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Shenzhen, China

Xu Q.,Nanjing University | Liu Y.,Guosen Securities Co.
Journal of Information and Computational Science | Year: 2011

In security market, stock price forecast is a very difficult research field. In this paper, we give a strategy for forecasting average price and index of stocks using the algorithm of genetics, which applies the knowledge of statistics to choosing item by probability according to stock market. We keep the chromosome of more large fitness down to next generation, this can avoid occurrence of prematurity. We apply the new model to Dow Jones Indexes, and Standard & Poor's 500 index through empirical analysis. From the simulation result we can forecast the volatility of Dow Jones Indexes, and Standard & Poor's 500 index and their high and low price in the future. Finally, the simulation result are proved very efficient and accurate related to real running orbit. Their running trend and picture are similar to the real data. © 2011 Binary Information Press. Source


He C.,Zhejiang University of Finance and Economics | Xu Q.,Guosen Securities Co.
Advances in Information Sciences and Service Sciences | Year: 2012

Stock money flow is the key reason of hiding sensitive or secret information. It decided that the stock price would be up and down. If we can better calculate the money flow of a stock, we will be able to better grasp the trend of stock prices. That would substantially improve the rate of return on investments. In this paper, we present a novel algorithm to study money flow of a stock. We firstly analyze the Busy Period and PH Closure of Geom/G/1(E, SUCMV) Queue. We can compute the turnover waiting to buy or sell according to the queue model. Then we show money flow simulation map of several representative stock and main index in Chinese security market. Money flow simulation is of great significance in the practical application. Simulation results clearly show the stock's trend, and then we can successfully improve the key return rate and efficiency in investment activities. Theoretical analysis and simulation result show that our novel approach has good Usability and operability. Source


He C.,Zhejiang University of Finance and Economics | Xu Q.,Guosen Securities Co. | Liu Y.,Guosen Securities Co.
Proceedings - 2010 International Conference on Intelligent Computing and Cognitive Informatics, ICICCI 2010 | Year: 2010

Evaluation index are long been thought as very accurately reflect stock price by people in China. In this paper, we build theory models to study the raltionship between volume, P/B(Price-to-Book value Ratio), P/S(Price-to-Sale Ratio) and P/CF(Price-to-Cash Flow Ratio) and stock market volatility. In current China stock market, individual stock price volatility is a complicated function. The resulting stock price function has four variables as input: volume, PB, PS, PC. In this paper, we present a new mathematical model to simulate stock price volatility. We applied the new model to a stock through empirical analysis. Our conclusions are as follows: (1) The volatility of stock price is a function of parameters of PB, PS and PC. (2) Our new model can predict future stock price changes. (3) PB, PS and PC has positive effect on stock price. Moreover, this paper proposed some potential methods and system suggestions for the further improvement of stock price pridiction in China stock market. Overal, the empirical analysis results show that the new model can enhance the volatility forecasting ability of individual stock in china stock market. © 2010 IEEE. Source


He C.,Zhejiang University of Finance and Economics | Xu Q.,Nanjing University | Xu Q.,Guosen Securities Co. | Liu Y.,Guosen Securities Co.
Advances in Information Sciences and Service Sciences | Year: 2012

This paper describes a nonlinear programming to solve Portfolio optimization. We use the portfolio model for China's securities market. In order to exceed Shanghai Composite Index, We select three industries of Shanghai Composite Index for portfolio. Each industry includes three stocks. These three industries are financial industry, coal industry, and metal industry. All the data are publicly from stock exchange of Shenzhen or Shanghai. A comprehensive analysis of the results is provided. The result is reasonable and efficient. It is clarified that the nonlinear program model can analyze the entire possible portfolio case. Source


He C.,Zhejiang University of Finance and Economics | Xu Q.,Nanjing University | Xu Q.,Guosen Securities Co. | Liu Y.,Guosen Securities Co.
Advances in Information Sciences and Service Sciences | Year: 2012

In order to exceed Shanghai Composite Index, we pick out some stocks as stocks pool from the Shanghai Securities Exchange and Shenzhen Stock Exchange. We select 44 stocks among stocks pool for a portfolio. We use classical Markowitz model for Portfolio optimization. In the empirical analysis, we studied drawdown of portfolio sequences vs. the maximum drawdown of Shanghai Composite Index. Mean-Variance along efficient frontier, and risk and returns of each portfolio are Figured out. Average turnover of portfolio sequence along efficient frontier are provided by 3D image. At last we give the share weights of portfolio sequence optimization. All the data are publicly from stock exchange of Shenzhen or Shanghai. The portfolio results are more efficient than target index. Source

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