另类数据在中国股票市场投资中有用吗?——基于财经短视频、图像、文本数据的探究
Is Alternative Data Useful in China Share Market Investment?-Empirical Study Based on Financial Short Video,Image and Text Data
查看参考文献58篇
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文摘
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当前,另类数据的应用为金融投资领域的学者和从业者提供了新的视角.本文构建了基于因子增广回归与深度神经网络的预测模型,实现了从财经类短视频和财经新闻等另类数据学习交易信号,并构建了中国股票市场投资交易策略.首先,将抓取的财经新闻匹配相应股票代码,并分解为文本数据和图像数据.其次,将文本数据输入文本数据学习框架,求解因子回归方程计算新闻文本得分情况;图像数据输入基于迁移学习搭建的图像识别深度神经网络模型,计算图像情绪指数和图像得分.对于抓取的财经类短视频,包含两步,第一步剥离音频数据转换为文本数据,利用训练好的文本数据学习框架计算短视频文本得分;第二步提取视频的关键帧,利用训练好的图像模型计算视频图像得分;文本得分与图像得分求和得到短视频数据得分.最后将财经类短视频得分、新闻报道的文本得分和图像得分求和得到股票投资信号,并将之作为构建投资组合的依据,制定合适的投资策略.研究结果表明,财经类短视频和财经新闻数据中包含了与股价相关的信息,能够有效预测市场变化,并为投资者带来超额收益.实证研究证实,另类数据在中国市场中具有重要影响力.通过对另类数据进行综合分析,本文为投资者提供了一个全面且有效的交易信号提取方法,有助于优化投资策略并实现更高的实际收益. |
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其他语种文摘
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Currently,the application of alternative data provides a new perspective for scholars and practitioners in the field of financial investment.This paper builds an analysis platform based on the FarmPredict (factor-augmented regularized model for prediction) framework and deep neural network model,realizing the task of learning trading signals from alternative data such as financial short videos and financial news thereby constructing trading strategies for the China share market.Firstly,match the captured financial news with their corresponding stock code and decompose it into text data and image data.Secondly,the text data is input into the FarmPredict learning framework.We construct and screen the text bag of words by which the phrases are decomposed into common factors and specific factors,and then calculate the score of the news text by the factor regression;We then input the image data into the image recognition deep neural network Google Inception v3 model framework built by the transfer learning technique,thereby outputting the probability that the image represents positive/negative emotions and the image sentiment index and image score.For the captured financial short video,it contains two steps.The first step is to strip the audio data and convert it to audio text data,and use the trained FarmPredict framework to calculate the text score of the short videos;the second step is to extract the key frames of the video,and use the trained image model to calculate the video image score;the text score is summed up with the image score to get the short video data score.Finally,the financial short video score,the text score and the image score of the news report are summed to obtain the stock investment signal,which is used as the basis for constructing the China share stock portfolio and formulating an appropriate investment strategy.Finally,the financial short video score,the text score and the image score of the news report are summed to obtain the stock investment signal,which is used as the basis for constructing the China share stock portfolio and formulating an appropriate investment strategy.The research results show that financial videos and financial news data contain information related to stock prices,which can effectively predict market changes and bring excess returns to investors.The empirical study confirms the importance of alternative data in the Chinese market.By comprehensively analyzing alternative data,this paper provides investors with a comprehensive and effective trading signal extraction method,which can help optimize investment strategies and achieve higher real returns. |
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来源
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计量经济学报
,2023,3(4):1008-1031 【核心库】
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DOI
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10.12012/CJoE2023-0061
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关键词
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中国股票市场
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财经新闻分析
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财经短视频
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量化投资
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地址
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1.
山东大学金融研究院, 济南, 250100
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山东大学数学学院, 济南, 250100
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语种
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中文 |
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文献类型
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研究性论文 |
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ISSN
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2096-9732 |
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学科
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社会科学总论 |
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基金
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国家自然科学基金
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国家统计局全国统计科学研究计划项目
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文献收藏号
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CSCD:7591972
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