A Study Of The Impact Of Social Media On Price Changes In China's Stock Market

With the high popularity of Internet information technology,social media is playing an increasingly important role in people's lives.Especially in China's securities market,on the one hand,social platforms have gradually become the main channel for investors to obtain information and disseminate information.On the other hand,the significant impact of social media on the stock market has also caused in-depth reflection on academic research in this field.Since the 21st century,although the in-depth development of artificial intelligence technology has further promoted the research of the stock market in the academic world,media information has gradually become a powerful tool for studying this field.However,relevant technologies in the field of stock market research still have many problems.Compared with the traditional econometric model,although the machine learning models have good prediction performance,they still have a great disadvantage in model interpretation.In order to solve this problem,this article attempts to combine machine learning models with the knowledge of operations research.First,by using accurate and efficient NLP(bag-of-words model,BERT model,ERNIE model)method to mine media information,construct multi-dimensional sentiment and stock price characteristics.Then construct SVM,XGboost and LSTM stock price trend prediction models for feature set and select the best model from them.Finally,use the SHAP method to explain the impact of social media on the stock price of the industry from multiple dimensions,and further expand the related research of machine learning methods in the field of stock analysis.The study found that:(1)Social media reports have certain impact on stock index changes.Compared to a benchmark model based on historical stock prices,the model that combines social public opinion can increase the accuracy by about 6percentage points on average,reaching about 0.75 Accuracy.(2)Negative and positive reports have large differences in the impact on stock prices.The specific manifestation is that positive reports have a positive effect on stock price changes.News that is biased toward negative emotions has a negative impact on stock prices,and this effect changes with the degree of emotional inclination.(3)News exposure also plays an important role in the impact of stock prices,specifically in reports with a high degree of concern,which has a greater impact on stock price fluctuations than in reports with a low degree of concern.(4)There are differences in the impact of social media on different industries,and the impact on financial industries is stronger than that in life industries.