WO2020263061A1

WO2020263061A1 - Apparatus and method for calculating degree of contribution of each investor entity

Info

Publication number: WO2020263061A1
Application number: PCT/KR2020/008475
Authority: WO
Inventors: 이성호
Original assignee: 주식회사 인터웨어
Priority date: 2019-06-27
Filing date: 2020-06-29
Publication date: 2020-12-30

Abstract

The present invention relates to an apparatus and method for calculating the degree of contribution of each investor entity. While a market is open, the degree of index/price contribution of a trading type to the market according to each investor entity is to be calculated in real time. The apparatus comprises: a trading share calculation unit for calculating trading share information for each investor entity on the basis of trading information of individual constituent items constituting an index of a specific market product during a specific time period; a market capitalization ratio calculation unit for calculating a market capitalization ratio of each of the individual constituent items to market capitalization of the specific market product; a variation calculation unit for calculating increased or decreased amounts of the individual constituent items; and a contribution degree calculation unit for calculating the degree of contribution of each investor entity during the specific time period on the basis of a value calculated by each of the trading share calculation unit, the market capitalization ratio calculation unit, and the variation calculation unit.

Description

Device and method for calculating contribution by investor entity

The present invention uses the transaction data for market products including exchange-traded financial products and derivatives, over-the-counter financial products and real assets that are listed and traded on the Korea Exchange, NASDAQ, and various domestic and overseas exchanges to determine investment indices. It's about how to calculate.

In more detail, the present invention relates to a method of calculating an investment index representing the impact on the price change of the entire market, sector market, or individual product for each investor entity by using the transaction data of the products traded in the market for a certain period of time by investors. .

In the financial market, professional investors, such as foreigners and institutional investors, have more expertise than individuals and other investors and have a very large amount of investment funds. Therefore, their trading patterns are currently in the domestic stocks, futures, options, and bond markets. It has a great influence on price changes. General investors cannot grasp the effect of investment patterns of professional investors and trading patterns of professional investors on market prices in real time, and professional investors also understand the trading patterns of specific investors in real time by considering both the spot market and the derivatives market. There is a problem that is difficult to do.

The present invention utilizes transaction data for market products including in-market financial products and derivatives, OTC financial products and real assets listed and traded on the Korea Exchange, NASDAQ, and various domestic and overseas exchanges. As a result, we try to determine the impact on the market by calculating the contribution to the market by individual, foreign, and institutional investor.

As a preferred embodiment of the present invention, the apparatus for calculating the degree of contribution by investor entity calculates the trading weight information for each investor entity based on the transaction information of individual constituents constituting the index of a specific market product during a specific time period. part; A market capitalization ratio calculating unit that calculates a market capitalization ratio of each of the individual constituent items to the market capitalization of the specific market product during the specific time period; A change amount calculation unit calculating an increase or decrease amount of the individual constituent items during the specific time period; And a contribution calculation unit that calculates a contribution for each investor subject during the specific time period based on values calculated by each of the trading weight calculation unit, the market capitalization ratio calculation unit, and the change amount calculation unit. .

As a preferred embodiment of the present invention, the specific market product is characterized in that it includes at least one of a spot market product and a derivative market product.

As a preferred embodiment of the present invention, when the specific market product includes both the first spot market product and the first derivative market product, the first derivative market product and the derivative product item constituting the first derivative market product The converted value is characterized in that it is calculated using an index of the first spot market product and a sensitivity index to a change in price of individual constituents constituting the first spot market product.

As a preferred embodiment of the present invention, when the specific market product includes both the first spot market product and the first derivative market product, the contribution calculation unit is the contribution rate of the first spot market product during the specific time period. And the contribution of each investor entity reflecting the contribution of the first derivative market product.

In a preferred embodiment of the present invention, the sensitivity indicator includes a delta or beta, and the converted value is a delta conversion position amount or a beta conversion position amount.

In a preferred embodiment of the present invention, the trading weight information is characterized in that it indicates a ratio of a transaction amount or a transaction delta amount occupied by the investor in the total transaction volume or total transaction amount of the specific market product during the market.

In a preferred embodiment of the present invention, the contribution calculation unit is characterized in calculating a contribution of each investor subject to a change in a price or an index of the specific market product.

