analyzing the power of tweets in predicting commodity futures - … · machine learning algorithms...

1 © Copyright 2013 Pivotal. All rights reserved.

@gopivotal @being_bayesian 1 © Copyright 2013 Pivotal. All rights reserved. 1 © Copyright 2013 Pivotal. All rights reserved.

Analyzing the power of Tweets in predicting Commodity Futures

Mar 17, 2014 Srivatsan Ramanujam Senior Data Scientist

Pivotal


@gopivotal @being_bayesian

Problem Definition   Can we predict Corn, Soybean and Wheat futures based on Social Chatter on Twitter ?

  The Customer: A major Agricultural Cooperative



Data



Obtaining Data   Used to fetch 5-years of historical tweets matching any of a list of keywords of interest

Tweets Table Poster Information



GNIP

  As plugged-in partners, we’ve worked with GNIP before, experience was great!

  We needed historical data and GNIP’s Historical PowerTrack came in handy

  Clean API, quick quotes, convenient to download results of historical jobs



Grain Futures Vs. Volume of Tweets



The Platform



Data Science Toolkit   Appliance

–  Full Rack DCA with Greenplum Database   ETL

–  Python

  Modeling –  SQL –  MADlib –  PL/Python, PL/Java –  Ark-Tweet-NLP1 with PL/Java Wrappers

  Visualization –  Tableau

1CMU ARK Twitter Parts-of-Speech tagger : http://www.ark.cs.cmu.edu/TweetNLP (GPL 2)



Pivotal Greenplum MPP DB Think of it as multiple PostGreSQL servers

Segments/Workers

Master

Rows are distributed across segments by a particular field (or randomly)



  The interpreter/VM of the language ‘X’ is installed on each node of the Greenplum Database Cluster

•  Data Parallelism: -  PL/X piggybacks on

Greenplum’s MPP architecture

•  Allows users to write Greenplum/PostgreSQL functions in the R/Python/Java, Perl, pgsql or C languages Standby

Master

…

Master Host

SQL

Interconnect

Segment Host Segment Segment




PL/X : X in {pgsql, R, Python, Java, Perl, C etc.}



Scalable, in-database ML

•  Open Source!https://github.com/madlib/madlib •  Works on Greenplum DB and PostgreSQL •  Active development by Pivotal

-  Latest Release : 1.4 (Dec 2014) •  Downloads and Docs: http://madlib.net/



MADlib In-Database Functions

Predictive Modeling Library

Linear Systems •  Sparse and Dense Solvers

Matrix Factorization •  Single Value Decomposition (SVD) •  Low-Rank

Generalized Linear Models •  Linear Regression •  Logistic Regression •  Multinomial Logistic Regression •  Cox Proportional Hazards •  Regression •  Elastic Net Regularization •  Sandwich Estimators (Huber white,

clustered, marginal effects)

Machine Learning Algorithms •  Principal Component Analysis (PCA) •  Association Rules (Affinity Analysis, Market

Basket) •  Topic Modeling (Parallel LDA) •  Decision Trees •  Ensemble Learners (Random Forests) •  Support Vector Machines •  Conditional Random Field (CRF) •  Clustering (K-means) •  Cross Validation

Descriptive Statistics

Sketch-based Estimators •  CountMin (Cormode-

Muthukrishnan) •  FM (Flajolet-Martin) •  MFV (Most Frequent

Values) Correlation Summary

Support Modules

Array Operations Sparse Vectors Random Sampling Probability Functions



The Models



The Approach

•  In addition to identifying textual cues in tweets that were correlated with commodity futures, we also wanted to analyze whether tweet sentiment was correlated with commodity futures



Sentiment Analysis – Challenges   Language on Twitter doesn’t

adhere to rules of grammar, syntax or spelling

  We don’t have labeled data for our problem. The tweets aren’t tagged with sentiment

  Semi-Supervised Sentiment Prediction can be achieved by dictionary look-ups of tokens in a Tweet, but without Context, Sentiment Prediction is futile!

“Cool”



Sentiment Analysis – Approach

1: Parts-of-speech Tagger : Gp-Ark-Tweet-NLP (http://vatsan.github.io/gp-ark-tweet-nlp/)

Phrase Extraction

Semi-Supervised Sentiment Classification

Phrasal Polarity Scoring

Sentiment Scored Tweets

Use learned phrasal polarities to score

sentiment of new tweets

Part-of-speech tagger1

Break-up Tweets into tokens and tag their

parts-of-speech

  Parallelized ArkTweetNLP to achieve fast parts-of-speech tagging on Tweets

  Custom (patent pending) algorithm to extract contextual cues & score sentiment of tweets



Text Analytics Pipeline with GNIP stream

Stored on HDFS

Tweet Stream

(gpfdist) Loaded as

external tables into GPDB

Parallel Parsing of JSON and extraction

of fields using PL/Python

Topic Analysis through MADlib pLDA

Sentiment Analysis through custom

PL/Python functions

D3.js



There is significant signal in Tweets in predicting commodity futures

Key Take-Aways

Sentiment Analysis of tweets can provide an additional signal in predicting commodity futures. Twitter sentiment was negatively correlated with commodity futures, in the sample we analyzed

A blended model of Text Regression, Sentiment Analysis and Tweet Actor information gave us encouraging results and we believe that when combined with market fundamentals like weather or yield will give better models



What’s in it for me?



Pivotal Open Source Contributions http://gopivotal.com/pivotal-products/open-source-software

•  MADlib – In-database parallel ML -  https://github.com/madlib/madlib

•  PyMADlib – Python Wrapper for MADlib -  https://github.com/gopivotal/pymadlib

•  PivotalR – R wrapper for MADlib -  https://github.com/madlib-internal/PivotalR

•  Part-of-speech tagger for Twitter via SQL -  http://vatsan.github.io/gp-ark-tweet-nlp/

Questions? @being_bayesian

analyzing the power of tweets in predicting commodity futures - … · machine learning algorithms...

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