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Applying BERT to analyze investor sentiment in stock market

  • S.I. : Higher Level Artificial Neural Network Based Intelligent Systems
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Abstract

This paper is an analysis of investor sentiment in the stock market based on the bidirectional encoder representations from transformers (BERT) model. First, we extracted the sentiment value from online information published by stock investor, using the Bert model. Second, these sentiment values were weighted by attention for computing the investor sentiment indicator. Finally, the relationship between investor sentiment and stock yield was analyzed through a two-step cross-sectional regression validation model. The experiments found that investor sentiment in online reviews had a significant impact on stock yield. The experiments show that the Bert model used in this paper can achieve an accuracy of 97.35% for the analysis of investor sentiment, which is better than both LSTM and SVM methods.

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Acknowledgments

This research is supported by the R&D Program of Beijing Municipal Education commission (Grant No. KJZD20191000401). This research is also supported by the Program of the Co-Construction with Beijing Municipal Commission of Education of China (Grant Nos. B20H100020, B19H100010) and funded by the Key Project of Beijing Social Science Foundation Research Base (Grant No. 19JDYJA001).

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Authors and Affiliations

  1. National Academy of Economic Security, Beijing Jiaotong University, Beijing, China

    Menggang Li & Xiaojun Jia

  2. School of Economics and Management, Beijing Jiaotong University, Beijing, China

    Wenrui Li, Fang Wang & Guangwei Rui

  3. Beijing Laboratory of National Economic Security Early-warning Engineering, Beijing Jiaotong University, Beijing, China

    Menggang Li, Wenrui Li & Fang Wang

  4. Beijing Center for Industrial Security and Development Research, Beijing Jiaotong University, Beijing, China

    Menggang Li & Xiaojun Jia

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  1. Menggang Li
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  2. Wenrui Li
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  3. Fang Wang
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  4. Xiaojun Jia
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  5. Guangwei Rui
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Correspondence to Wenrui Li or Xiaojun Jia.

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Li, M., Li, W., Wang, F. et al. Applying BERT to analyze investor sentiment in stock market. Neural Comput & Applic 33, 4663–4676 (2021). https://doi.org/10.1007/s00521-020-05411-7

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