As a preferred embodiment of the present invention, the method of calculating the degree of contribution by investor entity is based on the transaction information of individual constituents constituting the index of a specific market product during a specific time period in the trading weight calculation unit. Calculating; Calculating a market capitalization ratio of each of the individual constituent items to the market capitalization of the specific market product during the specific time period, in a market capitalization ratio calculation unit; Calculating an increase/decrease amount of the individual constituent items during the specific time period in the change amount calculation unit; And calculating a contribution for each investor subject during the specific time period based on values calculated by each of the trading weight calculation unit, the market capitalization ratio calculation unit, and the change amount calculation unit in the contribution calculation unit. To do.

As a preferred embodiment of the present invention, the apparatus and method for calculating the degree of contribution by investor subject include the index of a specific market product, the market representative index, the sub-sector and sector index, and the contribution index representing the influence of each investor subject that contributed to the price change of the corresponding stock. In the case of investing a specific amount of money in various assets for a certain period of time to general investors as well as investment experts by utilizing this method, the weight and timing of purchases and sales of each asset are calculated, and accordingly, asset investment and asset allocation are automatically performed. There are possible effects such as advisory investment advice.

1 is a preferred embodiment of the present invention, showing the internal configuration of a device for calculating the degree of contribution for each investor subject.

2 to 3 are preferred embodiments of the present invention, and show an example of calculating the contribution of each investor subject in a spot market product.

4 to 5 are preferred embodiments of the present invention, showing an example of calculating the contribution of each investor subject in a futures market product.

6 to 7 are preferred embodiments of the present invention, showing an example of calculating the contribution of each investor subject in an option market product.

FIG. 8 is a preferred embodiment of the present invention, and shows an example of calculating the contribution of each investor subject by considering both the spot market product and the derivative market product in the apparatus for calculating the contribution of each investor subject.

9 is a preferred embodiment of the present invention, showing a flow chart for calculating the contribution of each investor subject.

The terms used in the embodiments of the present specification have selected general terms that are currently widely used as possible while taking the functions of the present disclosure into consideration, but this may vary depending on the intention or precedent of a technician working in the field, the emergence of new technologies, etc. . In addition, in a specific case, there are terms arbitrarily selected by the applicant, and in this case, the meaning of the terms will be described in detail in the description of the corresponding embodiment. Therefore, the terms used in the present specification should be defined based on the meaning of the term and the contents of the present disclosure, not the name of a simple term. Singular expressions may include plural expressions unless the context clearly indicates otherwise. Terms used herein, including technical or scientific terms, may have the same meaning as commonly understood by a person of ordinary skill in the technical field described herein.

The present invention relates to a method of calculating a contribution representing an influence on an index or price change of an entire market, a sector market, or an individual product by investors using transaction data of a product traded in the market for a certain period of time. In particular, it relates to a method of calculating the contribution of each investor entity to the change in the index (INDEX) of the representative products traded in the market in real time.

The apparatus 100 for calculating the degree of contribution for each investor subject includes a trading ratio calculating unit 110, a market cap ratio calculating unit 120, a change amount calculating unit 130, and a contribution calculating unit 140.

The trading weight calculation unit 110 calculates the trading weight information occupied by each investor based on the transaction information of individual constituents constituting the index of a specific market product during a specific time period.

The trading weight calculation unit 110 may perform machine learning in order to calculate the trading weight information, and may also calculate the trading weight estimate with the amount and quantity of the trade that gives the maximum likelihood estimate. As an example, in order to calculate the trading weight information, the trading weight calculation unit 110 has a plurality of values such that the estimated value obtained by summing the trading type, trading volume/balance and amount estimated by investor subject per specific time unit has a minimum error. Conference simulation can be performed. In this process, information can be further used for the trading balance and the cumulative selling price calculated by accumulating from a specific base point.

The specific market product includes at least one of a spot market product and a derivative market product. Examples of spot market products include domestic and overseas stock indices such as the KOSPI Stock Index, KIOSPI 200 Stock Index, KOSDOQ Stock Index, Dow Jones Stock Index, S&P500 Stock Index, HSI Stock Index, NIKKEI225 Stock Index, etc. It is not limited to these, and those skilled in the art will be able to clearly understand that other stock indices not mentioned also correspond.

