PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Forecasting with Twitter Data
Marta Arias, Argimiro Arratia and Ramon Xuriguera
ACM Transactions on Intelligent Systems and Technology 2012. ISSN 2157-6904


The dramatic rise in the use of social network platforms such as Facebook or Twitter has resulted in the availability of vast and growing user-contributed repositories of data. Exploiting this data by extracting use- ful information from it has become one of the greatest challenges in data mining and knowledge discovery. A recently popular way of extracting useful information from social network platforms is to build indicators, often in the form of a time series, of general public mood by means of sentiment analysis. Such indicators have been shown to correlate with a diverse variety of phenomena. In this paper we follow this line of work and set out to assess, in a rigorous manner, whether a public sentiment indicator extracted from daily Twitter messages can indeed improve the forecasting of social, economic, or commercial indicators. To this end we have collected and processed a large amount of Twitter posts from March 2011 to the present date for two very different domains: stock market and movie box office revenue. For each of these domains, we build and evaluate forecasting models for several target time series both using and ignoring the Twitter-related data. If Twitter does help, then this should be reflected in the fact that the predictions of models that use Twitter-related data are better than the models that do not use this data. By systematically varying the models that we use and their parameters, together with other tuning factors such as lag or the way in which we build our Twitter sentiment index, we obtain a large dataset that allows us to test our hypothesis under different experimental conditions. Using a novel decision-tree-based technique that we call summary tree we are able to mine this large dataset and obtain automatically those configurations that lead to an improvement in the prediction power of our forecasting models. As a general result, we have seen that non-linear models do take advantage of Twitter data when forecasting trends in volatility indices, while linear ones fail systematically when forecasting any kind of financial time series. In the case of predicting box office revenue trend, it is support vector machines with a sigmoid kernel the ones that make best use of Twitter data. In addition, we conduct statistical tests to determine the relation between our Twitter time series and the different target time series.

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
Information Retrieval & Textual Information Access
ID Code:9054
Deposited By:Marta Arias
Deposited On:21 February 2012