Identifying the influential factors of commodity futures prices through a new text mining approach | |
Li, Jianping; Li, Guowen; Zhu, Xiaoqian; Yao, Yanzhen | |
刊名 | QUANTITATIVE FINANCE |
2020 | |
卷号 | 20期号:12页码:1967-1981 |
DOI | 10.1080/14697688.2020.1814008 |
英文摘要 | How to determine the numerous and complicated factors that affect the dynamics of commodity futures prices is still a great challenge. The existing studies have mainly identified influential factors based on researchers' judgements or the summarization of previous studies, which is relatively subjective and makes it difficult to attain comprehensive factors. This paper proposes a new text mining method named Dependency Parsing-Sentence-Latent Dirichlet Allocation (DP-Sent-LDA) to identify the influential factors of commodity futures prices objectively and comprehensively from a massive number of news headlines. In the empirical analysis, based on 49 501 news headlines about six Chinese commodity futures over the period of 2011-2018, a total of 104 specific influential factors are identified, and their relative importance is given. The identified influential factors not only contain almost all the widely studied influential factors but also include some factors rarely mentioned in the existing literature. Regression analysis is conducted to validate the effectiveness of these influential factors. |
语种 | 英语 |
内容类型 | 期刊论文 |
源URL | [http://ir.casisd.cn/handle/190111/9822] |
专题 | 中国科学院科技战略咨询研究院 |
推荐引用方式 GB/T 7714 | Li, Jianping,Li, Guowen,Zhu, Xiaoqian,et al. Identifying the influential factors of commodity futures prices through a new text mining approach[J]. QUANTITATIVE FINANCE,2020,20(12):1967-1981. |
APA | Li, Jianping,Li, Guowen,Zhu, Xiaoqian,&Yao, Yanzhen.(2020).Identifying the influential factors of commodity futures prices through a new text mining approach.QUANTITATIVE FINANCE,20(12),1967-1981. |
MLA | Li, Jianping,et al."Identifying the influential factors of commodity futures prices through a new text mining approach".QUANTITATIVE FINANCE 20.12(2020):1967-1981. |
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