Derivative market products include products sold in the futures and option markets, ETFs (listed index funds), ETNs (listed index securities), ELWs (stock price-linked warrants), CBs (convertible bonds), and BWs (bonds with warrants). do.

As a preferred embodiment of the present invention, the trading share calculation unit 110 may calculate the trading share of individuals, foreigners, and institutional investors for spot market products, respectively.

As another preferred embodiment of the present invention, the trading weight calculation unit 110 may calculate the trading weight information of each individual, foreigner, and institutional investor reflecting both the spot market product and the derivative market product. When calculating the trading weight information by considering both the spot market product and the derivative market product, the derivative market product only considers at least one product that is recognized as relevant to the spot market product. Here, relevance refers to a product whose cash flow is determined in relation to the price fluctuations of the underlying asset, having at least one maturity of the stock price belonging to the spot market product as an underlying asset. In a preferred embodiment of the present invention, a mapping table in which a list of derivative market products related to spot market products is previously stored may be used.

In a preferred embodiment of the present invention, the trading weight calculation unit 110 considers both the spot market product and the derivative market product, thereby determining the investor's sell/buy position in the spot market and the sell/buy position in the derivatives market. It can be grasped in real time.

For example, the trading weight calculation unit 110 shows a net purchase by foreign investors in the spot market and net selling in the derivatives market such as futures and options, and the price between the spot and futures market regardless of the market trend. In the case of separate analysis of arbitrage trading in spot futures, which can make profits without risk due to differences, foreigners may be in a net selling position in the spot market, and the market price in the derivatives market may also fall due to a net selling position. It can be seen that the transaction was executed.

As a preferred embodiment of the present invention, the trading weight calculation unit 110 calculates the trading weight information occupied by each investor subject during a specific time period during the market. The transaction information used for this includes trading type and market index information. The trading type includes the trading hours, purchase/sell amount and quantity data of individual investors, foreign investors, and institutional investors, and market index information includes products that have substantially the same characteristics as spot market products, derivatives, and derivatives. It contains market index information of various products. Products that have substantially the same characteristics as derivatives include the KOSPI200 ETF, high dividend ETNs, underwriting rights, convertible bonds, and exchange bonds.

The market cap ratio calculation unit 120 calculates a market cap ratio of each of the individual constituent items to the market cap of a specific market product during a specific time period. An example of calculating the share of market capitalization is as follows. For an embodiment of this, refer to FIGS. 2 to 7.

Number of applied shares = number of issued shares * current ratio * CAP ratio * weight

Stock market cap = number of applied stocks * current price

Share of market capitalization by stock R_MV =

(N represents the number of applied stocks, P represents the present price, and i represents the stock)

The change amount calculation unit 130 calculates an increase or decrease of individual constituent items during a specific time period. For an embodiment of this, refer to FIGS. 2 to 7.

Contribution calculation unit 140 calculates the contribution of each investor subject during a specific time period based on the values calculated by each of the trading weight calculation unit 110, the market capitalization ratio calculation unit 120, and the change amount calculation unit 130. For an embodiment of this, refer to FIGS. 2 to 7.

2 shows an example of a spot market product'K4' including stock stocks A, B, C and D as a preferred embodiment of the present invention.

When the price of stocks A, B, C, and D is KRW 4500, KRW 3000, KRW 1500, and KRW 1,000, respectively, at time t1, and the issued quantity is 2000, 1500, 1200, and 800, respectively, the market cap ratio In the calculation unit (Fig. 1, 120), the market cap MV1 of each stock is calculated as follows.

A_ _MV1 : 4,500*2,000=9,000,000

B_ _MV1 : 3,000*1,500=4,500,000

C_ _MV1 : 1,500*1,200=1,800,000

D_ _MV1 : 1,000*800=800,000

K4_ _MV1 =A_ _MV1 +B_ _MV1 +C_ _MV1 +D_ _MV1

The market cap of K4 at time t1 is 16,100,000 (205).

