A trend-shift model for global factor analysis of investment products

Abstract

Recently, more and more people start investing. Understanding the factors affecting financial products is important for making investment decisions. However, it is difficult to understand factors for novices because various factors affect each other. Various technique has been studied, but conventional factor analysis methods focus on revealing the impact of factors over a certain period locally, and it is not easy to predict net asset values. As a reasonable solution for the prediction of net asset values, in this paper, we propose a trend shift model for the global analysis of factors by introducing trend change points as shift interference variables into state space models. In addition, to realize the trend shift model efficiently, we propose an effective trend detection method, TP-TBSM (two-phase TBSM), by extending TBSM (trend-based segmentation method). Comparing with TBSM, TP-TBSM could detect trends flexibly by reducing the dependence on parameters. We conduct experiments with eleven investment trust products and reveal the usefulness and effectiveness of the proposed model and method.