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| Title: | 建立ARIMA與SVR混合式模型，結合GDELT數位新聞資料集預測美元指數
Constructing A Hybrid Model of ARIMA and SVR Algorithm with GDELT Digital News Dataset to Predict U.S. Dollar Index |
| Authors: | 沈柏宇
Shen, Po-Yu |
| Contributors: | 廖四郎
Liao, Szu-Lang
沈柏宇
Shen, Po-Yu |
| Keywords: | GDELT專案
混合式模型
美元指數
GDELT project
Hybrid model
U.S. dollar index |
| Date: | 2018 |
| Issue Date: | 2018-07-03 17:27:00 (UTC+8) |
| Abstract: | 新聞資訊為基本面分析的重要訊息來源，如何利用數位新聞資料輔助或彌補傳統計量模型的價格預測能力，首先借助具有規模且公開的數位新聞資料集 — GDELT 專案，豐富的新聞來源經過嚴謹的文字探勘與自然語言處理所得到的結構化資料，結合本研究提出的資料前處理方法，接續做為混合式模型中大數據分析方法的特徵值，用以預測美元指數的價格行為，比較不同模型之間的成效。
針對時間序列的資料，本研究採用兩層的滾動窗格分析方法，作為模型成效評估依據的測試資料集選取三種不同的時間區間：發生歐債危機前（2009/06/02~2009/11/30，130筆日資料）、歐債危機擴散中（2009/12/01~2010/12/01，260筆日資料）與歐債危機過後（2017/01/02~2017/06/30，130筆日資料）。實作的成果顯示出，在發生歐債危機前與危機過後的兩個區間當中，有加入 GDELT 特徵值的混合式模型表現優於單純的 ARIAM 迴歸模型，歐債危機擴散中的表現則不然；本研究認為金融危機擴散期間，市場的價格與財金相關的新聞之間存在更強的鏈結，缺乏財金相關新聞資訊的 GDELT 資料集在此情境之下，模型的表現自然會受到限制甚至更差。
實作的資料量體龐大，資料處理與計算的過程仰賴叢集式架構的平行運算，因此使用到 Google Cloud Platform 的雲端虛擬機租借服務，以及在虛擬機上方操作 Spark 叢集式運算平台，完成類即時的滾動式窗格分析流程。
The information implied in the news is an important signal for fundamental analysis. In this research, we are going to improve the accuracy on price prediction of traditional econometric model with news messages. First of all, this research adopt the data from the GDELT Project which has abundant resources and well performed text mining technique. With series of data preprocessing, we build up several hybrid models made up of ARIMA model and big data analysis model, some of them take the preprocessed GDELT messages as features. Finally, performances of different models depend on the mean square error.
In the rolling window analysis, this study take different periods of time as testing data sets : before the European debt crisis (2009/06/02~2009/11/30), under the crisis (2009/12/01~2010/12/01) and after the crisis (2017/01/02~2017/06/30). Results show that hybrid models with GDELT features have better performance than pure ARIMA model in the prediction of U.S. Dollar Index in the first and last period. However, those models work poorly in the European debt crisis.
Considering the great volume of data, the pipeline of data preprocessing and data analysis relies on parallel operation of cluster architecture. In that way, this study use the virtual machines rent services supported by Google Cloud Platform and operate on PySpark to simulate real-time rolling window analysis. |
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| Description: | 碩士
國立政治大學
金融學系
105352034 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105352034 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.MB.003.2018.F06 |
| Appears in Collections: | [金融學系] 學位論文
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