计算机科学 ›› 2021, Vol. 48 ›› Issue (6A): 143-150.doi: 10.11896/jsjkx.201000016

• 大数据&数据科学 • 上一篇    下一篇

股票市场投资者情绪指数研究综述

张同明, 张宁   

  1. 青岛大学商学院 山东 青岛266100
  • 出版日期:2021-06-10 发布日期:2021-06-17
  • 通讯作者: 张宁(zhang_ning1980@126.com)
  • 作者简介:824492681@qq.com
  • 基金资助:
    山东省社科规划项目(18CHLJ22)

Review of Research on Investor Sentiment Index in Stock Market

ZHANG Tong-ming, ZHANG Ning   

  1. School of Business,Qingdao University,Qingdao,Shandong 266100,China
  • Online:2021-06-10 Published:2021-06-17
  • About author:ZHANG Tong-ming,born in 1996,postgraduate.His main research interests include business data analysis and so on.
    ZHANG Ning,born in 1980,Ph.D,associate professor,postgraduate supervisor.His main research interests include business data analysis and so on.
  • Supported by:
    Social Science Planning Project of Shandong Province,China(18CHLJ22).

摘要: 投资者情绪被广泛应用于股票市场的研究中。文中对国内外有关投资者情绪指数的文献进行梳理,将投资者情绪指标的度量和构建方法分为3类。第一类方法利用市场调查指标直接替代投资者情绪。第二类方法选取与股票市场有关的单一经济变量或组合变量作为度量投资者情绪指数的代理变量。第三类从社交媒体中获取有价值的信息构建投资者情绪指数,其中包括数据源的选取和文本情感分类两部分。对情感分类中的机器学习方法进行总结。最后基于投资者情绪看涨指数,对不同程度的投资者情绪进行细致划分,利用文档主题生成(Latent Dirichlet Allocation,LDA)模型的主题提取功能,进一步提出主题情感指数(Topic-Sentiment Index,TSI)。该指数克服了目前研究中仅考虑文本信息中情感特征的单一因素的问题,在结论部分指出当前研究的不足和面临的挑战,旨在为未来研究提供一定的借鉴。

关键词: 度量方法, 股票市场, 投资者情绪, 文本挖掘, 主题情感指数

Abstract: Investor sentiment is widely used in stock market research.This paper collates the domestic and foreign literature on investor sentiment index and finds that the measurement and construction methods of investor sentiment index are divided into three categories.The first category is to use market survey indicators to directly replace investor sentiment;the second category is to select a single economic variable or a combination variable related to the stock market as a proxy variable to measure investor sentiment index;the third category is to obtain valuable information from social media to construct investor sentiment,including data source selection and text sentiment classification,and summarize the machine learning methods in sentiment classification.Based on the bullish index of investor sentiment,this paper classifies different degrees of investorsentiment in detail,and further proposes the topic-sentiment index (TSI) by using the topic extraction function of latent dirichlet allocation (LDA) model.This index overcomes the problem of only considering the sentiment characteristics of textual information in current research.The conclusion points out the deficiencies and challenges of current research,and aims to provide some reference for future research.

Key words: Investor sentiment, Measurement method, Stock market, Text mining, Topic-sentiment index

中图分类号: 

  • TP391
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