Analysis Of Factors Affecting Quantitative Investment Strategy Based On Text-Mining

Stock market is a dynamic economic environment.And investor who owns more information with better explanation has more chance to gain fortune.Due to the development of Internet and computer technology,the ability to retrieve data and gain experience conveniently,investment strategy gradually expand from qualitative research to quantitative analysis,which contribute to the development of quantitative investment.Contrast to traditional qualitative investment,quantitative investment has the advantages of effectiveness,objective rationality,balance of income and risk,and combinative balance of individual stocks.As a sufficient brunch of Data-Mining,Text-mining is the process of discovering hidden,previously unknown and potentially useful patterns in large-scale text collections.In recent years,many studies have also applied Text-mining based on linguistics,finance,and computer technology as an important means of quantitative investment study,like constructing emotion index to analyze the influence on stock market.This study includes crawling the online newspaper,reports and articles,Chinese Word Segmentation based on class-based Hidden Markov Model,vectoring documents by TF-IDF,clustering the documents by Hierarchical clustering,identifying topics of documents by LDA and Adjacent-Entropy-based Get-Keywords algorithm,and calculating sentiment score by sentiment dictionary.Finally,according to theories of behavior finance,we construct attention factor,emotion factor and attention-emotion interaction factor to analyze their relation with concept board of stock market.The finding indicate that,(1)The price range of up and down correlate to the investors' attention;(2)The price range of up and down correlate to the investors'emotion;(3)The price range of up and down also correlate to the combined work between attention and emotion;(4)The extent of the influence vary from one concept board to another.According to the above conclusions,this paper attempts to interpret the factors referring to the quantitative investment strategy from a new perspective.Combined with traditional numerical Data-mining,new factors from text can reveal direct emotion of investors and provide some realistic guidance.