Principal Component and Maximum Entropy Ratio of Stock Market Investor Sentiment Proxy Index Selection Method

A maximum entropy, investor technology, applied in the direction of resources, data processing applications, instruments, etc., to achieve the effect of optimizing selection, improving accuracy, and clarifying the optimization process
CN109102147AInactive Publication Date: 2018-12-28济宁市创启信息科技有限公司
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Patent Information

Authority / Receiving Office
CN · China
Current Assignee / Owner
济宁市创启信息科技有限公司
Publication Date
2018-12-28
Estimated Expiration
Not applicable · inactive patent

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Abstract

The invention relates to a principal component and maximum entropy ratio stock market investor sentiment surrogate index selection method, which relates to the field of stock market investor sentimentmeasurement, comprising the following steps: index selection; any index related to stock market or investor being 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, through correlation analysis and clustering analysis to remove redundant information more than the threshold of the index; the ratio of information entropy to maximum entropy being calculated by principal component analysis, and the index with the highest significance being retained by cluster analysis. The open selection index is reasonable in design, and the reserved quantity of the index is determined through a series of quantitative analysis, so as to obtain a more scientific, more inclusive and broader proxy index for investor sentiment measurement.
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Description

technical field

[0001] The invention belongs to the field of measuring investor sentiment, and in particular relates to a method for selecting a stock market investor sentiment proxy index based on the ratio of principal components and maximum entropy. Background technique

[0002] Maintaining the stability of the stock market depends on the stability of investor sentiment. At this stage, many behavioral finance studies are based on investor sentiment. Among them, the measurement of investor sentiment is a key issue in the study of investor sentiment. It is scientific and reasonable to choose Investor sentiment proxy indicators are the basis of the measurement.

[0003] There are two main characteristics of the research on emotion measurement indicators:

[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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