英文标题：
《BERT-based Financial Sentiment Index and LSTM-based Stock Return
Predictability》
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作者：
Joshua Zoen Git Hiew, Xin Huang, Hao Mou, Duan Li, Qi Wu, Yabo Xu
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最新提交年份：
2019
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英文摘要：
Traditional sentiment construction in finance relies heavily on the dictionary-based approach, with a few exceptions using simple machine learning techniques such as Naive Bayes classifier. While the current literature has not yet invoked the rapid advancement in the natural language processing, we construct in this research a textual-based sentiment index using a novel model BERT recently developed by Google, especially for three actively trading individual stocks in Hong Kong market with hot discussion on Weibo.com. On the one hand, we demonstrate a significant enhancement of applying BERT in sentiment analysis when compared with existing models. On the other hand, by combining with the other two existing methods commonly used on building the sentiment index in the financial literature, i.e., option-implied and market-implied approaches, we propose a more general and comprehensive framework for financial sentiment analysis, and further provide convincing outcomes for the predictability of individual stock return for the above three stocks using LSTM (with a feature of a nonlinear mapping), in contrast to the dominating econometric methods in sentiment influence analysis that are all of a nature of linear regression.
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中文摘要：
金融领域的传统情感构建在很大程度上依赖于基于词典的方法，少数例外情况是使用简单的机器学习技术，如朴素贝叶斯分类器。虽然目前的文献还没有提到自然语言处理的快速发展，但在本研究中，我们使用谷歌最近开发的新模型BERT构建了一个基于文本的情绪指数，特别是针对三只在香港市场上活跃交易的个股，在微博上进行了热烈讨论。通用域名格式。一方面，与现有模型相比，我们证明了在情感分析中应用BERT的显著增强。另一方面，通过结合金融文献中构建情绪指数常用的其他两种现有方法，即期权隐含法和市场隐含法，我们提出了一个更通用、更全面的金融情绪分析框架，并进一步使用LSTM（具有非线性映射特征）为上述三支股票的个别股票回报的可预测性提供令人信服的结果，而情绪影响分析中的主要计量经济学方法都具有线性回归的性质。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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