Stock market investor sentiment index selection method based on principal component analysis and average entropy increment

A technology of average entropy and investors, applied in resources, instruments, finance, etc., to achieve the effect of improving representativeness, avoiding collinearity, and reducing redundant information

Inactive Publication Date: 2019-01-08
济宁市创启信息科技有限公司
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  • 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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  • Stock market investor sentiment index selection method based on principal component analysis and average entropy increment
  • Stock market investor sentiment index selection method based on principal component analysis and average entropy increment
  • Stock market investor sentiment index selection method based on principal component analysis and average entropy increment

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Embodiment Construction

[0034] The technical solutions in the embodiments of the present invention are clearly and completely described. Obviously, the described embodiments are only some of the embodiments of the present invention, not all of them. Based on the embodiments of the present invention, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the protection scope of the present invention.

[0035] The period from January 2005 to December 2015 was selected as the sample interval, and a total of 60 potential indicators were collected.

[0036] Audition module: collect 60 indicators and get a 60x132 order matrix;

[0037] Preliminary selection module: Considering the cost of information collection and the availability and continuity of data, as well as the objectivity of indicators, after eliminating invalid indicators with unavailable or discontinuous data, 33 indicators were retained to obtain a 33x132 The original matrix of order; ...

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Abstract

The invention relates to a stock market investor sentiment index selection method based on principal components and average entropy increments, 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: invalid indicators whose data are not available or whose data are not continuous are excluded; screening: irrelevant indexes are excluded by irrelevant analysis; selection: through correlation analysis and clustering analysis, redundant information more than the threshold of the index is removed; preferable selection: the principal component analysis is used to calculate the sensitivity factor, that is, the difference between the information entropy and the average entropy, the average entropy, and the cluster analysis is used to select the index with the highest significance. The open selection indexis 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, in particular to a stock market investor sentiment index selection method based on principal components and average entropy increments. 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 e...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/06G06Q40/06
CPCG06Q10/06393G06Q40/06
Inventor 常峻玮杨鹏刘学文武亚茹任海龙曹亚男李宇航
Owner 济宁市创启信息科技有限公司
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