Hc vin: Phm Huyn TrangGV hng dn: PGS. TS H Quang ThyD bo th trng chng khon da trn khai ph d liu Tweeter**

Ni dung chnhGii thiu

Cc nghin cu lin quan

Nghin cu ca J.Bollen v D bo th trng chng khon da trn Tweeter

Kt lun

nh hng nghin cu

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INTRODUCTIONBi ton d bo th trng chng khonBi ton d bo th trng chng khon da trn Tweeter**

C thc s d on c th trng chng khon?**

Cc nghin cu lin quan2005, Gruhl v cng s nghin cu cch lm th no hot ng chat online c th d on c vic bn sch2006, Mishne v Rijke s dng cc nh gi ca cc quan im c th hin trn blog d on vic bn phim2007, Liu v cng s d on vic bn cc sn phm s dng m hnh phn tch ng ngha n xc sut (PLSA) trch xut cc ch s ca quan im t cc blog.2009, Schumaker v Chen iu tra mi quan h gia cc tin tc v cng ty ph sn vi s thay i v gi c trong th trng 2010, Asur v Huberman ch ra rng nhng quan im lin quan n cc phim c th hin cng khai trn Tweeter thc s c th d on c doanh thu phng vGn y, 2011, Johan Bollen v cng s c nghin cu ch ra rng c th d on th trng chng khon da trn cc Tweet ca cc cng ty trong th trng chng khon, vi chnh xc ln n > 85%**

D bo th trng chng khon **Kinh t hc hnh vi ch ra rng: Cm xc c th nh hng n cc hnh vi ca c nhn v trong vic a ra 1 quyt nh no Cc quyt nh ti chnh c thc y bi cm xc v tm trng ca con ngiGi thuyt: Tm trng, cm xc c th nh hng n gi tr chng khon tng ng vi vic cc tin tc nh hng n th trng chng khon

Bi ton d bo th trng chng khon chia thnh 2 loi:D bo ch s chng khon s tng hay gimD bo ch s chng khon s tng ln bao nhiu hoc gim xung bao nhiu

ngha ca bi ton:Gip cc nh u t a ra c cc quyt nh u t tc thi => em li li nhun cao cho cc nh u t

D bo th trng chng khon da trn TweeterCng ng s dng v chia s trng thi ca mnh trn Twitter cho bit h ang cm thy nh th no v ngy hm dn dt cc quyt nh mua bn trn th trng nh hng n gi c trong th trng chng khonC th d on c ch s chng khon da trn Tweeter

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Ti sao chn Tweeter?**C th trch xut cc ni dung tweet nh gi c tm trng ca cng chng trc tip, theo thi gian thc mt cch nhanh chng v tit kim => Ph hp p ng cho s bin ng, tng gim ca ch s chng khon

Tweeter l 1 trong cc mng x hi c s dng ph bin nht trn th gii => L 1 ngun cp d liu c quy m rt ln

Phng php d bo th trng chng khon da trn Tweeter ca Johan Bollen v cng sCc bcu v nhc im**

D liuNgun d liu:9.83.498 Tweet trn trang Tweeter, c post bi gn 2.7 triu ngi dng trong cc cng ty trong th trng DJIACc thng tin trch xut trong mi tweet gm:Thng tin xc nh tweetNgy submitKiu submitNi dung (khng qu 140 k t)Thi gian: 28/2/2008 19/12/2008Cc bc chun b d liu:Loi b t dng, du chm cuNhm cc tweet c submit trn cng ngy vo 1 nhmCh :Ch quan tm nhng tweet cha tm trng r rng ca tc gi

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Cc bcPhn tch cm xc ngi dngo tr cm xcD on gi c phiu**

Bc 1: Sinh chui thi gian cm xc (OF v GPOMS)OpinionFinder: Phn tch quan im mc cuo cm xc ca ngi dng: tch cc hay tiu ccXc nh t l tweet tch cc so vi tweet tiu cc mi ngy

GPOMS:o cm xc ca ngi dng trn 6 chiu khc nhau: Calm, Alert, Sure, Vital, Kind, Happy

o cm xc ngi dng thnh 7 chiu

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Bc 2: nh gi OF v GPOMS**

Bc 2: nh gi OF v GPOMS hi quy a bin**

**Vy, cc s kin vn ha, x hi c tc ng ln cm xc, tm trng ca cng ng.

C th on c cm xc ca cng ng thng qua cc tweet ca mi c nhn trn Tweeter

Cu hi t ra: Nhng tm trng, cm xc lin quan g n s thay i trong th trng chng khon, c th l ch s DJIA?

