BOARD INFORMATION ANALYSIS APPARATUS, BOARD INFORMATION ANALYSIS METHOD, AND PROGRAM

摘要

PROBLEM TO BE SOLVED: To analyze board information and generate summarized information of order state so that market participants can intuitively understand.

SOLUTION: A cumulative quotation quantity calculation unit 2 calculates a cumulative quotation quantity for each quotation of board information acquired by a board information acquisition unit 1, and an order sum calculation unit 3 calculates an order sum which is a value obtained by multiplying the quotation by the number of orders for each quotation of the board information acquired by the board information acquisition unit 1. An average unit price calculation unit 4 calculates an average unit price for each quotation from the cumulative quotation quantity and the order sum, and an impact value calculation unit 5 calculates an impact value which is a difference between the average unit price and a best quotation for each quotation of the board information acquired by the board information acquisition unit 1. An impact function derivation unit 6 derives an impact function approximated by a power function comprised of a monomial with the cumulative quotation quantity as a variable using the cumulative quotation quantity and the impact value for each of a sell order and a purchase order. A board balance calculation unit 7 divides a coefficient value of impact function of sell order by a coefficient value of impact function of purchase order, and calculates a board balance value.

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