從新聞情緒至新聞來(lái)源：多維度挖掘新聞個(gè)股因子

11從新聞情緒至新聞來(lái)源：多維度挖掘新聞個(gè)股因子從新聞情緒至新聞來(lái)源：多維度挖掘新聞個(gè)股因子現(xiàn)；新聞質(zhì)量因子更適合用于去除新聞噪音或的表現(xiàn)整體優(yōu)于后者；對(duì)比正面新聞和負(fù)面新聞，市場(chǎng)更看重“差情緒”、“負(fù)面新聞”，而且受），221日持倉(cāng)1日持倉(cāng)5日持倉(cāng)20日持倉(cāng)指標(biāo)含義板塊ICICIRP(IC>0)ICICIRP(IC>0)ICICIRP(IC>0)指標(biāo)大類日內(nèi)情緒sentiment_min_after中證全指3.03%0.5270.67%2.33%0.4165.62%1.84%0.3262.02%滬深3001.20%0.1455.59%0.85%0.1053.60%0.90%0.1052.60%2.80%0.2259.65%2.77%0.2359.72%2.65%0.2358.96%中證10003.85%0.3865.54%2.57%0.2660.11%2.10%0.2256.89%日內(nèi)盤(pán)后所有新聞中的最小綜合情緒得分日間情緒sentiment_25Q_day中證全指2.87%0.5167.92%2.14%0.3964.24%1.62%0.2961.33%整個(gè)日內(nèi)所有新聞的綜合情緒得分的25%分位數(shù)滬深3001.50%0.1757.58%0.47%0.0651.84%0.55%0.0651.68%2.48%0.2159.04%2.83%0.2560.95%2.31%0.2158.35%中證10003.59%0.3763.40%2.61%0.2761.79%1.90%0.2157.35%sentiment_min_3d中證全指2.68%0.4869.53%2.02%0.3662.94%1.59%0.2860.34%過(guò)去3天的日度綜合的最小值滬深3001.24%0.1456.74%0.29%0.0351.15%0.27%0.0350.54%2.17%0.1958.19%2.61%0.2358.81%2.39%0.2257.96%中證10003.29%0.3462.79%2.58%0.2659.80%1.98%0.2256.74%日內(nèi)新聞數(shù)量news_count_after中證全指-2.48%-0.3734.92%-2.22%-0.3237.90%-2.10%-0.2938.90%日內(nèi)盤(pán)中的新聞總量滬深300-0.89%-0.0946.02%-1.13%-0.1244.49%-1.92%-0.2141.88%-1.74%-0.1743.19%-1.42%-0.1344.64%-1.80%-0.1643.95%中證1000-2.60%-0.2938.97%-2.12%-0.2341.96%-1.28%-0.1443.87%日間新聞數(shù)量news_count_sum_3d中證全指-3.09%-0.6125.34%-2.77%-0.5428.64%-1.90%-0.3735.45%過(guò)去3天的新聞總量滬深300-1.48%-0.1743.03%-1.71%-0.2041.42%-1.93%-0.2339.36%-2.02%-0.1941.81%-2.34%-0.2239.82%-2.77%-0.2637.98%中證1000-3.58%-0.3834.53%-2.81%-0.3036.37%-2.02%-0.2338.13%news_count_sum_10d中證全指-2.59%-0.5228.87%-2.56%-0.4930.63%-1.84%-0.3634.00%過(guò)去10天的新聞總量滬深300-1.40%-0.1643.95%-1.87%-0.2142.50%-1.65%-0.1940.81%-1.96%-0.1841.27%-2.54%-0.2540.05%-3.60%-0.3433.69%中證1000-3.04%-0.3437.06%-2.77%-0.3137.14%-2.34%-0.2739.20%新聞來(lái)源news_source_similarity_1d中證全指-1.74%-0.4033.80%-1.14%-0.2639.61%-0.88%-0.2038.79%當(dāng)前新聞源與上日新聞源之間的新聞發(fā)布量的相似度滬深300-1.00%-0.1344.13%-1.23%-0.1644.13%-1.13%-0.1543.21%-1.10%-0.1243.79%-0.72%-0.0846.34%-1.12%-0.1343.90%中證1000-2.01%-0.2738.21%-1.13%-0.1442.04%-1.12%-0.1342.51%33（J.P.Morgan[1]中觀層面可以構(gòu)建行業(yè)情緒指數(shù)，助力行業(yè)輪動(dòng)（招商證券[2]微觀層面可以構(gòu)建個(gè)股情緒因子，捕捉新聞?shì)浨閿?shù)據(jù)中的Alpha（J.P.Morgan[3]、招商證券建穩(wěn)健的新聞動(dòng)量因子（中金公司[5]還可借助市場(chǎng)情緒指數(shù)衡量個(gè)股收益對(duì)市場(chǎng)情緒變動(dòng)的反應(yīng)（數(shù)庫(kù)科技[6]甚至可以從新聞數(shù)據(jù)中提取新聞共現(xiàn)圖譜，結(jié)合圖神經(jīng)網(wǎng)絡(luò)算法做收益預(yù)測(cè)（數(shù)庫(kù)量、新聞來(lái)源等維度的信息是否也有相應(yīng)的研究?jī)r(jià)值呢？