基于外汇舆情的人民币汇率波动预测研究

Abstract

Abstract: Public opinion has an impact on financial volatility,which plays an essential role in monitoring,analysis and anomaly detection for financial market.Due to the diversity of public opinion and the complexity of RMB exchange rate,how to quantify the impact of public opinion in a better manner has an important industrial significance for realizing the monitoring and analysis of the RMB exchange rate.This paper firstly performed pre-processing for public news of the foreign market,such as noise filtering,word segmentation.Meanwhile,it constructed a series of features for volatility forecasting of RMB exchange rate based on the domain knowledge of foreign exchange rate.Moreover,a novel influence model was proposed to represent the relationship between public opinion and RMB exchange rate.Finally,the volatility forecasting model is realized for RMB exchange rate on the real dataset.The experimental results testify that the proposed method can effectively forecast the volatility of RMB exchange rate.

Key words: Exchange rate volatility forecasting, Foreign market, Public opinion monitoring, RMB exchange rate

CLC Number:

TP181

CHENG Zhou, YU Zheng, GUO Yi, WANG Zhi-hong. Research on Volatility Forecasting of RMB Exchange Rate Based on Public Opinion[J].Computer Science, 2019, 46(11A): 143-148.

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