基于网络文本的投资者情绪与股票价格研究述评
摘要
2017年理查德·塞勒获得诺贝尔经济学奖,行为金融学再次成为研究热点。大量学者认为投资者情绪将影响投资决策并引发金融异象。近些年,网络媒体发展迅速带来股民与网民的高度"耦合",由此基于网络文本的投资者情绪与股价相关研究备受关注。通过投资者情绪与股票价格研究结构模型,挖掘网络文本情绪与股价的研究规律,并提出投资者情绪传播效果影响因素挖掘、多来源与多维度投资者情绪综合指标构建、长时间预测与文本情感挖掘精准度提升等后续研究方向,以期为该领域的深入研究提供参考。
引文
[1]Wuthrich B,Cho V,Leung S,et al.Daily Stock Market Forecast from Textual Web Data[M].1998.
[2]Bollen J,Mao H,Zeng X.Twitter Mood Predicts the Stock Market[J].Journal of Computational Science,2011,(1):1-8.
[3]Ghose A,Ipeirotis P G.Estimating the Helpfulness and Economic Impact of Product Reviews:Mining Text and Reviewer Characteristics[J].IEEE Transactions on Knowledge&Data Engineering,2011,(10):1498-1512.
[4]Pournarakis D E,Sotiropoulos D N,Giaglis G M.AComputational Model for Mining Consumer Perceptions in Social Media[J].Decision Support Systems,2017,93:98-110.
[5]Thien Hai N,Shirai K,Velcin J.Sentiment Analysis on Social Media for Stock Movement Prediction[J].Expert Systems with Applications,2015,(24):9603-9611.
[6]Xie B,Passonneau R J,Wu L,et al.Semantic Frames to Predict Stock Price Movement[C].ACL 2013-51st Annual Meeting of the Association for Computational Linguistics,Proceedings of the Conference,2013:873-883.
[7]Proellochs N,Feuerriegel S,Neumann D.Negation Scope Detection in Sentiment Analysis:Decision Support for News-driven trading[J].Decision Support Systems,2016,88:67-75.
[8]尹海员.新闻媒体报道对投资者情绪影响效应研究--来自我国股票市场的经验证据[J].厦门大学学报(哲学社会科学版),2016,(2):92-101.
[9]Oliveira N,Cortez P,Areal N.The Impact of Microblogging Data for Stock Market Prediction:Using Twitter to Predict Returns,Volatility,Trading Volume and Survey Sentiment Indices[J].Expert Systems with Applications,2017,73:125-144.
[10]Zhang X,Fuehres H,Gloor P A.Predicting Stock Market Indicators Through Twitter'I Hope It is not as Bad as IFear'[J].Procedia-Social and Behavioral Sciences,2011,26:55-62.
[11]Li B,Chan K C C,Ou C,et al.Discovering Public Sentiment in Social Media for Predicting Stock Movement of Publicly Iisted Companies[J].Information Systems,2017,69:81-92.
[12]Chong O,Sheng O.Investigating Predictive Power of Stock Micro Blog Sentiment in Forecasting Future Stock Price Directional Movement[C].International Conference on Information Systems,Icis 2011,Shanghai,China,December,2011.
[13]张世晓,邓峰.股票关注度、投资者行为差异性与市场操纵[J].武汉金融,2015,(8):21-26.
[14]Ho C S,Damien P,Gu B,et al.The Time-varying Nature of Social Media Sentiments in Modeling Stock Returns[J].Decision Support Systems,2017,101:69-81.
[15]Nasseri A A,Tucker A,Cesare S D.Quantifying StockTwits Semantic Terms'Trading Behavior in Financial Markets[J].Expert Systems with Applications,2015,(23):9192-9210.
[16]Checkley M S,Higon D A,Alles H.The Hasty Wisdom of the Mob:How Market Sentiment Predicts Stock Market Behavior[J].Expert Systems with Applications,2017,77:256-263.
[17]Oliveira N,Cortez P,Areal N.On the Predictability of Stock Market Behavior Using StockTwits Sentiment and Posting Volume[M].Springer Berlin Heidelberg,2013:355-365.
[18]段江娇,刘红忠,曾剑平.中国股票网络论坛的信息含量分析[J].金融研究,2017,(10):178-192.
[19]张凯,任维平,张仰森等.基于股民评论信息的股票预测方法研究[J].北京信息科技大学学报(自然科学版),2017,(5):67-71.
[20]郑瑶,董大勇,朱宏泉.异质性情绪影响股市羊群效应吗?--来自互联网股票社区的证据[J].系统工程,2016,(9):9-14.
[21]吕永霞.网络舆论对股市收益影响实证研究--基于投资者情绪视角[J].财会通讯,2018,(11):13-17+129.
[22]He W,Guo L,Shen J,et al.Social Media-Based Forecasting:A Case Study of Tweets and Stock Prices in the Financial Services Industry[J].Journal of Organizational and End User Computing,2016,(2):74-91.
