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Author: 楊子沅
Tzu-Yuan Yang
Thesis Title: 社群媒體情緒於股價預測之探討——以PTT文字探勘為例
Predicting Stock Price with Social Media Sentiment: PTT Text Mining
Advisor: 陳俊男
Chun-nan Chen
Committee: 陳俊男
Chun-nan Chen
鄭仁偉
Jen-Wei Cheng
謝劍平
Jian-Ping Shieh
林軒竹
Hsuan-Chu Lin
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2023
Graduation Academic Year: 112
Language: 中文
Pages: 44
Keywords (in Chinese): 文字探勘社群媒體情緒分析SVR股價預測
Keywords (in other languages): text mining, social media, sentiment analysis, SVR, stock price prediction
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  • 在網路發達的世代,社群媒體讓投資人能獲取即時的資訊,與他人直接進行交流,並決定下一步行動。本研究旨在量化這種非結構化的文字資訊,萃取出其中隱含的情緒與意向,並驗證是否能以此提升股市分析效率。過去之研究已證實,來自新聞文本的情緒可提升股價預測能力,且能利用支持向量迴歸(SVR)獲得更佳結果;本研究改使用純社群討論文章,以取得投資人對資訊最直接的反應。

    本研究以2022年6月至2023年5月之PTT股票板「每日盤後討論」推文,共計231日資料作為研究文本。進行斷詞處理後,以「監督式學習情緒特徵篩選模型 (SESTM)」進行字詞的情緒判斷,建立社群情緒指數。最後進行台股大盤指數預測,使用複迴歸及Polynomial、RBF兩種SVR模型,驗證加入社群情緒指數後是否提高預測效率;以Adj.R^2評估解釋力、MSE評估準確率。

    研究結果中,文本擷取出約255萬個詞,扣除重複者後共有2,063個正面情緒詞、2,000個中立詞、3,457個負面情緒詞。未加入社群情緒指數之下,RBF的解釋力與準確率優於複迴歸與Polynomial;只有RBF加入社群情緒指數後預測能力提高, 以第t - 1日結果最佳,使Adj.R^2增加2.49%、MSE下降2.56%。結果顯示,利用本研究之文字探勘方法及RBF支持向量迴歸模型,可成功提取出社群媒體中之投資人情緒,提升股市分析效率。


    Social medias enable investors to access real-time news, engage in discussions, and make informed decisions. This study aims to improve the efficiency of stock market analysis by quantifying unstructured textual data and extracting hidden sentiments and intentions. Unlike previous research that relied on news texts, this study focuses on utilizing non-news discussions to capture investors' direct reactions to daily information.

    Data collected from the "Daily After-Market Discussion" on PTT Stock Board, spanning June 2022 to May 2023, yielded 231 days of data. The collected text was subjected to word tokenization and sentiment analysis using the Sentiment Extraction via Screening and Topic Modeling (SESTM) to establish a social media sentiment index.

    To predict the Taiwan Weighted Index (TWII), multiple regression and two Support Vector Regression (SVR) models, Polynomial and RBF, were employed. The models incorporated US stock indices and exchange rates as independent variables. The objective was to evaluate whether the inclusion of the social media sentiment index improves prediction accuracy of stock market analysis. Evaluation criteria included Adj.R^2 to measure explanatory power and mean squared error (MSE) to assess accuracy.

    The empirical analysis included approximately 2.55 million words, with positive, neutral, and negative sentiments identified. Results showed that the RBF SVR model outperformed multiple regression and the Polynomial SVR model in terms of prediction accuracy. Only the RBF model improved prediction accuracy when adding the social media sentiment index. Particularly, utilizing the sentiment index from day (t-1) yielded the best results, led to a 2.49% increase in Adj.R^2 and a 2.56% decrease in MSE.

    Overall, the empirical result indicated enhanced stock price prediction capabilities with the integration of social media sentiment.

    摘要    I ABSTRACT    II 致謝    III 目錄    IV 圖目錄    VI 表目錄    VII 第一章    緒論    1 第一節    研究背景與動機    1 第二節    研究目的    2 第三節    研究架構    3 第二章    文獻探討    4 第一節    社群媒體情緒與投資人行為    4 第二節    文字探勘與中文斷詞技術    5 第三節    情感分析模型    7 第四節    機器學習之SVM與SVR    10 第三章    研究方法    12 第一節    利用文字探勘蒐集社群意見    12 第二節    建立社群情緒模型    14 第三節    以複迴歸與SVR進行預測    18 第四章    實證結果    20 第一節    文字探勘與情緒指數    20 第二節    簡單迴歸分析    20 第三節    複迴歸模型    23 第四節    SVR Polynomial模型    29 第五節    SVR RBF模型    33 第六節    本章小結    36 第五章    結論與建議    38 第一節    研究結論    38 第二節    研究貢獻    39 第三節    未來研究建議    40 參考文獻    41 一、英文文獻    41 二、中文文獻    43 三、網路資料    44

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