Financial Models

Haiyue11/20/24Less than 1 minute

CAPM Model

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

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

$r_{i} (t) = b e t a_{i} * r_{m} (t) + a l p h a_{i} (t)$

Info

$r_{i} (t)$ : the benefit return of stock $i$ at time $t$
$b e t a_{i}$ : coefficient of market return
$a l p h a_{i} (t)$ : The residual for stock $i$ at time $t$ .

APT

$r_{i} (t) = b e t a_{i} * r_{m} (t) + a l p h a_{i} (t)$

Info

$b e t a_{i}$ is not static but a variable
$b e t a = w * r$

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`

What is `KDJ`

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