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| Title: | 輔以機器學習的新聞文本情緒分類於投資組合建構
Machine-learning assisted portfolio construction based on news sentiment classification |
| Authors: | 李晨瑜
Lee, Chen-Yu |
| Contributors: | 江彌修
Chiang, Mi-Hsiu
李晨瑜
Lee, Chen-Yu |
| Keywords: | 機器學習
文字探勘
文本分類
情緒分析
資產配置
投資組合
Machine learning
Text mining
Text classification
Sentiment analysis
Asset allocation
Portfolio construction |
| Date: | 2020 |
| Issue Date: | 2020-08-03 17:37:55 (UTC+8) |
| Abstract: | 過去傳統財務理論認為情緒的改變導致的需求衝擊無法影響資產價格，不過隨著行為財務學的發展，我們認識到情緒的掌握才是投資獲利的關鍵，而近年來處理非結構化資料技術快速發展，我們也得以將文本資料作為情緒萃取來源。本研究將台灣50 ETF 成分個股作為標的對象，以個股相關中文新聞文本透過樸素貝葉斯分類器、支持向量機與隨機森林等分類模型預測結果萃取出新聞情緒，首先驗證各分類模型預測成效優劣，並以模型預測結果建立情緒指標，作為投資組合建構依據，最後探討投資組合績效表現。實證結果顯示，在新聞情緒分類上，隨機森林模型整體而言能達到較佳的效率；而以新聞情緒指標來做為投資組合中調整個股權重的依據，當個股新聞多呈現正面情緒時增加該個股權重、呈現負面情緒時則減少該個股持有，確實能帶來相對大盤的超額報酬，其累積獲利能力能優於台灣50 ETF 與均等加權投資組合。
In the past, traditional financial theory believed that the demand shock caused by the change of sentiment could not affect asset prices. However, with the development of behavioral finance, we recognize that the grasp of sentiment is the key to have profitable investment. As technology advances in handling unstructured data, now we can also use text data as a source of sentiment extraction. In the paper, we choose stocks from Taiwan Top 50 Tracker Fund as our target, and news sentiment is extracted from the prediction results of classification models such as naïve Bayes classifiers, support vector machine and random forests with the Chinese news related to these stocks. We firstly verify the prediction ability of each classification model, and second, we discuss the performance of stock portfolio which is constructed by the sentiment index generated from previous step. The results show that in the classification of news sentiment, random forest can achieve better efficiency in general. The empirical results also show that if we use news sentiment index as the basis for adjusting the weight of stock in portfolio, when the news of related stock shows more positive sentiment, increase the weight of that stock, and vice versa, it indeed brings excess return relative to the market, and its cumulative profitability can be better than Taiwan Top 50 Tracker Fund or the equally-weighted portfolio. |
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| Description: | 碩士
國立政治大學
金融學系
107352018 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107352018 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000689 |
| Appears in Collections: | [金融學系] 學位論文
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