金工三维情绪模型更新（20250220）：情绪浓度下行市场分化，市场重心或随时重回TMT主线

Quantitative Models and Construction Methods - Model Name: Three-Dimensional Sentiment Model Model Construction Idea: The model observes market sentiment from three perspectives: sentiment expectation, sentiment temperature, and sentiment concentration, corresponding to high-frequency, medium-frequency, and low-frequency sentiment fluctuations respectively [7] Model Construction Process: 1. Sentiment Expectation: - Indicator Significance: Reflects short-term market sentiment through futures and options data. Futures basis rate and the inverse of options PCR (Put-Call Ratio) are used to measure sentiment [6][8] - Formula: $ \text{Futures Basis Rate} = \frac{\text{Futures Price} - \text{Spot Price}}{\text{Spot Price}} $ $ \text{Sentiment Expectation Composite Indicator} = \text{Mean Value + Principal Component Analysis} $ - Evaluation: Sentiment expectation rising indicates optimistic short-term market sentiment, while a decline suggests cautious sentiment [6][8] 2. Sentiment Temperature: - Indicator Significance: Quantifies market trading heat and fund activity, focusing on institutional/main funds as the core force. Uses "main fund buy-in rate" smoothed and calculated as a three-year rolling percentile [12] - Formula: $ \text{Main Fund Buy-in Rate} = \frac{\text{Large Buy-in Amount}}{\text{Total Market Turnover}} $ - Evaluation: Sentiment temperature rising indicates increased fund activity, while a decline suggests cooling sentiment [12] 3. Sentiment Concentration: - Indicator Significance: Measures the correlation of multi-assets in the A-share market. Uses the first principal component variance contribution rate of the CITIC three-level industry system index, smoothed with a rolling window [16] - Evaluation: Higher sentiment concentration indicates increased asset correlation, suggesting stronger emotional influence on the market. Extreme values above the warning line (0.83) may signal long-term market turning points [16] Model Backtesting Results - Sentiment Expectation: Current value as of February 20, 2025: 0.7696, up 31.02% from the previous week [9][22] - Sentiment Temperature: Current value as of February 20, 2025: 0.6952, up 4.43% from the previous week [13][22] - Sentiment Concentration: Current value as of February 20, 2025: 0.6884, down 2.17% from the previous week [18][22]