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系統識別號 U0026-0702201800310000
論文名稱(中文) 新聞情緒與黃金之關聯性研究
論文名稱(英文) Study On The Relationship Between News Sentiment and Gold
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 106
學期 1
出版年 106
研究生(中文) 邱培瑄
研究生(英文) Pei-Hsuan Chiu
學號 R87041024
學位類別 碩士
語文別 中文
論文頁數 36頁
口試委員 指導教授-徐立群
共同指導教授-顏盟峯
口試委員-劉裕宏
口試委員-蘇益生
中文關鍵字 情緒指數  道瓊貴金屬指數  黃金  機器學習 
英文關鍵字 Sentiment Index  Dow Jones Precious Metals Index  Gold  Machine Learning 
學科別分類
中文摘要 本研究主要透過文字探勘技術與機器學習的模型,將情緒詞庫作為模型的變數之一,藉此強化模型的分析能力,並採用誤分類率作為模型準確率的判斷依據。
將三種不同的情緒詞庫落後1至5期的變數帶入模型中,分別採用機器學習方法中的梯度提升決策樹、羅吉斯迴歸、類神經網路及支援向量機,可發現其誤分類率的穩定度與準確度都不盡相同,為了選取一個較為穩定的變數,將各方法所算出的誤分類率再計算其變異數,最後採用誤分類率及變異數相對小的情緒指數Opinion Lexicon落後5期之類神經網路模型作為預測模型,進行投資策略。
本研究模型的目標變數採用道瓊貴金屬指數,因其與黃金價格具高度相關性,而在進行投資策略時採用COMEX黃金期貨2017年12月交割的期貨價格,並分別以買進持有及放空持有的策略作為基準報酬率與預測模型下的投資策略結果進行比較,實證結果顯示Opinion Lexicon落後5期情緒指數之類神經網路模型進行投資策略,買進策略下可維持一定程度的報酬率,而放空策略下可避免投資損失擴大。
英文摘要 In this study, the sentiment lexicon is taken as one of the variables of the model mainly through text mining technology and the machine learning model to reinforce the analytic ability of the model, and the misclassification rate is used as the basis for the accuracy of the model.

The three different sentiment lexicon lagged from 1 to 5 variables into the model, respectively. Using machine learning methods about Gradient Boosting Decision Tree , Decision Tree, Logistic Regression, Neural Networks and Support Vector Machines, we can find that misclassification rate stability and accuracy are not the same. In order to select a more stable variable, each method calculates the misclassification rate and variance, and finally take the sentiment index Opinion Lexicon lagged 5,using the neural network model as the forecast model.

The target variable for this research model uses the Dow Jones Precious Metals Index, which is highly correlated with the gold price .This study chose the futures price delivered by COMEX Gold Futures in December 2017 when making the investment strategy, and buys and sells the futures respectively .The holding strategy is compared with the investment strategy results under the forecasting model. Empirical results show that the Opinion Lexicon lagged 5 using the neural network model. When at the long strategy, it can maintain a certain rate of return; while under the short strategy, investment loss can be avoided.
論文目次 摘要 I
Abstract II
目錄 VII
表目錄 VIII
圖目錄 IX
第一章緒論 1
第一節研究背景與動機 1
第二節研究目的 3
第三節研究架構 4
第二章文獻回顧 5
第一節 貴金屬市場及黃金相關文獻 5
第二節 美元指數、原油與黃金 6
第三節 文本探勘運用領域 6
第四節 文字分析 9
第三章研究方法 11
第一節樣本與資料來源 11
第二節變數定義與衡量 11
第三節機器學習模型 14
第四章實證結果分析 16
第一節敘述性統計 16
第二節詞庫比對分析 18
第三節投資策略 26
第五章結論與建議 31
參考文獻 33
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