期刊
NEURAL COMPUTING & APPLICATIONS
卷 33, 期 10, 页码 4663-4676出版社
SPRINGER LONDON LTD
DOI: 10.1007/s00521-020-05411-7
关键词
Bert model; Investor sentiment; Online reviews; Cross-sectional regression
资金
- R&D Program of Beijing Municipal Education commission [KJZD20191000401]
- Program of the Co-Construction with Beijing Municipal Commission of Education of China [B20H100020, B19H100010]
- Key Project of Beijing Social Science Foundation Research Base [19JDYJA001]
This study analyzed investor sentiment in the stock market using the BERT model and found that sentiment in online reviews significantly affects stock yield. Experimental results showed that the BERT model has high accuracy in analyzing investor sentiment.
This paper is an analysis of investor sentiment in the stock market based on the bidirectional encoder representations from transformers (BERT) model. First, we extracted the sentiment value from online information published by stock investor, using the Bert model. Second, these sentiment values were weighted by attention for computing the investor sentiment indicator. Finally, the relationship between investor sentiment and stock yield was analyzed through a two-step cross-sectional regression validation model. The experiments found that investor sentiment in online reviews had a significant impact on stock yield. The experiments show that the Bert model used in this paper can achieve an accuracy of 97.35% for the analysis of investor sentiment, which is better than both LSTM and SVM methods.
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