Option price prediction based on optimized decomposition-dynamic ensemble and text mining

doi:10.1016/j.asoc.2025.113224

	Option price prediction based on optimized decomposition-dynamic ensemble and text mining
	Kang, Weiyi1,2,3 ; Chen, Suisui4
	2025-06
发表期刊	APPLIED SOFT COMPUTING (IF:5.472[JCR-2019],5.39[5-Year])
卷号	177
摘要	This paper primarily focuses on the decomposition-ensemblehybrid model and proposes an optimized decomposition-dynamic ensemble algorithm. Additionally, it employs text mining techniques to construct the Investor Sentiment Index (ISI), which is ultimately applied to the prediction of option prices. Through empirical analysis of option data from the SSE 50 ETF, CSI 300 ETF, and CSI 500 ETF, we find that the dynamic ensmble method within the decomposition-ensemble hybrid model not only enhances predictive accuracy but also improves the stability of the model. Furthermore, the effectiveness of the dynamic hybrid model is validated through a rolling window decomposition-prediction framework. In terms of using ISI for option price prediction, the constructed ISI significantly enhances the predictive performance of both single and hybrid models. Notably, the ISI generated by FinBERT outperforms that constructed using traditional dictionary methods. Moreover, in the context of hybrid models, ISI effectively improves the low-frequency and high-frequency components across various hybrid models, while exerting relatively minor influence on the mid-frequency modal components.
关键词	Options price forecasting Text mining Investor sentiment Index Dynamic ensemble FinBERT
DOI	10.1016/j.asoc.2025.113224
收录类别	SCIE ; EI
ISSN	1568-4946
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Interdisciplinary Applications
WOS记录号	WOS:001487491900001
出版者	ELSEVIER
EI入藏号	20251818356454
EI主题词	Cost estimating
EI分类号	911 Cost and Value Engineering ; Industrial Economics
原始文献类型	Article
EISSN	1872-9681
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/39286
专题	统计与数据科学学院
通讯作者	Kang, Weiyi
作者单位	1.Lanzhou Univ Finance & Econ, Sch Int Econ & Trade, Lanzhou 730020, Peoples R China; 2.Lanzhou Univ Finance & Econ, Sch Stat & Data Sci, Lanzhou 730020, Peoples R China; 3.Lanzhou Univ Finance & Econ, Gansu Business Dev Res Ctr, Lanzhou 730020, Peoples R China; 4.Peking Univ, Sch Urban Planning & Design, Shenzhen Grad Sch, Shenzhen 518000, Peoples R China
第一作者单位	兰州财经大学; 统计与数据科学学院
通讯作者单位	兰州财经大学; 统计与数据科学学院
推荐引用方式 GB/T 7714	Kang, Weiyi,Chen, Suisui. Option price prediction based on optimized decomposition-dynamic ensemble and text mining[J]. APPLIED SOFT COMPUTING,2025,177.
APA	Kang, Weiyi,&Chen, Suisui.(2025).Option price prediction based on optimized decomposition-dynamic ensemble and text mining.APPLIED SOFT COMPUTING,177.
MLA	Kang, Weiyi,et al."Option price prediction based on optimized decomposition-dynamic ensemble and text mining".APPLIED SOFT COMPUTING 177(2025).