Index at time t1 = market cap of K4 at time t1 / Base market cap of K4 = 16,100,000/15,000,000 =107.33

Assuming that the base market capitalization is 15,000,000, the index at hour t1 is 107.33. The base market capitalization may be the market capitalization of K4 products on the previous day or the market capitalization of K4 products on a specific date.

The market cap weight (204) for each individual stock of each of the individual stocks A, B, C, and D constituting the K4 product at time t1 is as follows.

A _{R_MV1} = 9,000,000/16,100,000= about 0.56 *100%= about 56%

B _{R_MV1} = 4,500,000/16,100,000= about 0.28 *100%= about 28%

C _{R_MV1} = 1,800,000/16,100,000= about 0.11*100%= about 11%

D _{R_MV1} = 800,000/16,100,000= about 0.05*100%= about 5%

When the price change dp of each of the individual stocks A, B, C, and D constituting the K4 product at time t2 increases by KRW 45, KRW 90, KRW 30, and KRW 15, the rate of change in price dSj and t2 The market cap MV2 of time is as follows.

In the change amount calculation unit (Figs. 1, 130), the price change rate dSj of each stock item is first calculated as follows.

A _dSj = 45/4500 = 0.01

B _dSj = 90/3000 = 0.03

C _dSj = 30/1500 = 0.02

D _dSj = 15/1000 = 0.015

Next, the market cap ratio calculation unit (Fig. 1, 120) calculates the market cap for each individual item at t2 hours as follows.

A_ _MV1 : 4,545*2,000=9,090,000

B_ _MV1 : 3,090*1,500=4,635,000

C_ _MV1 : 1,530*1,200=1,836,000

D_ _MV1 : 1,015*800=812,000

K4_ _MV2 = A_ _MV2 +B_ _MV2 +C_ _MV2 +D_ _MV2 = 16,373,000 (Fig. 2, 215)

The market cap of K4 at time t2 is 16,373,000 (Fig. 2, 215).

Index at time t2 = market cap of K4 at time t2 / Base market cap of K4 = 16,373,000/15,000,000 =109.15(217)

The change amount calculation unit (FIGS. 1, 130) calculates the change value and exponential change rate of the K4 index at time t1 and the K4 index at time t2.

Exponential change value (250) = 109.15 (217)-107.33 (207) = 1.82

Exponential change rate (251) = (change value of K4 index at t2 time/change value of K4 index at t2 time-1)*100%= (109.15/107.33-1)*100% = 1.6957%

As a preferred embodiment of the present invention, it is assumed that the trading ratio 230 of the i investor is 0.7, -0.23, 0.68 and 0.43 for each of the individual stocks A, B, C, and D. This represents 70%, -23%, 68% and 43% of the trading weight, respectively, and a negative value means that the sale was made. And, i represents an individual, foreigner or institution. In FIG. 1, i can be assumed to be a foreigner. This is an example of a case where a foreigner buys stocks A, C, and D and sells B.

As a preferred embodiment of the present invention, the contribution calculation unit i investor's trading weight 230, the market capitalization weight for each individual item calculated at t1 time (204), and the price change rate for each individual item 212 that changes between t1 and t2 hours. Based on the value, the contribution of investor i to each individual stock during the time period t1 and t2 is calculated as follows.

Contribution to individual stocks = i-investor's trading ratio to individual stocks (230)* The share of the market capitalization of each individual stock calculated at t1 hours (204) * The rate of change in price for each individual stock (212) that has changed between the t1 and t2 hours

Referring to Figure 2, the contribution to each individual stock is calculated as follows.

Contribution to stock A = 70%*56%*0.01= about 0.39%

Contribution to stock B = -23%*28%*0.03= about -0.19%

Contribution to C stock = 68%*11%*0.02= about 0.15%

Contribution to D stock = 43%*5%*0.015 = about 0.03%

i The investor's contribution to a specific market product can be calculated as the sum of the contributions to all individual stocks constituting a specific market product. Referring to FIG. 2, the contribution of investor i to K4 stock can be calculated as follows.

