Investor sentiment index selection method based on clustering and maximum entropy increment

Abstract

The invention relates to a stock market investor sentiment index selection method based on clustering and maximum entropy increment, which relates to the field of stock market investor sentiment measurement. The method comprises the following steps: index selection; any index related to stock market or 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, through correlation analysis and clustering analysisto remove redundant information more than the threshold of the index; Preferably, the sensitivity factor, i.e. The difference ratio of the maximum entropy to the information entropy, is calculated, and the index with the highest significance is reserved by combining the clustering analysis. The open selection index of the invention is reasonable in design, and through a series of quantitative analysis, a more scientific, more inclusive and more extensive proxy index of investor sentiment measurement is obtained.

Description

technical field [0001] The invention belongs to the field of investor sentiment measurement, in particular to a stock market investor sentiment index selection method based on clustering and maximum entropy increment. 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, the mechanism of the emotional pr...

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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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