Prediction of Investor-Specific Trading Trends in South Korean Stock Markets Using a BiLSTM Prediction Model Based on Sentiment Analysis of Financial News Articles

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2021-10-28 DOI:10.1080/15427560.2021.1995735

J. Han, Hyun-jung Kim

引用次数: 3

Abstract

Abstract Stock market performance is determined by supply and demand of individual, institutional, and foreign investors, who increasingly use media such as news articles for decision-making. We present a bidirectional long short term memory model to forecast trading trends based on statistically significant investor-specific topics from financial news datasets. The application of this study shows three valuable results: (i) topics significantly meaningful to each investor type differ, (ii) investors show different decision-making trends for the same news topics and different sensitivity levels, and (iii) news topics significantly associated with investors’ responses differ according to the stock market and sensitivity.

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基于财经新闻文章情绪分析的BiLSTM预测模型预测韩国股市投资者特定交易趋势

股票市场的表现是由个人、机构和外国投资者的供求关系决定的，他们越来越多地利用新闻等媒体进行决策。我们提出了一个双向长短期记忆模型来预测交易趋势，该模型基于金融新闻数据集中具有统计意义的投资者特定主题。本研究的应用显示了三个有价值的结果:(i)对每种投资者类型有显著意义的主题不同，(ii)投资者对相同新闻主题和不同敏感性水平的决策趋势不同，(iii)与投资者反应显著相关的新闻主题根据股市和敏感性不同而不同。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.