美国科技行业股票的势头,数量和投资者情绪研究-基于隐藏的马科夫模型的主要组件分析
1Department of Economics, Cornell University, Ithaca, United States of America.
PloS one
|September 9, 2025
概括
投资者情绪显著影响美国科技股收益,超过了势头和数量效应. 这项研究使用主要组件分析-隐藏马尔科夫模型 (PCA-HMM) 来分析这些金融动态.
科学领域:
- 量化金融 量化金融
- 行为金融是行为金融.
- 金融中的机器学习
背景情况:
- 理论金融模型和现代行为金融主题经常被单独研究.
- 了解市场动态的相互作用,如势头,数量和投资者情绪,对于金融市场至关重要.
- 美国科技行业表现出影响其股票回报的独特特征.
研究的目的:
- 调查势头,数量和投资者情绪对美国科技行业股票回报的影响.
- 使用先进的统计方法,将理论金融与行为金融联系起来.
- 确定科技股收益率的主要驱动因素及其对市场份额的影响.
主要方法:
- 主要组件分析-隐藏马尔科夫模型 (PCA-HMM) 方法的应用.
- 分析金融和宏观经济时间序列数据.
- 对不同的市场制度进行校准,以揭示潜在的模式.
主要成果:
- 投资者情绪表明,对科技行业股票回报的主要影响是超越数量和势头.
- 交易量具有"不符合条件"的影响,而势头显示与科技股收益的微不足道的相关性.
- 投资者情绪和交易量效应在大型和中型市场份额的科技股中最为明显.
结论:
- 投资者情绪是美国科技股收益的一个关键决定因素.
- PCA-HMM方法有效地揭示了金融时间序列中隐藏的动态和不规则的市场行为.
- 调查结果提供了关于风险管理和技术部门独特特征的见解.
更多相关视频
14:27Identification of Disease-related Spatial Covariance Patterns using Neuroimaging Data
Published on: June 26, 2013
16.2K
06:22Machine Learning-Based Cough Tone Classification: Diagnostic Exploration of Chronic Obstructive Pulmonary Disease and Respiratory Tract Infections
Published on: September 19, 2025
435
相关概念视频
Noncompartmental Analysis: Statistical Moment Theory
376
Noncompartmental analyses leverage statistical moment theory to examine time-related changes in macroscopic events, encapsulating the collective outcomes stemming from the constituent elements in play. Statistical moment theory is a mathematical approach used to describe the time course of drug concentration in the body without assuming a specific compartmental model. SMT provides insights into drug absorption, distribution, metabolism, and elimination by treating drug concentration versus time...
376
Equity Theory
263
Equity theory explains how our sense of fairness influences the dynamics of close relationships. Rooted in social psychology, the theory posits that individuals evaluate fairness by comparing the ratio of their contributions to the rewards they receive. Relationship satisfaction is highest when these ratios are perceived as balanced between partners, promoting mutual reciprocity and a sense of justice.Equity vs. Equality in RelationshipsEquity is distinct from equality. Fairness does not...
263
Quantitative Analysis
1.3K
Quantitative analysis is a technique for measuring the amount of specific constituents in a sample. When the sample's composition is unknown, qualitative analysis is performed first to identify its components, which ensures that the correct substances are measured during the quantitative phase.
In quantitative analysis, two key measurements are made: the sample quantity and a property proportional to the amount of the analyte (the substance being analyzed). This forms the basis of the...
In quantitative analysis, two key measurements are made: the sample quantity and a property proportional to the amount of the analyte (the substance being analyzed). This forms the basis of the...
1.3K
Principal Moments of Area
1.7K
In mechanics, the product of inertia and moments of inertia of area help to calculate the stability and performance of various structures and components. The coordinate transformation relations are used to calculate the moments and products of inertia for an area about the inclined axes. Further, the moments and products of inertia with respect to the principal axes can be determined using the moments and products of inertia about the inclined axes.
The principal moment of inertia axes are the...
The principal moment of inertia axes are the...
1.7K
Central Tendency: Analysis
476
Measures of central tendency are tools used in biostatistics to identify the average or center of a dataset. They offer a single representative value for understanding and summarizing data distribution.
The mean is one such measure, calculated by totaling all values in a dataset and dividing by the number of values. For instance, the mean blood pressure reading (120, 130, 140, 150) would be 135. However, the mean can be affected by extreme values or outliers.
The median, another measure,...
The mean is one such measure, calculated by totaling all values in a dataset and dividing by the number of values. For instance, the mean blood pressure reading (120, 130, 140, 150) would be 135. However, the mean can be affected by extreme values or outliers.
The median, another measure,...
476
Principle of Moments
2.4K
The principle of moments, also known as Varignon's theorem, is a fundamental concept in physics and engineering that describes the equilibrium of a rigid body under the influence of external forces. The principle states that the moment of a force about a point is equal to the sum of the moments of the components of the force about the same point.
The moment is calculated by multiplying the magnitude of the force by the perpendicular distance from the point of application to the point about...
The moment is calculated by multiplying the magnitude of the force by the perpendicular distance from the point of application to the point about...
2.4K