Contribution to K4 Stock = Contribution to Stock A + Contribution to Stock B + Contribution to Stock C + Contribution to Stock D = 0.39% + (-0.19%) + 0.15% + 0.03% = 0.3825% (260)

i The contribution of an investor to the index change of a specific market product is calculated as follows.

iInvestor's contribution to a specific market product (270) = iInvestor's contribution to a specific market product (260)/index change rate (251)

iInvestor's index contribution to a specific market product (271) = iInvestor's index contribution to a specific market product (270) * Index change value (250)

Referring to FIG. 2, the index contribution of i investor to a specific market product (270) is 0.3825%/1.6957% = about 23%, and the index contribution value of i investor to a specific market product (271) is 23% (270 )*1.82(250)=0.41.

FIG. 3 shows an example in which the contribution degree of each investor subject changes according to the price change of the individual constituent stock of stock item A in the K4 specific product of FIG.

If stock item A's t1 hour price (301) is 4500 won and the issued quantity (302) is 2,000 shares, the market capitalization of the t1 hour MV1 (303) is 4500 won * 2,000 shares, which is 9,000,000 won. Referring to Fig. 2, the proportion of t1 hour of stocks in K4 specific products is 56% (304). If the price change 311 occurs by 45 won by time t2, the price change rate dSj (320) is 1.00%, and the market cap MV2 of stock A at time t2 is 9,090,000 won. If i investor's trading share is 70%, i investor's index change value (350), index change rate (351), contribution index (360), index contribution (370) and index for item A in K4 specific market product The contribution values 371 are as follows, respectively.

Index change value (350) = price of stock A at time t2-price of stock A at time t1 = 4,545-4500 = 45

Index change rate (351) = index change value (350) / price of stock A in t1 hour (301) = 1.00%

i Investor's Contribution Index (360) = i Investor's Trading Ratio * Price Change Rate dSj (320) = 70% * 1.00% = 0.70%

Index contribution (370) = i Investor's contribution index (360) / index change rate (351) = 0.70%/1.00% =70%

Index contribution value (371) = index contribution (370) * price change dp (311) = 70% * 45 = 31.5

4 is a preferred embodiment of the present invention, and shows an example of a futures product among derivatives market products using stock items A, B and C as underlying assets.

The transaction amount 404 is calculated based on the present price (401), transaction volume (420), and multiplier (403) of individual derivative market products using stock items A, B and C as underlying assets.

Transaction amount (404) = current price (401) * transaction volume (402) * multiplier (403).

Thereafter, the converted value 406 reflecting the sensitivity index 405 is calculated. It should be noted that the sensitivity indicators may be beta, delta, etc., but are not limited thereto.

The conversion value 406 is calculated as the product of the transaction amount 404 and the sensitivity index 405. Based on the conversion value 406, the proportion of the transaction amount of each individual derivative market product is calculated. Then, the estimated index change dS^(412) is calculated based on the price change dF (411) of the immediately preceding price (400) and the present price (401). The estimated index change dS^(412) is the price change dF(411) divided by the sensitivity indicator.

The estimated index change dS^ for individual derivatives based on stock A is calculated as follows. dF/delta = (279.39-277.51)/0.9980

The contribution calculation unit calculates the contribution of i investor to each individual derivative item based on the i investor's trading weight (430), the estimated index change dS^ (412) and the transaction amount weight (407).

Contribution of individual derivatives based on stock A = 50%*38%*1.8838=0.3556 = about 35%

Contribution of individual derivatives based on stock B = 33%*40%*1.8747=0.2451 = about 25%

Contribution of individual derivatives based on stock C = -21%*23%*1.8667=0.0887 = about -9%, minus means that futures are sold.

i The investor's contribution to derivatives consisting of A, B and C is calculated as the sum of the contributions to each individual derivative.

i Investor's contribution to derivatives consisting of A, B, and C (441) = contribution of individual derivatives based on stock A + contribution of individual derivatives based on stock B + contribution of stock C Contribution of individual derivatives = 0.3556 + 0.2451 + 0.0887 = 0.5121 (441) = about 51.2% (442)

i Investor's contribution to the index (450)= i Investor's contribution to derivatives consisting of A, B and C (441)/index change (250)*100% = 0.5121/1.82 * 100%=28%

5 is Fig. 4 shows an example in which the contribution of each investor subject changes according to the price change of an individual derivative market product using stock item A as an underlying asset in a derivative product consisting of three separate derivatives.

