论文题目：基于新闻标题文本情感分析的股指期货量化交易策略研究
论文类型：交易策略
专业方向：数据分析
摘要
近几年量化交易的发展迅猛，越来越多的金融机构开始重视量化投资所
带来的效益。目前量化交易策略广泛被应用在股票交易、期货期权交易当中，
然而量化交易策略在股指期货中的应用实例较少，且股指期货存在种种限制，
使得目前市场上的量化交易策略难以在此标的上实现。另一方面，投资者情
绪作为一种影响市场的变量被许多学者所研究，市场上有许多能够作为投资
者情绪载体的媒介，在这之中新闻作为一种广泛被接受的信息传播方式而被
人熟知。因此，本文通过构建文本情绪分析模型，对新闻标题进行文本情绪
分析从而判断新闻标题所包含的情绪倾向，并结合股指期货价格预测模型共
同组成信号来构建交易策略。
通过对交易策略进行有效性分析，从回测结果上来看，股指期货交易策
略更适用于短期交易，其策略的表现往往优于策略用于长期交易；中证 500
股指期货由于包含的均是中小市值股票，因此受市场情绪的影响较大，价格
波动也较大，股指期货策略更为适用；文本情绪分析模型的表现会对股指期
货交易策略产生较大的影响，选择 ALBERT模型进行文本情绪分析的结果最
为理想。
关键词：股指期货；文本情绪分析；交易策略设计；
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Abstract
In recent years, quantitative trading has developed rapidly, and more and
more financial institutions have paid attention to the benefits brought by
quantitative investment. At present, quantitative trading strategies are widely
used in stock trading, futures and options trading. However, there are few
application examples of quantitative trading strategies in stock index futures,
and there are various restrictions on stock index futures, making it difficult for
the current quantitative trading strategies in the market to be on this subject.
accomplish. On the other hand, investor sentiment as a variable that affects the
market has been studied by many scholars. There are many media in the market
that can serve as the carrier of investor sentiment. Among them, news is widely
accepted as a means of information dissemination. Well known. Therefore, this
article constructs a text sentiment analysis model, analyzes the sentiment of the
news headline to determine the sentiment tendency contained in the news
headline, and combines the stock index futures price over-the-counter model to
form a signal to construct a trading strategy.
Through the effectiveness analysis of the trading strategy, from the backtest
results, the stock index futures trading strategy is more suitable for shor t-term
trading, and its performance is often better than the strategy used for long -term
trading; CSI 500 stock index futures include all medium and small Market value
stocks are therefore greatly affected by market sentiment and price volatility.
Stock index futures strategies are more suitable; the performance of the text
sentiment analysis model will have a greater impact on stock index futures
trading strategies. Choose the ALBERT model for text sentiment analysis The
result is the most ideal.
Keywords: Stock index futures; text sentiment analysis; trading strategy design;
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目录
摘要........................................................... I
Abstract ..................................................... II
第1章绪论.................................................... 1
1.1研究背景 ................................................. 1
1.2研究的目的和意义 ......................................... 3
1.2.1研究目的 ............................................. 3
1.2.2研究意义 ............................................. 3
1.3研究内容、方法和技术路线 .................................. 4
1.3.1研究内容 ............................................. 4
1.3.2研究方法 ............................................. 5
1.3.3技术路线 ............................................. 5
第2章相关理论回顾与文献综述 .................................. 8
2.1相关理论回顾 ............................................. 8
2.1.1文本情绪分析理论 ...................................... 8
2.1.2投资者情绪理论 ....................................... 9
2.1.3期货交易策略理论 ..................................... 11
2.1.4 ALBERT模型理论 ...................................... 12
2.2相关文献综述 ............................................ 13
2.2.1文本情绪分析 ........................................ 13
2.2.2投资者情绪 .......................................... 15
2.2.3期货交易策略 ........................................ 16
2.2.4基于新闻文本情感分析的交易策略 ....................... 17
2.2.5文献评述 ............................................ 18
第3章文本情绪分析分析及股指期货交易策略构思 .................. 19
3.1文本情绪分析及股指期货交易策略问题的提出 ................. 19
3.2文本情绪分析与股指期货交易策略的设计思路 ................. 19
3.2.1新闻标题文本情绪分析的设计思路 ....................... 19
3.2.2股指期货交易策略的设计思路 ........................... 20
3.3量化交易模型构建及策略设计的理论框架 ..................... 20
3.3.1情绪分析模型训练理论 ................................. 20
3.3.2文本情绪分析理论 ..................................... 21
3.3.3非今日平仓法理论 ..................................... 22
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。。。以下略