Bc 3: Phn tch mi quan h nhn qu gia tm trng v gi DJIA**Gi thuyt: Nu 1 bin X gy ra Y th nhng thay i trong X s xut hin 1 cch h thng trc nhng thay i trong Y.=> Cc gi tr tr ca X biu hin 1 mi tng quan c ngha thng k i vi Yp dng:Tm trng chung ca cng ng trn Twitter c s tng ng vi th trng chng khon, nhng chng phn nh trc din bin t 3-4 ngy ch khng phi l mt kt qu trong vic tng gim ca th trng.Nu ngi dng c cm nhn tch cc v m chng khon ca 1 cng ty th trong 1 ngy no trong tng lai, gi c phiu ca cng ty s tng, v ngc li

Bc 3: Phn tch mi quan h nhn qu gia tm trng v gi DJIA (cont.)**

Bc 3: Phn tch mi quan h nhn qu gia tm trng v gi DJIA (cont.)** ngha:o tr cm xc so vi chng khon, tc l nn o cm xc ca ngy th bao nhiu ( i n) d on gi chng khon ngy i (tc gi chn gi tr ny l 3 ngy))

Gi tr p-values < 0.05=> Bc b gi thuyt null: chui tm trng ca ngi dng khng th d on c gi tr DJIA

Bc 4: D on th trng chng khon S dng m hnh Self-organizing Fuzzy neural Network(SOFNN) d on gi tr DJIA trn 2 tp u vo:Gi tr DJIA 3 ngy trcCc hon v khc nhau ca chui cm xc

d on gi tr DJIA ngy t, u vo cho SOFNN gm:Cc gi tr DJIACc gi tr o tm trng ca n ngy trc**

Bc 4: D on th trng chng khon (cont.)**Tc gi th 7 hon v ca cc bin u vo i vi m hnh SOFNN:IOF = {DJIAt-3, 2,1 , XOF, t-3,2,1}

Trong :DJIA t-3,2,1: gi tr DJIA v X1,t-3,2,1: gi tr chiu 1 ca tm trng c o bi GPOMS ti thi im t-3, t-2, t-1I1,3; I1,4; I1,5; I1,6: kt hp gia gi tr DJIA trong qu kh vi chiu 3, 4, 5 , 6 ti thi gim t-3, t-2, t-1

Bc 4: D on th trng chng khon (cont.)**Kt qu:

Kt lun:Cm xc c o bi OF l khng hiu quNgoi Calm, tc gi tm thy chnh xc cao nht vi I1Happy khng c mi quan h nhn qu Granger tt nhng khi kt hp vi Caml th d on chnh xc hn

u v nhc imu im: chnh xc kh cao

Nhc im:Ch d on c s tng, gim ca th trng chng khonCha gii hn c vng a l v ngn ngVi nhng s kin xy ra t ngt (V d Steve Job mt ,) th tr 3 ngy l qu ln d on chng khon

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Phng php xutM hnhPhn lp SVM-kNND bo th trng chng khon**

M hnh

im khc bitTp t POMS:J.Bollen: M rng da trn n-gram theo Google xut: Kt hp m rng da trn n-gram theo Google v tp cc t ng ngha.

D on ch s DJIA: J.Bollen: dng Mng noron m t t chc (SOFNN) xut: p dng phng php phn lp bn gim st SVM-kNN hoc EM hoc

D on xu hngInput: n: s ngy cm xc trCc ch s ng DJIA ca n ngy trc Chui tm trng theo thi gian ca cng chng trong n ngy trc tnh theo 6 chiu.

Output: Xu hng ca chng khon ngy tTng so vi ngy t-1Gim so vi ngy t-1Bng ngy t-1

D on xu hng (cont.)Vector th hin c trng:Vit = vit : vector th hin c trng ca cm xc theo chiu Idt : gi tr ch s DJIA ngy tXi, t : gi tr cm xc chiu i trong ngy t. n: s ngy cm xc tr

Gn nhn: da trn ch s ng DJIA mi ngy+1: ch s ngy t > ngy t-1-1: ch s ngy t < ngy t-10: ch s ngy t = ngy t-1

Kt lunBo co :Gii thiu v bi ton d on th trng chng khon da trn khai ph quan im t d liu TweeterTm hiu v chng minh gi thuyt Tm trng c th d on c th trng chng khon ca J.Bollen. xut 1 hng gii quyt nhm ci tin kt qu

nh hng nghin cu

Ci t v th nghim cho m hnh xut

Nghin cu cc m hnh bn gim st khc v p dng vi bi ton d bo th trng chng khon trn tweeter

Nghin cu hng d on chng khon s tng ln bao nhiu hoc gim xung bao nhiu**

Ti liu tham kho2008. Eugene F.Fama. The behavior of Stock- Market Prices2010. X. Zhang, H. Fuehres, P.A. Gloor, Predicting Stock Market Indicators Through Twitter I Hope It is Not as Bad as I Fear, Collaborative Innovation Networks (COINs), Savannah, GA, 2011. Johan Bollen v cng s, Twitter mood predicts the stock market

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