Online Portfolio Based on Trend Trading Strategy Considering Investor Sentiment Using Text Analysis

Zhiming Zeng, Weijun Xu and Yannan Zhong
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Zhiming Zeng: South China University of Technology, China
Weijun Xu: South China University of Technology, China & Greater Bay Intelligent Finance and Risk Management Research Base, China
Yannan Zhong: Guangdong University of Finance and Economics, China

International Journal of Fuzzy System Applications (IJFSA), 2024, vol. 13, issue 1, 1-20

Abstract: Intelligent online portfolios have become an important research topic in the field of quantitative finance. This paper proposes an online portfolio based on trend trading strategy using fuzzy logic technology analysis method and considering investor sentiment. Firstly, the paper uses SVM classification algorithm to analyze stock comment text data in online forums and constructs investor sentiment indicators. Secondly, the paper transforms the heuristic algorithm of technical trading into corresponding fuzzy IF-THEN rules and combines them into a fuzzy investment decision system. Thirdly, the paper constructs a new online portfolio based on trend trading strategy. Finally, the paper uses the text data of investor reviews and stock trading data on the internet for empirical analysis to illustrate the effectiveness of the online portfolio strategy constructed. The results indicate that online portfolios constructed based on trend trading strategies can achieve higher performance than benchmark strategies while considering transaction costs.

Date: 2024
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