本文的主要目的就是嘗試從這些容易被忽視的新聞信息上，相對(duì)暴力的構(gòu)建一批因子，并對(duì)這些因子在橫截面選股上的有效性做一個(gè)初步測(cè)試，聞情緒、新聞數(shù)量、新聞質(zhì)量、新聞來(lái)源這4個(gè)信息維度的量、變情況，批量構(gòu)建因子，并做IC測(cè)新聞情緒這個(gè)維度的基礎(chǔ)數(shù)據(jù)主要有通過(guò)新聞?shì)浨榉治鏊惴ńo出的每篇新聞分別屬于正面、負(fù)面、從下文的測(cè)試結(jié)果可以看出新聞情緒相關(guān)因子的一個(gè)顯著的特點(diǎn)是：對(duì)比不同市值板塊，新聞情442pos_mean_during34neg_mean_during56789pos_inday_diffneg_inday_diffpos_mean_during-pos_mean_sentiment_inday_diff息量比盤(pán)中更大，另一方面說(shuō)明盤(pán)后信息中未反映在當(dāng)天價(jià)格上的剩余信息更多，而這部分信息ICICIRP(IC>0)ICICIRP(IC>0)ICICIRP(IC滬深3000.65%0.075 pos_mean_during中證全指2.08%0.2460.555meanduringmeanmeanduringmeanduringmaxduringmaxduringmaxmeanduringmeanmeanduringmeanduringmaxduringmaxduringmaxneg__neg_________________ pos_inday_diff中證全指0.93%66diffindaydiffindaychgindaymeandiffindaydiffindaychgindaymean滬深3000.32%neg__________情緒序列的取值情況、過(guò)去一段時(shí)間日度綜合情緒的變化、當(dāng)前日度綜合情緒在過(guò)去一段時(shí)間上的百12345678977pos_mean_daypos_mean_day17sentiment_3me_1diffsentiment_5me_1diffsentiment_10me_1diffsentiment_20me_1diffsentiment_mean_1d_absentiment_mean_3d_absentiment_mean_5d_absentiment_mean_percsentiment_mean_percen1.對(duì)比上文日內(nèi)盤(pán)后盤(pán)中的情緒指標(biāo)和日度整體情緒指標(biāo)（特別是單一的正負(fù)面概率指標(biāo)后者緒最低值sentiment_min_nd，其表現(xiàn)都與上文日內(nèi)統(tǒng)計(jì)的相關(guān)指標(biāo)表現(xiàn)一致，即市場(chǎng)更看重“差I(lǐng)CICIRP(IC>0)ICICIRP(IC>0)ICICIRP(IC>0)88pos_median_daymeanmeanpos_median_daymeanmeanpos__neg__neg__neg________pos__neg____99pos_75Q_daypos_75Q_day1日持倉(cāng)5日持倉(cāng)指標(biāo)板塊指標(biāo)ICICIRP(IC>0)ICICIRP(IC>0)ICICIRP(IC>0)sentiment_3me_1diff中證全指滬深300中證10001.21%0.48%0.36%0.42%0.160.040.020.0256.55%53.33%50.65%52.72%1.03%0.04%1.11%0.74%0.140.000.050.0456.25%50.88%50.57%51.34%0.72%0.44%0.96%0.30%0.090.040.050.0252.18%49.35%51.11%50.27%sentiment_5me_1diff中證全指滬深300中證10001.18%0.1557.09%0.98%0.1353.49%0.70%0.0952.41%0.83%0.0852.72%0.27%0.0252.03%0.18%0.0251.95%0.44%0.0251.34%0.80%0.0452.11%0.77%0.0450.96%0.95%0.0653.33%0.93%0.0553.10%0.51%0.0348.81%sentiment_10me_1diff中證全指滬深300中證10000.93%0.1255.86%0.79%0.1154.02%0.40%0.0550.57%0.68%0.0652.34%0.13%0.0149.43%0.42%0.0450.19%0.18%0.0150.65%1.32%0.0754.02%1.60%0.0851.88%0.80%0.0552.57%0.76%0.0450.19%0.05%0.0049.27%sentiment_20me_1diff中證全指滬深300中證10001.02%0.1356.55%0.82%0.1155.02%0.23%0.0350.42%0.46%0.0452.26%-0.38