Financial Models

CAPM Model

Finalcial percentage for kinds of goods [a%, b%, c%]

abs(a%) + abs(b%) + abs(c%) = 100%

$r_i(t) = beta_i * r_m(t) + alpha_i(t)$

Info

$r_i(t)$: the benefit return of stock $i$ at time $t$
$beta_i$: coefficient of market return
$alpha_i(t)$: The residual for stock $i$ at time $t$.

APT

$r_i(t) = beta_i * r_m(t) + alpha_i(t)$

Info

$beta_i$ is not static but a variable
$beta = w*r$

Historical data

• Price
• Trading Volume

Basic Indicators

Momentum

mom(t) = price(t)/(price(t-n)) -1

SMA (Simple Moving Average)

BB(bollinger bands) BOLL indicator

What is MACD

Alt text

What is KDJ

Understanding LSTM Networks
What is LSTM – Long Short Term Memory?