摘要
研究股市波动率和在线金融新闻情感强度的交叉相关性,首先构建了情感词典并对在线金融新闻情感强度计算方法进行研究;再运用多重分形去趋势波动交叉相关分析法(MFDCCA)对股市波动率和在线金融新闻情感强度的交叉相关性进行考察。实证表明:两者之间存在交叉相关性,且呈现出多重分形特征;股市波动率和在线金融新闻情感强度之间存在反持续性,且两者之间存在负相关关系。
In order to study the cross correlation between the volatility of stock market and online financial news emotional intensity,this paper firstly establishes the emotional dictionary and conducts research on the sentiment analysis method about online financial news.Secondly,it investigates the cross correlation between the stock market volatility and online financial news emotional intensity by MF-DCCA model.Empirical results show that there exist cross correlation between the stock market and online financial news emotional intensity and posse multi-fractal features.There exists an anti-sustainability between the stock market volatility and online financial news emotional intensity.
作者
王伟
倪丽萍
李莹
侯晓娟
Wei WANG;Li-ping NI;Ying LI;Xiao-juan HOU(School of Management,Hefei University of Technology,Hefei 230009,China;School of Computer Science and Engineering,University of Electronic Science and Technology of China,Chengdu 610054,China)
出处
《机床与液压》
北大核心
2018年第18期24-31,共8页
Machine Tool & Hydraulics
基金
National Natural Science Foundation of China(71301041)
