关于情绪对印度股票价格的影响的研究
Renju Rachel Varghese1,2, Biju R Mohan1
1National Institute of Technology Karnataka, Surathkal, Mangaluru, 575025, Karnataka, India.
Heliyon
|December 18, 2023
概括
这项研究引入了一个四个阶段的模型来分析新闻情绪如何影响股票价格,找到Renyi.
科学领域:
- 金融市场 金融市场
- 计算语言学 计算语言学
- 数据科学数据科学数据科学
背景情况:
- 关于股票市场动态和媒体对股票价格的影响的科学研究正在增长.
- 因果分析可以量化媒体情绪对股票估值的影响.
研究的目的:
- 提出并验证一个四阶段模型,用于检测新闻情绪和股票价格之间的信息流动方向.
- 将非参数方法的有效性与金融市场因果分析的传统参数方法进行比较.
主要方法:
- 用于新闻数据集提取的网络抓取.
- 修改了VADER算法用于媒体情绪分析.
- 关联因果分析,包括Shannon和Renyi的和Granger因果关系测试.
主要成果:
- 伦尼的方法在格兰杰测试中表现出优越的性能,特别是在非高斯时间序列和非线性因果关系方面.
- 雷尼的恩特罗皮有效地识别了股价快速波动期间的信息激增,对于新闻报道有限的股票来说非常有价值.
- 这项研究证实了新闻情绪和股价波动之间存在明确的信息流和因果关系,包括COVID-19大流行对制药行业的影响.
结论:
- 与传统方法相比,非参数法,特别是Renyi的法,为分析新闻情绪对股票价格的影响提供了更强大的方法.
- 开发的模型为投资者提供了一个有价值的工具,通过了解媒体和市场行为之间的因果关系,为投资者制定明智的投资和消费策略.
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