%-0.0447.05%0.43%0.0450.65%0.03%0.0050.27%0.91%0.0552.11%1.14%0.0651.42%0.49%0.0353.10%0.44%0.0350.42%-0.41%-0.0247.43%sentiment_mean_1d_chg中證全指滬深300中證10001.01%0.1658.39%0.81%0.1354.41%0.50%0.0851.34%0.27%0.0351.11%0.16%0.0250.96%-0.02%0.0049.50%0.76%0.0453.03%1.40%0.0954.02%0.91%0.0552.34%0.96%0.0753.64%0.10%0.0150.88%0.41%0.0349.89%sentiment_mean_1d_abs(chg)中證全指-0.30%-0.0547.36%-0.04%-0.0150.50%0.19%0.0349.27%滬深3000.00%0.0049.20%0.51%0.0550.42%0.08%0.0149.35%中證500-0.41%-0.0249.50%-0.58%-0.0347.51%-0.05%0.0051.11%中證1000-0.23%-0.0249.20%0.04%0.0049.43%0.15%0.0149.27%sentiment_mean_3d_chg中證全指滬深300中證10001.22%0.2058.86%1.15%0.1957.87%0.69%0.1153.95%0.64%0.0753.11%0.37%0.0451.11%0.00%0.0050.81%0.69%0.0453.65%1.07%0.0753.42%0.65%0.0451.80%1.17%0.0854.49%1.22%0.0953.88%0.90%0.0750.58%sentiment_mean_3d_abs(chg)中證全指滬深300中證10000.02%0.0048.96%0.28%0.0553.19%0.61%0.1052.95%-0.24%-0.0348.27%0.44%0.0551.73%0.25%0.0347.43%-0.18%-0.0150.35%-0.55%-0.0447.51%0.59%0.0451.50%-0.11%-0.0149.65%0.35%0.0352.65%0.30%0.0250.12%sentiment_mean_5d_chg中證全指滬深300中證10001.09%0.2058.26%0.61%0.1154.50%0.44%0.0852.88%0.71%0.0853.19%-0.02%0.0048.50%0.26%0.0349.73%0.90%0.0653.42%0.74%0.0551.81%0.57%0.0452.27%1.23%0.1054.19%0.54%0.0454.27%0.55%0.0552.42%sentiment_mean_5d_abs(chg)中證全指滬深300中證1000-0.04%-0.0151.88%0.18%0.0351.42%0.47%0.0853.57%-0.10%-0.0147.89%0.20%0.0251.27%0.59%0.0753.27%-0.30%-0.0248.89%0.13%0.0150.04%1.02%0.0753.11%0.01%0.0049.04%-0.22%-0.0251.81%0.45%0.0451.65%sentiment_mean_percentile_3d中證全指滬深300中證10001.39%0.2661.79%1.00%0.1958.42%0.79%0.1454.36%0.67%0.0753.60%0.17%0.0251.15%0.46%0.0551.99%1.29%0.1155.36%1.09%0.1056.13%1.14%0.0953.60%1.38%0.1454.36%1.15%0.1254.98%0.86%0.0953.75%sentiment_mean_percentile_5d中證全指滬深300中證10001.71%0.3562.10%1.28%0.2759.88%0.99%0.2057.20%0.96%0.1154.06%0.54%0.0652.07%0.40%0.0551.07%1.50%0.1456.43%1.43%0.1457.04%1.43%0.1353.37%2.28%0.2458.27%1.61%0.1756.51%1.19%0.1354.21%sentiment_mean_percentile_10d中證全指滬深300中證10001.58%0.3262.56%1.19%0.2558.88%0.86%0.1755.51%0.93%0.1154.82%0.34%0.0450.15%0.32%0.0450.61%1.60%0.1457.58%1.79%0.1758.19%1.57%0.1554.06%2.35%0.2559.04%1.76%0.1958.27%1.31%0.1554.90%sentiment_mean_percentile_20d中證全指滬深300中證10001.47%0.3061.79%1.04%0.2158.04%0.69%0.1453.22%1.04%0.1254.90%0.31%0.0449.54%0.31%0.0450.15%1.66%0.1556.66%1.78%0.1758.50%1.39%0.1353.22%2.23%0.2458.12%1.66%0.1857.81%1.19%0.1354.52%新聞數(shù)量這個(gè)維度的基礎(chǔ)數(shù)據(jù)就是新聞本身在各個(gè)時(shí)間區(qū)間上的數(shù)量統(tǒng)計(jì)，可以用于刻畫(huà)股票的新聞熱度情況。