基于投资者情绪测度的短期投资策略设计与分析

发布时间：2018-01-30 10:34

本文关键词： 投资者情绪舆情分析 MRS模型市场回测　出处：《上海师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：本文主要对投资者情绪指标构建的研究思路进行了拓展,将舆情分析融入情绪指标的构建过程。利用股吧评论公开数据,采用分词打分的方法构建了一个直接反映投资者情绪的主要直接指标;并利用市场上可获得的市场换手率、市盈率、波动率以及新增开户数、投资者信心指数和消费者信心指数相关数据,通过主成分分析法构建了一个初步的间接指标,用以侧面反映市场情绪的波动情况,作为直接情绪指标的补充;将两指标融合,剔除宏观经济因素可能对其产生的干扰,得到一个综合性指标。基于本文投资者情绪指标的测度方法,本文设计了一个简化的短期投资策略,通过阈值搜索确定合适的情绪指标阈值上下限,引入MRS模型用于投资者情绪指标的预测,以情绪指标的实际值结合预测结果设定买卖点的触发条件,并结合触发买点前n天的股票累计超额收益率进行选股构建投资组合。市场回测结果显示本文设计的投资策略表现明显优于市场指数表现,本文还对投资策略的可行性、风险行以及可能存在的问题进行了分析,针对问题在本文程序设计方面进行了优化,并给出了本文研究的后续改进方向。最后文章指出,基于技术手段的投资策略只是解放人力劳动的辅助性手段,无法完全消除投资风险,仍需要第三方角色对其不断跟踪优化,及时根据市场变化做出调整优化。
[Abstract]:This paper mainly develops the research ideas of investor emotional indicators, and integrates the analysis of public opinion into the construction process of emotional indicators. Using the method of word segmentation to construct a direct index which directly reflects the investor's emotion; And use the market turnover ratio, price-earnings ratio, volatility and the number of new accounts, investor confidence index and consumer confidence index related data. A preliminary indirect index was constructed by principal component analysis to reflect the fluctuation of market emotion and to supplement the direct emotion index. By combining the two indicators and eliminating the possible interference of macroeconomic factors, a comprehensive index is obtained. Based on the measurement method of investor sentiment index in this paper, a simplified short-term investment strategy is designed. Through the threshold search to determine the appropriate threshold of emotional indicators, the introduction of MRS model to predict investor emotional indicators, with the actual value of emotional indicators combined with the forecast results to set the trigger conditions of the trading point. Combined with the cumulative excess yield of the stock before triggering the buying point to construct the stock portfolio. The results of market review show that the performance of the investment strategy designed in this paper is obviously better than the performance of the market index. This paper also analyzes the feasibility of investment strategy, risk line and possible problems, and optimizes the programming of this paper. Finally, the paper points out that the investment strategy based on technical means is only a supplementary means to liberate human labor, and it can not completely eliminate investment risk. Third-party roles are still needed to keep track of their optimization and adjust to market changes in a timely manner.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：B842.6;F832.51

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