The transaction amount 504 is calculated by multiplying the current price 501, the transaction volume 502, and the multiplier 503, and a conversion value 506 is calculated by further multiplying the sensitivity index delta 505. Then, the futures price change value dp (507) is calculated through the difference between the immediately preceding price (500) and the present price (501), and then divided by the immediately preceding price (500) to calculate the futures price change rate dFj (512). Referring to FIG. 5, the futures price change value dp (511) is 282.15-277.51=4.64 (511). And, the futures price change rate dFj(512) is 4.64(507)/277.51(500) * 100% = about 1.67%. i If the investor's trading share (530) is 63%, i The contribution of the individual derivative market product using the investor's stock item A as an underlying asset (540) is i investor's trading share (530) and futures price It is calculated from the product of the rate of change dFj(512) and is 1.05%.

i Investor's contribution to index (551) = i Investor's contribution to price changes of individual derivatives market instruments using stock item A as an underlying asset (540) * Immediate transfer price (500)

i Investor's contribution to index (550) = i Investor's contribution to price change of individual derivatives market products using stock item A as an underlying asset (540)/future price change value dp (511) = 63%.

6 is an embodiment including both a call option (S600) and a put option (S610) among option market products. For each individual option product, the current price 603, the transaction volume 604, and the multiplier 605 are multiplied to calculate the transaction amount 606, and the conversion value 608 is further multiplied by the sensitivity indicator 607.

In addition, the ratio of the transaction amount of the individual option market product using each stock product as an underlying asset to the conversion value of all option market products including stock products A, B, C, and D (609) is calculated. In addition, the option price change value dp 610 is calculated through the difference between the current price 603 and the immediate transfer price 602, and an index change estimate dS^(620) is calculated. The exponential change estimate dS^(620) is a value obtained by dividing the option price change value dp (610) by the sensitivity indicator (607). Thereafter, for each stock, the i-investor's trading weight (640), call/put options (650), index change estimate dS^(620) and the transaction amount weight (609) are multiplied to calculate the contribution by stock (660). The contribution of i investor (661) is calculated by summing the contribution of each stock. In Figure 6, it is confirmed that the contribution of i-investor was about -37.58% (661a), which was sold as an option product. In option products, the index contribution value is the same as that of the investor i. Further, the exponential contribution degree 680 is a value obtained by dividing the exponential contribution value 661 by the exponential change value 250. The index change value 250 represents the difference value between the index values 207 and 217 at times t1 and t2 of the spot market product disclosed in FIG. 2.

7 is a preferred embodiment of the present invention, and shows an example of the contribution of i-investor to individual option market products in the option market product of FIG. 6.

In the individual option market product based on stock A, which is a call option (S700), the transaction amount (706) is calculated through the product of the price (703), the transaction volume (704), and the multiplier (705), and the sensitivity indicator delta (707) The delta amount 708 is calculated by multiplying the value. Then, an option price change value dp (710) of the current price (703) and the immediately prior price (703) is calculated. i The investor's trading weight is calculated as -50% in FIG. 6, the option price change value dp (710) is 0.32, and the contribution is calculated by multiplying (+1) by (+1) to reflect that it is a call option (761). In option products, the index contribution value (761) is the same as that of investor i. In addition, the exponential contribution degree 770 is a value obtained by dividing the exponential contribution value 761 by the exponential change value 217. The index change value 250 represents the difference value between the index values 207 and 217 at times t1 and t2 of the spot market product disclosed in FIG. 2. In FIG. 7, the contribution of the call option using stock A as an underlying asset of investor i is about -9% (661a), confirming that he sold individual option products using stock A as an underlying asset.

8 is a preferred embodiment of the present invention, in the device for calculating the contribution of each investor subject, the index/price contribution value and index/price of the i investor considering all of the spot market products, futures market products, and option market products of a specific market product. This is an example of calculating the contribution.

In FIG. 8, the transaction amount is based on the assumption that the trading volume of stock A constituting the spot market product of FIG. 2 is 59,625,000, the trading volume of stock B, 37,812,300, the trading volume of stock C, 67,894,560, and the trading volume of stock D, 123,457,891.

