基于情感分析的股票预测模型研究

发布时间：2018-06-06 11:36

本文选题：股票评论 + 情感分析　；参考：《哈尔滨工业大学》2013年硕士论文

【摘要】：随着互联网的日益发展，越来越多的人依赖网络、搜索信息和分享交流。同时，股市投资者也越来越倾向于通过网络平台来获取金融信息并交流投资观点。股评论坛包含着丰富的金融数据和投资者情感倾向信息，论坛的相关信息已经成为影响投资者心理和行为的重要因素。因此，利用股评论坛上投资者情感来研究股市波动情况具有重要意义。行为金融学提出，非理性股市投资者的心理和行为将会影响股票市场态势，使股票价格脱离了其本身的价值，而评论中拥有大量的股票投资者情绪和行为等信息，对股票研究具有非常重要的意义。相比于国外已经非常成熟的金融证券市场，中国的股票市场还处于探索阶段，进行短线交易的股票投机者较多，他们会通过各种渠道搜寻消息来制定决策。而股评论坛就是各类投资者获取消息的重要渠道来源，因此，挖掘分析股票论坛中的评论情感倾向具有重大意义。本文基于行为金融理论和在线评论文本分类技术，对投资者在线股评行为展开了分析，主要研究论坛股评和市场表现之间的关系。通过对股评论坛信息的初步处理，研究用户的发帖行为并进行假设验证。并利用文本分类技术提取出论坛股评中的投资者情感指数，结合相关金融信息，从大盘表现、市场板块、食品行业、个股数据这四个层面来研究在线股评对股票市场的影响。研究结果表明，论坛股评信息中包含的情感倾向具有重要价值，大盘的收益率同异常发帖量之间存在着密切联系，股市看涨指数具有周末效应。从市场板块来看，，板块的超额收益同股评情感变量之间有相关关系。对食品行业的研究说明，行业的表现与股评情感因素之间存在联系。为了定量分析股评变量与股票市场相互影响作用，本文在个股的分析上，建立了基于情感分析的主成份回归股票价格预测模型来进行实证分析。
[Abstract]:With the development of the Internet, more and more people rely on the Internet, search for information and share communication. At the same time, stock market investors are more and more inclined to access financial information and exchange investment views through online platforms. The stock review forum contains abundant financial data and investors' emotional tendency information. The relevant information of the forum has become an important factor affecting investors' psychology and behavior. Therefore, it is of great significance to study the volatility of stock market by using investor emotion in stock review forum. Behavioral finance suggests that the psychology and behavior of investors in the irrational stock market will affect the stock market situation and cause the stock price to deviate from its own value, while the comments contain a large amount of information such as the emotion and behavior of the stock investors. The research on stock is of great significance. Compared with the foreign financial securities market, China's stock market is still in the exploration stage. There are more short-term stock speculators, they will search for information through various channels to make decisions. The stock review forum is an important source for investors to obtain information. Therefore, it is of great significance to dig out and analyze the emotional tendency of comments in stock forums. Based on behavioral finance theory and online review text classification technology, this paper analyzes the behavior of investors' online stock review, and mainly studies the relationship between forum stock review and market performance. Through the preliminary processing of stock review forum information, the user's posting behavior is studied and hypothetical verification is carried out. Using text classification technology to extract the investor sentiment index in the forum stock review, combined with relevant financial information, from the market performance, market sector, food industry, individual stock data to study the impact of online stock review on the stock market. The results show that the emotional tendency contained in the forum stock review information has important value, the yield of the market is closely related to the abnormal posting amount, and the stock market bullish index has a weekend effect. From the market sector, there is a correlation between the excess return of the plate and the emotional variables of stock review. The research on the food industry shows that there is a relationship between the performance of the industry and the emotional factors of stock review. In order to quantitatively analyze the interaction between stock evaluation variables and stock market, this paper establishes a principal component regression stock price forecasting model based on affective analysis to carry out empirical analysis.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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