基于深度学习的股票市场预测,包括ESG情绪和技术指标
Haein Lee1, Jang Hyun Kim2, Hae Sun Jung3
1Department of Applied Artificial Intelligence/Department of Human-Artificial Intelligence Interaction, Sungkyunkwan University, Seoul, 03063, Republic of Korea.
Scientific reports
|May 4, 2024
概括
这项研究将来自新闻的环境,社会和治理 (ESG) 情绪与技术指标相结合,以提高标普500股票价格预测. 结果显示,通过将ESG因素与传统市场数据相结合,提高了准确性.
科学领域:
- 金融市场 金融市场
- 可持续金融 可持续金融
- 数据科学数据科学数据科学
背景情况:
- 可持续性和ESG因素对现代企业来说越来越重要.
- ESG指标影响投资者信任,公司增长和股票价格.
- 将ESG纳入财务评估对于评估可持续实践至关重要.
研究的目的:
- 提出一种创新的方法,将ESG情绪指数和标准普尔500指数预测技术指标结合起来.
- 探索最佳的深度学习模型和窗口大小,以实现预测准确性.
- 通过消去试验,澄清ESG对标普500指数的影响和因果关系.
主要方法:
- 从新闻数据中提取ESG情绪指数.
- 利用深度学习模型进行股票价格预测.
- 在模型评估中应用平均绝对百分比误差 (MAPE).
- 进行废弃试验,以评估ESG的影响和因果关系.
主要成果:
- 当ESG情绪被纳入时,提高了标准普尔500指数的预测准确度.
- 与仅使用技术指标或历史数据的模型相比,表现出优异的性能.
- 验证了ESG情绪对股价预测的重大影响.
结论:
- 将技术指标 (短期) 与ESG信息 (长期) 结合起来,可以提高股票价格预测.
- 对于金融资产来说,ESG考虑是必要的,因为它提供了新的投资战略前景.
- 为投资者和金融市场专家提供关于ESG整合的宝贵见解.
相关概念视频
01:29Econometric Views (EViews)
141
Econometric Views, often stylized as EViews, is a package that merges statistical analysis with econometric studies. It is designed to provide tools for time series analysis, forecasting, and econometric model simulation. The software originated from MicroTSP software and has evolved significantly since its inception in 1981. The history of EViews is marked by a continuous effort to enhance its computational speed and user interface. It was initially developed for large computing systems but...
141
01:19Survival Tree
80
Survival trees are a non-parametric method used in survival analysis to model the relationship between a set of covariates and the time until an event of interest occurs, often referred to as the "time-to-event" or "survival time." This method is particularly useful when dealing with censored data, where the event has not occurred for some individuals by the end of the study period, or when the exact time of the event is unknown.
Building a Survival Tree
Constructing a...
Building a Survival Tree
Constructing a...
80