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A stock market investor sentiment index selection method of a principal component and a maximum entropy increment group

A maximum entropy, investor technology, applied in the direction of resource, instrument, character and pattern recognition, to achieve the effect of reasonable design, balanced selection of indicators, and improved accuracy

Inactive Publication Date: 2018-12-11
济宁市创启信息科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

The measurement of investor sentiment should not be biased subjectively and arbitrarily towards one or a few indicators, but should use a certain method to optimize all indicators first, discard the chaff and keep the essence, and discard the false and preserve the true. However, the academic circle currently lacks such a set of norms Methods

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  • A stock market investor sentiment index selection method of a principal component and a maximum entropy increment group
  • A stock market investor sentiment index selection method of a principal component and a maximum entropy increment group
  • A stock market investor sentiment index selection method of a principal component and a maximum entropy increment group

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Embodiment Construction

[0036] The technical solutions in the embodiments of the present invention are described clearly and completely. Obviously, the described embodiments are only a part of the embodiments of the present invention, rather than all the embodiments. Based on the embodiments of the present invention, all other embodiments obtained by those of ordinary skill in the art without creative work shall fall within the protection scope of the present invention.

[0037] The period from January 2005 to December 2015 was selected as the sample interval, and a total of 60 potential indicators were collected.

[0038] Audition module: Collect 60 indicators and get a 60x132 order matrix;

[0039] Primary selection module: Taking into account the availability and continuity of the information collection and data, and also the objectivity of the indicators, after excluding invalid indicators with unavailable or discontinuous data, 33 indicators are retained and a 33x132 is obtained Original matrix of ord...

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Abstract

The invention relates to a stock market investor sentiment index selection method of a principal component and a maximum entropy increment group, which relates to the field of stock market investor sentiment measurement, the method comprising the following steps: index selection: any index related to the stock market or the investor can be brought into a candidate index database; primary selection: excluding invalid indicators whose data are not available or whose data are not continuous; screening: rejecting irrelevant indexes by irrelevant analysis; selection: using correlation analysis andclustering analysis to remove redundant information more than the threshold of the index; preferable selection: adopting principal component analysis to calculate the cluster of sensitive factors, that is to say, the difference ratio of maximum entropy to information entropy in different states, and using the cluster analysis to select the index with the highest significance. The open selection index is reasonable in design, and the reserved quantity of the index is determined through a series of quantitative analysis, so a more scientific, more inclusive and broader proxy index for investor sentiment measurement is obtained.

Description

Technical field [0001] The invention belongs to the field of investor sentiment measurement, and in particular relates to a method for selecting stock market investor sentiment indicators with principal components and maximum entropy increment groups. Background technique [0002] Maintaining the stability of the stock market depends on the stability of investor sentiment. At this stage, many behavioral finance researches are based on investor sentiment. Among them, the measurement of investor sentiment is a key issue in investor sentiment research, and scientific and reasonable choice The proxy indicator of investor sentiment is the basis of the measurement. [0003] The research on sentiment measurement indicators mainly has the following two characteristics: [0004] First, there are many measurement indicators, and there is no theoretical basis and normative method to optimize these indicators. At present, there is no systematic discussion on the meaning of investor sentiment, ...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/06G06K9/62G06Q40/04
CPCG06Q10/06393G06Q40/04G06F18/2135
Inventor 申晓康郝之恒陈景
Owner 济宁市创启信息科技有限公司
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