being alarmed.
A kind of reference picture 2, method for predicting random process variation tendency transition point, random mistake is predicted using above-mentioned one kind The system of journey variation tendency turning point, comprises the following steps:
The numerical value of step one, search or collection change at random, time series, time series such as formula (1) institute are formed by numerical value Show:
Y (t) (t=1,2 ..., N) (1)
Step 2, the time interval for choosing the numerical value, are taken after determining the data variation amount in the time interval The standard deviation of value changes;
Shown in the computational methods of data variation amount such as formula (2):
YΔt(t)=Y (t+ Δs t)-Y (t) (2)
Wherein, Δ t is time interval, and Δ t=1,2 ..., n;T is time interval;
Shown in the computational methods such as formula (3) of the standard deviation of value change:
The scope of time interval is n.
Step 3, the standard deviation and time interval are fitted, obtain diffusion index, the computational methods such as formula of diffusion index (4) shown in:
σΔt~Δ tD (4)
Wherein, power exponent D is diffusion index;
Step 4, by under multiple time interval scopes diffusion index connection, obtain a smooth curve;
Step 5, time window length is determined according to the curve, and the time window is chosen in the time series Mouth length is used as sliding window;
Step 6, on each described sliding window, determine the standard deviation of data variation in each described time interval, will Standard deviation is fitted with time interval, obtains the diffusion index of the sliding window;
Wherein, shown in the computational methods of standard deviation such as formula (3);The computational methods such as formula of the sliding window diffusion index (4) shown in;
Step 7, the movement with sliding window, when the diffusion index of sliding window drops to less than 0.5 by more than 0.5 When, then it represents that in the vicinity of sliding window finish time of the diffusion index less than 0.5, numerical value is by the transformation of occurrence tendency;
Step 8:When the diffusion index of the sliding window is significantly less than 0.5, data analysis unit is to pre-alarm unit Instruction is sent, pre-alarm unit is alarmed after receiving instruction.
The present invention is abscissa by time interval scope, the diffusion index of time series is ordinate, draws out one Relation curve, the length of sliding window is determined with the trough of this curve, is calculated under sliding window using short sliding window Diffusion index, this random process near sliding window finish time is then indicated when diffusion index is significantly less than 0.5 Occurrence tendency changes, and Forecasting Methodology of the present invention is simple, it is easy to operate;The present invention is according to support, by letter with real data Several fittings obtain diffusion index, and with scientific and real-time, and the degree of accuracy predicted is high.
Embodiment 2:
The present embodiment is by taking Hu-Shen 300 index as an example, and narration in detail is of the invention:
Reference picture 2- Fig. 4, the prediction of stock index variation tendency is achieved in that Hu-Shen 300 index is per minute Price is designated as Y (t), and its value is represented with Y (t) (t=1,2 ..., N);
YΔtT variable quantity that () occurs for value Y (t) of t after elapsed time interval of delta t, uses YΔt(t)=Y (t+ Δs T)-Y (t) is represented;
Take YΔt(t) change standard deviation be:
By standard deviation sigmaΔtWith the fitting formula σ of interval of delta tΔt~Δ tD, power exponent D is obtained, power exponent D is called that diffusion refers to Number;
The relation of diffusion index D and interval n is calculated with above-mentioned formula, is that abscissa, diffusion refer to by interval n Number D is ordinate, draws out a relation curve, as a result such as accompanying drawing 3;
Wherein, from time t, each time interval has a variable quantity, YΔt(t)=Y (t+ Δs t)-Y (t);Choosing After interval of delta t of fixing time, from different moment t, there are different variable quantity YΔt.These variable quantities have a variances sigmaΔt; To time interval Δ t and variances sigmaΔtIt is fitted, diffusion index D can be obtained;The value orientation of time interval Δ t is 1, 2 ..., n, its maximum are n.When n very littles, we only considered very short time interval, and diffusion index only reflects The characteristic of the change at random in very short time;When n is very big, diffusion index will reflect prolonged tendency change, So, we will look at the change of diffusion index interval n over time.
It may be noted that this relation curve shows a peak first, increase again after a trough, in first ripple The right side of paddy selects an abscissa as a length for small time window, it may be noted that the choosing of small time window length Certain free degree is selected, it on the right side of paddy, but must should be close to this paddy, make its ordinate D less big, remember it Abscissa value be W.
As shown in Figure 3, we determined that the length W=10000 of small time window, chooses in existing time series Length is 10000 sliding window.Standard deviation sigma is calculated on each sliding windowΔtWith the relation curve of interval of delta t, pass through It is fitted to formula σΔt~Δ tDPower exponent D is obtained, we end up the value of this power exponent D as window the value at moment, draw The value of power exponent D change curve over time.Then stock price time series is subject to the time series of power exponent D values Contrast, as a result in fig. 4;
When power exponent D values are less than after 0.45, stock price changes in the neighbouring of current window finish time, when becoming When gesture changes, the influence that tendency changes to diffusion index disappears, so as to cause diffusion index D to decline.
The present embodiment is innovatively:Calculate key index using short time window W, length of window W by power exponent D with The trough of the relation curve between the value n of largest interval determines that the situation that D is significantly less than 0.5 indicates trend transition point.
It should be noted that the present invention is not limited in predicting the trend transition point of stock, as long as a variation tendency The Random time sequence for changing over time, the trend transformation of the time series can be predicted using the method for the present invention Point.
Above content is to combine specific preferred embodiment further description made for the present invention, it is impossible to assert Specific implementation of the invention is confined to these explanations.For general technical staff of the technical field of the invention, On the premise of not departing from present inventive concept, some simple deduction or replace can also be made, should be all considered as belonging to of the invention Protection domain.