Transaction amount in the stock market 810 of K4 products including stocks A, B, C and D, conversion value of futures market product 820 with stocks A, B and C as underlying assets, and stocks A, B, C And the converted value of the option market product 830 using D as an underlying asset, respectively. The converted value may be a delta amount. Then, the amount weight 850 of the stock market 810, the futures market 820, and the option market 830 are respectively calculated.

In addition, the index contribution value 860 and index/price contribution 870 of the stock market 810, futures market 820, and option market 830 are reflected. The index contribution value and index index/price contribution of the stock market 810 are 0.41 (FIGS. 2 and 271) and 23% (FIGS. 2 and 270 ), respectively, referring to FIG. 2. The index contribution value and index index/price contribution of the futures market 820 are 0.51 (FIGS. 4 and 441) and 28% (FIGS. 4 and 450 ), respectively, referring to FIG. 4. The index contribution value and index index/price contribution of the option market 830 are -0.3759 (FIGS. 6 and 661) and -21% (FIGS. 6 and 680 ), respectively, referring to FIG. 6.

As a preferred embodiment of the present invention, when considering both the spot market product and the derivative market product, the contribution calculation unit calculates the amount weight 850 of the spot market product and the derivative market product and each of the first index/price contribution value 860. By multiplying, the second index/price contribution value 880 is calculated. Likewise, a second index/price contribution 890 is calculated by multiplying the amount weight 850 of the spot market product and the derivative market product by each of the first index/price contribution 870.

When considering both the spot market product and the derivative market product, the index/price contribution value and the index/price contribution value of the i investor use the 2 index/price contribution value 880 and the second index/price contribution value 890, respectively. Referring to the table 800 that considers both spot market products and derivatives market products of FIG. 8, it can be seen that the index/price contribution value 880 of the i investor to the total market is 0.23, and the index/price contribution is 12.7909%. have.

9 is a flowchart illustrating a method of calculating a contribution degree for each investor subject as a preferred embodiment of the present invention.

The trading weight calculation unit calculates the trading weight information for each investor subject based on the transaction information of individual constituents constituting the index of a specific market product during the time period t1 to t2 (S910). The market cap ratio calculation unit calculates the market cap ratio of each of the individual constituents to the market cap of a specific market product during the time period t1 to t2 (S920), and the increase or decrease of the individual constituents during the time period t1 to t2 in the change calculation unit. Is calculated (S930). In the above, the steps of calculating the trading weight information in the trading weight calculation unit, calculating the market cap ratio in the market cap ratio calculation unit, and the steps in calculating the increase or decrease of individual constituents in the change amount calculation unit have been sequentially described. It should be noted that S910, S920 and S930 may be performed at the same time, and may also be performed by changing the order. After that, when steps S910 to S930 are completed, the contribution of each investor subject is calculated for the time period t1 to t2 based on the values calculated in each of the trading weight calculation unit, the market capitalization ratio calculation unit, and the change amount calculation unit in the contribution calculation unit. Do (S940).

An embodiment of the present invention may also be implemented in the form of a recording medium including instructions executable by a computer, such as a program module executed by a computer. Computer-readable media can be any available media that can be accessed by a computer, and includes both volatile and nonvolatile media, removable and non-removable media. Further, the computer-readable medium may include a computer storage medium. Computer storage media includes both volatile and nonvolatile, removable and non-removable media implemented in any method or technology for storage of information such as computer readable instructions, data structures, program modules or other data.

Although the methods and systems of the present invention have been described in connection with specific embodiments, some or all of their components or operations may be implemented using a computer system having a general-purpose hardware architecture.

The above description of the present invention is for illustrative purposes only, and those of ordinary skill in the art to which the present invention pertains will be able to understand that it can be easily modified into other specific forms without changing the technical spirit or essential features of the present invention. will be. Therefore, it should be understood that the embodiments described above are illustrative in all respects and not limiting. For example, each component described as a single type may be implemented in a distributed manner, and similarly, components described as being distributed may also be implemented in a combined form.