[23]董理,王中卿,熊德意.基于文本信息的股票指数预测[J].北京大学学报(自然科学版),2017,(2):273-278.
[24]黄润鹏,左文明,毕凌燕.基于微博情绪信息的股票市场预测[J].管理工程学报,2015,(1):47-52.
[25]Garcia D.Sentiment during Recessions[J].Journal of Finance,2013,(3):1267-1300.
[26]Tetlock P C.Giving Content to Investor Sentiment:The Role of Media in the Stock Market[J].Social Science Electronic Publishing,2007,(3):1139-1168.
[27]朱梦珺,蒋洪迅,许伟.基于金融微博情感与传播效果的股票价格预测[J].山东大学学报(理学版),2016,(11):13-25.
[28]Antweiler W,Frank M Z.Is all that Talk just Noise?The Information Content of Internet Stock Message Boards[J].Journal of Finance,2004,(3):1259-1294.
[29]Si J,Mukherjee A,Liu B,et al.Exploiting Topic Based Twitter Sentiment for Stock Prediction[C].ACL2013-51st Annual Meeting of the Association for Computational Linguistics,Proceedings of the Conference,2013:24-29.
[30]Chen R,Lazer M.Sentiment Analysis of Twitter Feeds for the Prediction of Stock Market Movement[J].2013.
[31]Yu Y,Duan W,Cao Q.The Impact of Social and Conventional Media on Firm Equity Value:A Sentiment Analysis Approach[J].Decision Support Systems,2013,(4):919-926.
[32]Mao H,Counts S,Bollen J.Predicting Financial Markets:Comparing Survey,News,Twitter and Search Engine Data[J].Computer Science,2011.
[33]Das S R,Chen M Y.Yahoo!for Amazon:Sentiment Extraction from Small Talk on the Web[J].Management Science,2007,(9):1375-1388.
[34]池丽旭,张广胜,庄新田,等.投资者情绪指标与股票市场--基于扩展卡尔曼滤波方法的研究[J].管理工程学报,2012,(3):122-128+165.
[35]段江娇,刘红忠,曾剑平.投资者情绪指数、分析师推荐指数与股指收益率的影响研究--基于我国东方财富网股吧论坛、新浪网分析师个股评级数据[J].上海金融,2014,(11):60-64.
[36]张信东,原东良.基于微博的投资者情绪对股票市场影响研究[J].情报杂志,2017,(8):81-87.
[37]Zuo Y,Kita E.Stock Price Forecast using Bayesian Network[J].Expert Systems with Applications,2012,(8):6729-6737.
[38]Schumaker R P,Zhang Y,Huang C-N,et al.Evaluating Sentiment in Financial News Articles[J].Decision Support Systems,2012,(3):458-464.
[39]Rechenthin M,Street W N,Srinivasan P.Stock Chatter:Using Stock Sentiment to Predict Price Direction[J].Algorithmic Finance,2013,(3-4):169-196.
[2]Bollen J,Mao H,Zeng X.Twitter Mood Predicts the Stock Market[J].Journal of Computational Science,2011,(1):1-8.
[3]Ghose A,Ipeirotis P G.Estimating the Helpfulness and Economic Impact of Product Reviews:Mining Text and Reviewer Characteristics[J].IEEE Transactions on Knowledge&Data Engineering,2011,(10):1498-1512.
[4]Pournarakis D E,Sotiropoulos D N,Giaglis G M.AComputational Model for Mining Consumer Perceptions in Social Media[J].Decision Support Systems,2017,93:98-110.
[5]Thien Hai N,Shirai K,Velcin J.Sentiment Analysis on Social Media for Stock Movement Prediction[J].Expert Systems with Applications,2015,(24):9603-9611.
[6]Xie B,Passonneau R J,Wu L,et al.Semantic Frames to Predict Stock Price Movement[C].ACL 2013-51st Annual Meeting of the Association for Computational Linguistics,Proceedings of the Conference,2013:873-883.
[7]Proellochs N,Feuerriegel S,Neumann D.Negation Scope Detection in Sentiment Analysis:Decision Support for News-driven trading[J].Decision Support Systems,2016,88:67-75.
[8]尹海员.新闻媒体报道对投资者情绪影响效应研究--来自我国股票市场的经验证据[J].厦门大学学报(哲学社会科学版),2016,(2):92-101.
[9]Oliveira N,Cortez P,Areal N.The Impact of Microblogging Data for Stock Market Prediction:Using Twitter to Predict Returns,Volatility,Trading Volume and Survey Sentiment Indices[J].Expert Systems with Applications,2017,73:125-144.
[10]Zhang X,Fuehres H,Gloor P A.Predicting Stock Market Indicators Through Twitter'I Hope It is not as Bad as IFear'[J].Procedia-Social and Behavioral Sciences,2011,26:55-62.
[11]Li B,Chan K C C,Ou C,et al.Discovering Public Sentiment in Social Media for Predicting Stock Movement of Publicly Iisted Companies[J].Information Systems,2017,69:81-92.
