Group 1 - The Shanghai Composite Index opened high and rose, with the Shanghai TMT Index increasing by 1.2% to 2077.09 points and a trading volume of 90.995 billion yuan [1] - The Shanghai TMT Index has risen by 5.85% in the past month, 8.93% in the past three months, and 9.65% year-to-date [1] - The Shanghai TMT Index consists of 50 listed companies in the TMT sector with good scale and liquidity, reflecting the overall performance of TMT-related companies in the Shanghai market [1] Group 2 - The top ten weights in the Shanghai TMT Index are: Industrial Fulian (3.51%), Jingwang Electronics (3.17%), Shengyi Technology (2.61%), Cambrian (2.5%), Hengsheng Electronics (2.37%), Shiyun Circuit (2.3%), Wealth Trend (2.23%), Chipone (2.21%), Fenghuo Communication (2.17%), and Hengtong Optic-Electric (2.1%) [1] - The Shanghai TMT Index is fully composed of companies listed on the Shanghai Stock Exchange, with an 80.98% weight in Information Technology and 19.02% in Communication Services [1] Group 3 - The index sample is adjusted every six months, with adjustments implemented on the next trading day after the second Friday of June and December [2] - Weight factors are generally fixed until the next scheduled adjustment, with temporary adjustments made under special circumstances [2] - Companies that are delisted or undergo mergers, acquisitions, or splits are handled according to calculation and maintenance guidelines [2]

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]