MARKET IMPACT ESTIMATION SYSTEM

PROBLEM TO BE SOLVED: To provide a market impact estimation system improved in estimation accuracy of market impact by further accurately reflecting an actual market trading condition. SOLUTION: The market impact estimation system 10 includes: a market data storage part 14 which stores market data f...

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Bibliographic Details
Main Authors UESUGI NOBUTAKA, TANAKA TAKAHIRO, KATO DAIKI, TSUNODA MITSUHIRO
Format Patent
LanguageEnglish
Published 17.06.2010
Subjects
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Summary:PROBLEM TO BE SOLVED: To provide a market impact estimation system improved in estimation accuracy of market impact by further accurately reflecting an actual market trading condition. SOLUTION: The market impact estimation system 10 includes: a market data storage part 14 which stores market data for each brand; a regressive coefficient calculation part 18; and a price volatility calculation part 22. The regressive coefficient calculation part 18 executes, based on the market data, processing for calculating an accumulated value of excess demand in a measuring period, processing for calculating an accumulated value of liquidity index in the measuring period, and processing for extracting a market start price and a market end price in the measuring period for each brand, and further executes, for each of a plurality of measuring periods, processing for creating two or more sets of sample data including the accumulated value of excess demand, the accumulated value of liquidity index, and the market start price and market end price, processing for executing regressive analysis based on these data to determine a regressive coefficient of excess demand for each brand, and processing for saving the determined coefficient to a regressive coefficient storage part 20. The price volatility calculation part 22 calculates a price volatility, when a brand, a transaction quantity and a transaction type are input, by multiplying the transaction quantity by the regressive coefficient of excess demand corresponding to the brand. COPYRIGHT: (C)2010,JPO&INPIT
Bibliography:Application Number: JP20080310934