Dynamic Portfolio Model with Considering Sentiments: Analyzing Emoji and Text on Social Media

• Main Authors: WU, CHING-HAO, 吳青浩
• Other Authors: YU, JING-RUNG
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/c36963

碩士 === 國立暨南國際大學 === 資訊管理學系 === 106 === Nowadays, it’s a very popular issue that user opinions on social media may directly affect the stock market assets. But so far, few studies have discussed whether essay with emoji has an influence on the stock assets. Therefore, in our study, we not only used linear models (CVaR and Omega) and considered transaction costs and short selling, but also utilize Stock Market Lexicon (SML) and emoji emotional scores (Sentiment of Emoji) to analysis user's perception of the stock assets. Our experimental data is from July 5, 2017, to March 10, 2018, with a total of 249 days of S&P500 constituent stocks and the number of rebalancing is 178. Out experiment can be divided into five parts: Performance comparison between dynamic rebalancing and without emoji, a performance comparison of negative emotion venting rules, fixed-day rebalancing performance comparison, comparison of the lower limit of buy-and-sell weights, lower weight limit based on sentiment scores, and discussion of transaction costs and loss values. In our research, we apply the value of social media in our dynamical rebalance mechanism. Furthermore, by adjusting the weight of sentiment analysis, we can improve the performance of our mechanism.