[12]Chong O,Sheng O.Investigating Predictive Power of Stock Micro Blog Sentiment in Forecasting Future Stock Price Directional Movement[C].International Conference on Information Systems,Icis 2011,Shanghai,China,December,2011.
[13]张世晓,邓峰.股票关注度、投资者行为差异性与市场操纵[J].武汉金融,2015,(8):21-26.
[14]Ho C S,Damien P,Gu B,et al.The Time-varying Nature of Social Media Sentiments in Modeling Stock Returns[J].Decision Support Systems,2017,101:69-81.
[15]Nasseri A A,Tucker A,Cesare S D.Quantifying StockTwits Semantic Terms'Trading Behavior in Financial Markets[J].Expert Systems with Applications,2015,(23):9192-9210.
[16]Checkley M S,Higon D A,Alles H.The Hasty Wisdom of the Mob:How Market Sentiment Predicts Stock Market Behavior[J].Expert Systems with Applications,2017,77:256-263.
[17]Oliveira N,Cortez P,Areal N.On the Predictability of Stock Market Behavior Using StockTwits Sentiment and Posting Volume[M].Springer Berlin Heidelberg,2013:355-365.
[18]段江娇,刘红忠,曾剑平.中国股票网络论坛的信息含量分析[J].金融研究,2017,(10):178-192.
[19]张凯,任维平,张仰森等.基于股民评论信息的股票预测方法研究[J].北京信息科技大学学报(自然科学版),2017,(5):67-71.
[20]郑瑶,董大勇,朱宏泉.异质性情绪影响股市羊群效应吗?--来自互联网股票社区的证据[J].系统工程,2016,(9):9-14.
[21]吕永霞.网络舆论对股市收益影响实证研究--基于投资者情绪视角[J].财会通讯,2018,(11):13-17+129.
[22]He W,Guo L,Shen J,et al.Social Media-Based Forecasting:A Case Study of Tweets and Stock Prices in the Financial Services Industry[J].Journal of Organizational and End User Computing,2016,(2):74-91.
[23]董理,王中卿,熊德意.基于文本信息的股票指数预测[J].北京大学学报(自然科学版),2017,(2):273-278.
[24]黄润鹏,左文明,毕凌燕.基于微博情绪信息的股票市场预测[J].管理工程学报,2015,(1):47-52.
[25]Garcia D.Sentiment during Recessions[J].Journal of Finance,2013,(3):1267-1300.
[26]Tetlock P C.Giving Content to Investor Sentiment:The Role of Media in the Stock Market[J].Social Science Electronic Publishing,2007,(3):1139-1168.
[27]朱梦珺,蒋洪迅,许伟.基于金融微博情感与传播效果的股票价格预测[J].山东大学学报(理学版),2016,(11):13-25.
[28]Antweiler W,Frank M Z.Is all that Talk just Noise?The Information Content of Internet Stock Message Boards[J].Journal of Finance,2004,(3):1259-1294.
[29]Si J,Mukherjee A,Liu B,et al.Exploiting Topic Based Twitter Sentiment for Stock Prediction[C].ACL2013-51st Annual Meeting of the Association for Computational Linguistics,Proceedings of the Conference,2013:24-29.
[30]Chen R,Lazer M.Sentiment Analysis of Twitter Feeds for the Prediction of Stock Market Movement[J].2013.
[31]Yu Y,Duan W,Cao Q.The Impact of Social and Conventional Media on Firm Equity Value:A Sentiment Analysis Approach[J].Decision Support Systems,2013,(4):919-926.
[32]Mao H,Counts S,Bollen J.Predicting Financial Markets:Comparing Survey,News,Twitter and Search Engine Data[J].Computer Science,2011.
[33]Das S R,Chen M Y.Yahoo!for Amazon:Sentiment Extraction from Small Talk on the Web[J].Management Science,2007,(9):1375-1388.
[34]池丽旭,张广胜,庄新田,等.投资者情绪指标与股票市场--基于扩展卡尔曼滤波方法的研究[J].管理工程学报,2012,(3):122-128+165.
[35]段江娇,刘红忠,曾剑平.投资者情绪指数、分析师推荐指数与股指收益率的影响研究--基于我国东方财富网股吧论坛、新浪网分析师个股评级数据[J].上海金融,2014,(11):60-64.
[36]张信东,原东良.基于微博的投资者情绪对股票市场影响研究[J].情报杂志,2017,(8):81-87.
[37]Zuo Y,Kita E.Stock Price Forecast using Bayesian Network[J].Expert Systems with Applications,2012,(8):6729-6737.
[38]Schumaker R P,Zhang Y,Huang C-N,et al.Evaluating Sentiment in Financial News Articles[J].Decision Support Systems,2012,(3):458-464.
[39]Rechenthin M,Street W N,Srinivasan P.Stock Chatter:Using Stock Sentiment to Predict Price Direction[J].Algorithmic Finance,2013,(3-4):169-196.