The Research On Sentiment Timing In GEM Based On Text Mining

In the era of data explosion,due to the rapid development of computer technology,quantitative investment occupies an important position in China’s investment industry because of its characteristics of systematicness,accuracy,timeliness and dispersion.Different from manual decision-making,quantitative investment refers to the use of mathematics and computer technology for investment decision-making based on the theories of statistics,mathematics,information technology and artificial intelligence.The whole quantitative strategy consists of input,strategy processing logic and output.Strategy processing logic is the key link in the decision-making process,and factors such as stock selection and timing can be considered.Among them,quantitative timing refers to manipulating stock index funds and a package of stocks at the inflection point of the market,and selecting the timing of buying and selling according to the indicators,so as to obtain a higher excess return.Behavioral finance theory holds that the asset price of an enterprise cannot completely depend on the fundamentals of the enterprise,but will be affected by the subjective behavior of investors.Market sentiment timing is a very special way in the field of quantitative timing,because market sentiment cannot be observed directly,but through proxy sentiment indicators to predict the future trend of the stock market,so as to obtain excess profits.In China’s securities market,high-tech potential enterprises account for a large proportion in the GEM market.With the transformation and upgrading of enterprises,high-tech enterprises are bound to become a trend.Therefore,more and more investors believe that the GEM market has great investment value.By analyzing the previous literature and independent inquiry and judgment,using text mining technology,this paper constructs the emotion timing strategy based on the relationship between the emotion of the GEM market and the market trend.This paper deeply explores the mechanism of quantitative timing and the theory of behavioral finance.By means of text mining,and comprehensively considering the factors such as the ability of web crawlers and the timeliness of research,this paper selects all posts related to the gem of Dongfang fortune from September 28,2018 to May 13,2021.Firstly,the python program crawls 316295 pieces of data such as the influence of the sender,the content of the post,the number of Posts read and the number of Posts liked,and obtains the daily index of investor sentiment from the four dimensions of emotional expression,attention,authority and recognition.Among them,the emotion embodiment value is obtained by scoring the post content based on the emotion dictionary matching method for the newly constructed financial text emotion dictionary;Secondly,according to the principles of availability and reliability,five market endogenous indexes,including turnover,turnover rate,proportion of rising companies,stock fund position and two financial balance,are selected to comprehensively construct the market sentiment comprehensive index by using the principal component analysis method and six sentiment proxy indexes of investor sentiment day index obtained by text mining technology;Then,the volatility of the composite index is explored through EGARCH model,and the conclusion that the market response time to investors in the falling market is shorter is obtained.Through the correlation analysis between the SIR of the composite index of market sentiment and the MR of GEM index through vector autoregressive model VAR,the conclusion that the change of market sentiment has a fourthorder lag relative to the market return is obtained;Finally,the sentiment timing strategy based on the above analysis results is as follows: when the market sentiment composite index changes to positive in four consecutive stages,we can determine the upward trend and buy the investment target;When the market sentiment index changes to negative for three consecutive stages,it is judged that the downward reversal trend has been formed,and the selling target continues to be short.