文献类型：期刊文献

中文题名：基于外汇舆情的人民币汇率波动预测研究

英文题名：Research on Volatility Forecasting of RMB Exchange Rate Based on Public Opinion

作者：成舟[1];余峥[1];过弋[2,3,4];王志宏[2]

机构：[1]中汇信息技术(上海)有限公司,上海201203;[2]华东理工大学信息科学与工程学院,上海200237;[3]大数据流通与交易技术国家工程实验室,上海200237;[4]石河子大学信息科学与技术学院,新疆石河子832003

年份：2019

卷号：46

期号：S11

起止页码：143

中文期刊名：计算机科学

外文期刊名：Computer Science

收录：CSTPCD;;北大核心:【北大核心2017】；CSCD:【CSCD_E2019_2020】；

基金：国家自然科学基金项目(61462073)资助

语种：中文

中文关键词：外汇市场;舆情监测;人民币汇率;汇率波动预测

外文关键词：Foreign market;Public opinion monitoring;RMB exchange rate;Exchange rate volatility forecasting

摘要：舆情与金融市场波动之间的联系,对金融市场的监控、分析和异常发现有着重要的作用。外汇市场中,由于舆情的多样性和人民币汇率变化的复杂性,更好地量化舆情对汇率的影响对于实现人民币汇率的监测和分析有着重要的现实意义。首先对外汇舆情数据进行噪声过滤、分词等预处理,并基于汇率领域知识构建人民币汇率波动预测的特征,然后综合舆情的时效性和领域专家的知识设计了一种新的舆情对人民币汇率的影响力模型,并在此基础上实现了人民币汇率波动预测模型。实验结果表明,文中设计与实现的预测模型可以有效地对人民币汇率进行波动预测。
Public opinion has an impact on financial volatility,which plays an essential role in monitoring,analysis and anomaly detection for financial market.Due to the diversity of public opinion and the complexity of RMB exchange rate,how to quantify the impact of public opinion in a better manner has an important industrial significance for realizing the monitoring and analysis of the RMB exchange rate.This paper firstly performed pre-processing for public news of the foreign market,such as noise filtering,word segmentation.Meanwhile,it constructed a series of features for volatility forecasting of RMB exchange rate based on the domain knowledge of foreign exchange rate.Moreover,a novel influence model was proposed to represent the relationship between public opinion and RMB exchange rate.Finally,the volatility forecasting model is realized for RMB exchange rate on the real dataset.The experimental results testify that the proposed method can effectively forecast the volatility of RMB exchange rate.