類似新聞情緒，初步挖掘也可以從日日內(nèi)新聞數(shù)量相關(guān)指標(biāo)統(tǒng)計(jì)了盤(pán)后、盤(pán)中兩個(gè)時(shí)間段內(nèi)的新聞數(shù)量、兩個(gè)時(shí)間段新聞數(shù)量在各個(gè)12news_count_during3neg_new4neg_news_ratio_during5pos_news_ratio_after6pos_news_ratio_during789news_ratio_all_duringnews_ratio_pos_sub_neg_duringnews_ratio_pos_sub_neg_apos_news_ratio_during-neg_news_ratio_duringpos_news_ratio_inday_diffneg_news_ratio_inday_diffpos_news_ratio_after為負(fù)，如果當(dāng)前股票負(fù)面新聞熱度較高，是會(huì)給未來(lái)股價(jià)帶來(lái)不利影響的；但結(jié)合ICIRP(IC>0)ICICIRP(IC>0)ICICIR%-0.3734.92%-2.22%%-0.0946.02%-1.13%-0.1244.49%-news_count_after%-0.1743.19%-1.42%-0.1344.64%-%-0.2938.97%-2.12%%-0.2042.80%-1.28%-0.1842.96%-%-0.0549.00%-0.86%-0.0946.48%-news_count_during%-0.0548.85%-0.72%-0.0746.71%-%-0.0646.02%-0.25%-0.03中證全指-1.50%-0.24neg_news_ratio_after滬深300-0.80%-0.0845.94% 中證500-1.51%duringduringduringduringindaydiffindaydiffduringduringduringduringindaydiffindaydiff中證1000-2.50%neg___pos___pos_____________pos__neg___pos__neg_pos____neg____1news_count_day35neg_news_ratio_day整個(gè)日內(nèi)區(qū)間，每只股票自689news_count_max_5dnews_count_std_5dnews_count_trend_5d30ne31news_count_1d_chg32news_count_3d_chg33news_count_5d_chgnews_count_percentilenews_count_percentile_5dnews_count_percentilnews_count_percentilnews_ratio_1d_chgnews_ratio_3d_chg個(gè)股在橫截面上新聞?wù)急鹊娜臻g變動(dòng)，其中news_ratio_5d_chg1.對(duì)比上文日內(nèi)新聞總量的相關(guān)指標(biāo)，日間新聞總量相關(guān)指1000小市值板塊上，隨著持倉(cāng)期的加長(zhǎng)，因子有效性會(huì)減弱；但在中大市值板塊上，特別是中證3.在新聞數(shù)量分布的相關(guān)指標(biāo)news_count_dayneg_news_ratio_all_daypos_news_ratio_all_day中證1000-0.08%pos_news_ratio_pos_news_ratio_news_count_news_count__news_count_sum_news_count_sum_中證全指-2.62%-0.43news_count_std_5d滬深300-1.49%-0.1643.37% 中證500-1.06%中證1000-2.96%______________________________中證全指-2.25%-0.45news_count_sum_20d滬深300-1.19%-0.1345.71% 中證500-1.76%中證1000-2.75%ICIRP(IC>0)ICIRP(IC>0)news_count_1d_chgnews_count_3d_chgnews_count_5d_chgnews_count_percentile_3d中證全指-0.34%-0.04 滬深3000.43%0.03中證1000-0.46%news_count_percentile_5dnews_count_percentile_10dnews_count_percentile_20d新聞質(zhì)量這個(gè)維度的基礎(chǔ)數(shù)據(jù)主要是公司標(biāo)簽與新聞的相關(guān)度relevance，此外還可借助每篇新聞1relevance_mean_during23relevance_max_during456abs(pos-neg)_mean_du78abs(pos-neg)_max_dur918news_count_rati1.新聞質(zhì)量相關(guān)因子的有效性表現(xiàn)并不理想，這個(gè)結(jié)果也是在情理之