請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/83865
標題: | 利用網路投資人情緒預測臺灣股價 Using Online Investor Sentiment to Predict Taiwan Stock Market Price |
作者: | Fu-Hao Chen 陳賦豪 |
指導教授: | 雷立芬(Li-Fen Lei) 雷立芬(Li-Fen Lei | lei@ntu.edu.tw | ), |
關鍵字: | 情緒分析,臺灣股市,機器學習, Sentiment Analysis,Taiwan Stock Market,Machine Learning, |
出版年 : | 2022 |
學位: | 碩士 |
摘要: | 本研究主要目的是分析投資人情緒對臺灣市值加權股價指數(TAIEX)的影響。研究使用股市爆料同學會作為分析的社群平台,樣本時間跨度為2021年1月4日至2022年4月29日,共186,902篇文章數據。本研究透過Python爬取了大盤討論版內的所有文章內容、讚數及留言數當作研究的數據集,並且為了分析文章的情緒,利用了結巴(Jieba) 套件將中立的文章內容斷詞以後,使用台大意見詞辭典(National Taiwan University Sentiment Dictionary, NTUSD)量化投資者的情緒,最後利用邏輯斯迴歸(Logistic Regression , LR)、支持向量機(Support vector machine, SVM)及隨機森林(Random forest, RF)等三個分類模型預測隔日開盤價、收盤價、日內最高價及日內最低價的漲跌。 實證結果顯示,投資人情緒對於開盤價漲跌的預測準確率達62.50%,對於收盤價漲跌的預測準確率達57.81%;但對於日內最高價及日內最低價無顯著預測效力。根據研究發現,建議投資人要改正有關會在討論版上發文的人都是小散戶沒有市場影響力的迷思,不可不理會市場情緒的走向,若要長期在市場中獲利,仍需要隨時密切關注市場情緒的波動以審慎調整手中的持股。 The main purpose of this study is to analyze the impact of investor sentiment on the Taiwan Stock Exchange Capitalization Weighted Stock Index. This study selected Cmoney as the platform, and the historical stock market data was crawled from January 4th 2021 to April 29th 2022. In this time span, there are totally 186,902 articles. This study used Python to crawl all the contents, likes and comments as the data set. In order to analyze the sentiment of the article, Jieba was used to segment the neutral article, and then used NTUSD to quantify the investor sentiment. In the end, the study used logistic regression, support vector machine , and random forest to predict the fluctuation of the opening price, closing price, intra-day highest price, and intra-day lowest price. The results of this study reveals that the investor sentiment has an accuracy rate of 62.50% in predicting the opening price and 57.81% in closing price. However, it has no significant effect on the intra-day highest price and intra-day lowest price. It is suggested that investors should correct the myth that those who will post on the discussion board are retail investors without market influence, and should not ignore the trend of market sentiment. If investors want to make profits in the market for a long time, they still need to pay close attention to market sentiment and adjust their holdings appropriately. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/83865 |
DOI: | 10.6342/NTU202200933 |
全文授權: | 未授權 |
顯示於系所單位: | 農業經濟學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
U0001-1306202216354800.pdf 目前未授權公開取用 | 2.09 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。