基于网络信息挖掘的股市影响因素分析

Journal of Jilin University(Information Science Ed ›› 2014, Vol. 32 ›› Issue (2): 195-200.

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Stock Market Influence Factor Analysis Based on Web Data Mining

MA Junwei¹, WANG Tiejun¹, LI Qing¹, LIN Zhangxi^1,2

1. Laboratory for Financial Intelligence and Financial Engineering, Southwestern University of Finance & Economics, Chengdu 611130, China;2. Center for Advanced Analytics and Business Intelligence, Texas Tech University, Texas 79409, USA

Online:2014-03-25 Published:2014-06-12

Abstract

Abstract:

We collect Web financial text information from financial BBS（Bulletin Board System) and classify all these text information according to their word count. Then we do empirical analysis by factor model and GARCH(Generalized Autoreg Ressive Conditional Heteroskedasticity) models. Our three findings are: number of new posts and stock yield are directly related; posts with more words are expected to have greater affects on stock yield; the correlation between count of new posts and stock volatility is statistically significant.

Key words: Web text mining, stock market, factor analysis

CLC Number:

TP39

MA Junwei, WANG Tiejun, LI Qing, LIN Zhangxi. Stock Market Influence Factor Analysis Based on Web Data Mining[J].Journal of Jilin University(Information Science Ed, 2014, 32(2): 195-200.

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Stock Market Influence Factor Analysis Based on Web Data Mining

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