The scope of the present invention is indicated by the claims to be described later rather than the detailed description, and all changes or modified forms derived from the meaning and scope of the claims and their equivalent concepts should be interpreted as being included in the scope of the present invention. do.

Claims

A trading weight calculation unit that calculates trading weight information for each investor based on the transaction information of individual constituents constituting the index of a specific market product during a specific time period;

A market capitalization ratio calculating unit that calculates a market capitalization ratio of each of the individual constituent items to the market capitalization of the specific market product during the specific time period;

A change amount calculation unit calculating an increase or decrease amount of the individual constituent items during the specific time period; And

And a contribution calculation unit that calculates the contribution of each investor subject during the specific time period based on values calculated by each of the trading weight calculation unit, the market capitalization ratio calculation unit, and the change amount calculation unit. Contribution calculation device for each subject.
The method of claim 1,

The specific market product is a device for calculating the degree of contribution by investor subject, characterized in that it includes at least one of a spot market product and a derivative market product.
The method of claim 1, wherein the specific market product

In the case of including both the first spot market product and the first derivative market product, the converted value of the first derivative market product and the derivatives composing the first derivative market product is the index of the first spot market product, 1 A device for calculating the degree of contribution of each investor, characterized in that it is calculated using an index of sensitivity to changes in prices of individual constituents constituting a spot market product.
The method of claim 3,

When the specific market product includes both the first spot market product and the first derivative market product, the contribution calculation unit

The apparatus for calculating a contribution degree for each investor subject, wherein the contribution degree for each investor subject reflects both the contribution degree of the first spot market product and the contribution degree of the first derivative market product during the specific time period.
The method of claim 3,

The sensitivity indicator includes a delta or beta, and the conversion value is a delta conversion position amount or a beta conversion position amount.
The method of claim 1, wherein the trading weight information

A device for calculating a contribution degree for each investor entity, characterized in that it indicates a ratio of a transaction amount or a transaction delta amount occupied by the investor entity from the total transaction volume or the total transaction amount of the specific market product during a market.
The method of claim 1, wherein the contribution calculation unit

Contribution calculation device for each investor entity, characterized in that calculating the contribution of each investor entity to a change in a price or an index of the specific market product.
Calculating the trading weight information for each investor subject based on the transaction information of individual constituents constituting the index of a specific market product during a specific time period in the trading weight calculation unit;

Calculating a market capitalization ratio of each of the individual constituent items to the market capitalization of the specific market product during the specific time period, in a market capitalization ratio calculation unit;

Calculating an increase/decrease amount of the individual constituent items during the specific time period in the change amount calculation unit; And

And calculating a contribution for each investor subject during the specific time period based on values calculated by each of the trading ratio calculation unit, the market capitalization ratio calculation unit, and the change amount calculation unit in the contribution calculation unit. How to calculate the contribution of each investor entity.
The method of claim 8, wherein the specific market product includes at least one of a spot market product and a derivative market product.
The method of claim 8, wherein the specific market product

In the case of including both the first spot market product and the first derivative market product, the converted value of the first derivative market product and the derivatives composing the first derivative market product is the index of the first spot market product, 1 A method of calculating the degree of contribution by investor entity, characterized in that it is calculated using an indicator of sensitivity to changes in prices of individual constituents constituting a spot market product.
The method of claim 10,

When the specific market product includes both the first spot market product and the first derivative market product, the contribution calculation unit

And calculating the contribution of each investor subject by reflecting both the contribution of the first spot market product and the contribution of the first derivative market product during the specific time period.
The method of claim 10,

The sensitivity indicator includes a delta or beta, and the conversion value is a delta conversion position amount or a beta conversion position amount.
The method of claim 8, wherein the trading weight information

A method for calculating contribution by investor entity, characterized in that representing the ratio of the transaction amount or transaction delta amount occupied by the investor entity from the total transaction volume or the total transaction amount of the specific market product during the market.
The method of claim 8, wherein the contribution calculation unit

A method of calculating a contribution degree for each investor subject, characterized in that for calculating a contribution degree for each investor subject to a change in a price of the specific market product or a change in an index.
A recording medium comprising a program for executing the method of calculating the degree of contribution for each investor subject according to any one of claims 8 to 14.