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Stocktwits messaages sentiment analysis

Model Introduction

This project uses Support Vector Machine and BERT word embeddings to make sentiment prediction on messages from stockttwits, one of the biggest financial forum in the world.

The main ideas behind our model can be divided into several steps:

  1. Encode the messages using the BERT pretrained model "bert-base-uncased".
  2. Standardize the dataset by using tricks to fit and flatten word embeddings into a standard length vector.
  3. Perform Principal Component Analysis on the whole dataset to reduce the matrix dimensionality.
  4. Some additional feature engineering for the flatten standardized vector.
  5. Train the SVM model with the best performing kernel in hand.

For more detailed information, checkout our project report.

Model Performance

PCA + SVM with RBF kernels with standardization data:

Kernel rbf accuracy: 0.7249672157176377 [0.7340797760671799, 0.7303921568627451, 0.7240896358543417, 0.7156862745098039, 0.7205882352941176]
Kernel rbf f1 score: 0.7994398211427404 [0.8067141403865716, 0.8056537102473499, 0.7971163748712666, 0.7932790224032586, 0.794435857805255]

PCA + SVM with RBF kernel with average sum (frozen input) data:

Kernel rbf accuracy: 0.7553809014186373 [0.7477288609364081, 0.7540181691125087, 0.7596086652690426, 0.7651991614255765, 0.7503496503496504]
Kernel rbf f1 score: 0.821851831591843 [0.8140133951571354, 0.8216818642350557, 0.8271356783919598, 0.8297872340425532, 0.8166409861325115]

Project usage

To train and predict messages from stocktwits or just general texts messages from anywhere, the first step is to format the dataset for BERT processing. The dataset should follow the same format as our stocktwits_labelled.csv file: {Label.value: String}, {message: String}. To provide a better understanding of the labels we used, here is the Enum class of this project:

class Label(Enum):
    NO_LABEL = "NO_LABEL"
    NEG_LABEL = "Bearish"
    POS_LABEL = "Bullish"

Then, use the class BertWordEmbedding from bert_word_embedding.py to generate the word embeddings for the dataset. From that, you can choose to do average sum (frozen input) or use our standardization algorithm to convert the dataset into trainable forms. Once the data is ready, use the file trainer.py to do the heavy-lifting by changing the dataset path to your desire location and train. More information/help can be found in the comments inside the file.

If you want to just train the model yourself and see the tracing messages, feel free to run command python trainer.py.

Tokenizer

If you are interested in the tokenizer, it's available in the support folder with details comments explaining its usage. Its dependency includes the two files emoticons.py and twokenize.py from tweetmotif.

Pretrained model

To use our pretrained model, download the saved model file in the pretrained model folder and load the model using this code for SVM:

from joblib import load

path = "./pretrained_model/rbf.joblib"
model = load(path)

This code for loading the fine tune BERT model:

from transformers import BertForSequenceClassification

path = "./pretrained_model/fine_tune_bert/"
model = BertForSequenceClassification.from_pretrained(path)

Credits

The tokenizer we used is built upon the work from project tweetmotif.

Brendan O'Connor, Michel Krieger, and David Ahn. TweetMotif: Exploratory Search and Topic Summarization for Twitter. ICWSM-2010.

Reference papers

Quanzhi Li and Sameena Shah. Learning stock market sentiment lexicon and sentiment-oriented word vector from stocktwits. In Roger Levy and Lucia Specia, editors, Proceedings of the 21st Conference on Computational Natural Language Learning (CoNLL 2017), Vancouver, Canada, August 3-4, 2017, pages 301{310. Association for Computational Linguistics, 2017.

Anshul Mittal. Stock prediction using twitter sentiment analysis. 2011.