公开(公告)号：US20060015430A1

公开(公告)日：2006-01-19

申请号：US11078310

申请日：2005-03-14

申请人： Gaetano Megale ,  Claudio Grossi ,  Antonello Megale

发明人： Gaetano Megale ,  Claudio Grossi ,  Antonello Megale

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/00

摘要： Described herein is a method for creating indices of forecasts of performance regarding financial markets, in which a number (p) of performances for each element of a number (m) of markets and/or financial tools are considered as unknown variables; the method comprising the following steps: definition of an objective function (FO) as the sum of the squares of the differences of the homologous elements of the correlation matrix calculated on the variables and of the correlation matrix supplied as forecast, and minimization of said objective function (FO) using a non-linear programming algorithm for identification of global optima so as to obtain said indices of forecasts of performance regarding financial markets.

摘要翻译： 这里描述的是创建关于金融市场的绩效预测指标的方法，其中将数量（m）个市场和/或金融工具的每个元素的性能数量（p）视为未知变量; 该方法包括以下步骤：将目标函数（FO）定义为在变量上计算的相关矩阵的同源元素与作为预测提供的相关矩阵的差异的平方和之和，并且将所述目标的最小化 函数（FO）使用非线性规划算法来识别全局最优值，以获得关于金融市场的绩效预测指标。