Claims (3)

1. it is a kind of predict random process variation tendency turning point system, it is characterised in that including:
Data capture unit, for obtaining the numerical value of change at random, and forms time series;
First determining unit, the time interval for determining the numerical value;
First processing units, for calculating the data variation amount under time series in multiple time intervals, and to it is described when Between sequence, the time interval and the data variation amount processed, obtain diffusion index;
Image generation unit, the diffusion index under multiple different time interval scopes is in smoothing junction, and generation one is smooth Curve;
Second determining unit, for determining time window length according to the curve, and chooses described in the time series Time window length is used as sliding window;
Data on each described sliding window, are processed by second processing unit, and the diffusion for obtaining the sliding window refers to Number;
Data analysis unit, for being analyzed to the diffusion index uniquely determined on sliding window each described, also, When the diffusion index of the sliding window is significantly less than 0.5, is sent to pre-alarm unit and instructed;
Pre-alarm unit, for receiving the instruction of data analysis unit and being alarmed.
2. a kind of method for predicting random process variation tendency transition point, random mistake is predicted using the one kind described in claim 1 The system of journey variation tendency turning point, comprises the following steps:
The numerical value of step one, search or collection change at random, forms time series, shown in time series such as formula (1) by numerical value:
Y (t) (t=1,2 ..., N) (1)
Step 2, the time interval for choosing the numerical value, value change is obtained after determining the data variation amount in the time interval The standard deviation of change;
Shown in the computational methods of data variation amount such as formula (2):
YΔt(t)=Y (t+ Δs t)-Y (t) (2)
Wherein, Δ t is time interval, and Δ t=1,2 ..., n;
Shown in the computational methods such as formula (3) of the standard deviation of value change:
σ Δ t = 1 N - n Σ i = 1 N - n ( Y Δ t ( t ) ) 2 , ( Δ t = 1 , 2 , ... , n ) - - - ( 3 )
Wherein, n is the scope of time interval;
Step 3, the standard deviation and time interval are fitted, obtain diffusion index, the computational methods such as formula (4) of diffusion index It is shown:
σΔt~Δ tD (4)
Wherein, power exponent D is diffusion index;
Step 4, by under multiple intervals diffusion index connection, obtain a smooth curve;
Step 5, time window length is determined according to the curve, and it is long that the time window is chosen in the time series Degree is used as sliding window;
Step 6, on each described sliding window, the standard deviation of data variation in each described time interval is determined, by standard Difference and time interval fitting, obtain the diffusion index of the sliding window;
Wherein, shown in the computational methods of standard deviation such as formula (3);Computational methods such as formula (4) institute of the sliding window diffusion index Show;
Step 7, the movement with sliding window, when the diffusion index of sliding window more than 0.5 by dropping to less than 0.5, then Represent that, in the vicinity of sliding window finish time of the diffusion index less than 0.5, numerical value is by the transformation of occurrence tendency.
3. it is according to claim 2 prediction random process variation tendency transition point method, it is characterised in that also including step Rapid eight:When the diffusion index of the sliding window is significantly less than 0.5, data analysis unit sends to pre-alarm unit and instructs, Pre-alarm unit is alarmed after receiving instruction.
CN201611256448.5A 2016-12-30 2016-12-30 A kind of method and system for predicting random process variation tendency transition point Pending CN106845693A (en)

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Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN108985632A (en) * 2018-07-16 2018-12-11 国网上海市电力公司 A kind of electricity consumption data abnormality detection model based on isolated forest algorithm

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN108985632A (en) * 2018-07-16 2018-12-11 国网上海市电力公司 A kind of electricity consumption data abnormality detection model based on isolated forest algorithm

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Application publication date: 20170613