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- Creators: Meuth, Ryan
Description
Cryptocurrencies have become one of the most fascinating forms of currency and economics due to their fluctuating values and lack of centralization. This project attempts to use machine learning methods to effectively model in-sample data for Bitcoin and Ethereum using rule induction methods. The dataset is cleaned by removing entries with missing data. The new column is created to measure price difference to create a more accurate analysis on the change in price. Eight relevant variables are selected using cross validation: the total number of bitcoins, the total size of the blockchains, the hash rate, mining difficulty, revenue from mining, transaction fees, the cost of transactions and the estimated transaction volume. The in-sample data is modeled using a simple tree fit, first with one variable and then with eight. Using all eight variables, the in-sample model and data have a correlation of 0.6822657. The in-sample model is improved by first applying bootstrap aggregation (also known as bagging) to fit 400 decision trees to the in-sample data using one variable. Then the random forests technique is applied to the data using all eight variables. This results in a correlation between the model and data of 9.9443413. The random forests technique is then applied to an Ethereum dataset, resulting in a correlation of 9.6904798. Finally, an out-of-sample model is created for Bitcoin and Ethereum using random forests, with a benchmark correlation of 0.03 for financial data. The correlation between the training model and the testing data for Bitcoin was 0.06957639, while for Ethereum the correlation was -0.171125. In conclusion, it is confirmed that cryptocurrencies can have accurate in-sample models by applying the random forests method to a dataset. However, out-of-sample modeling is more difficult, but in some cases better than typical forms of financial data. It should also be noted that cryptocurrency data has similar properties to other related financial datasets, realizing future potential for system modeling for cryptocurrency within the financial world.
ContributorsBrowning, Jacob Christian (Author) / Meuth, Ryan (Thesis director) / Jones, Donald (Committee member) / McCulloch, Robert (Committee member) / Computer Science and Engineering Program (Contributor) / School of Mathematical and Statistical Sciences (Contributor) / Barrett, The Honors College (Contributor)
Created2018-05
Description
Behavioral economics suggests that emotions can affect an individual’s decision making. Recent research on this idea’s application on large societies hints that there may exist some correlation or maybe even some causation relationship between public sentiment—at least what can be pulled from Twitter—and the movement of the stock market. One major result of consistent research on whether or not public sentiment can predict the movement of the stock market is that public sentiment, as a feature, is becoming more and more valid as a variable for stock-market-based machine learning models. While raw values typically serve as invaluable points of data, when training a model, many choose to “engineer” new features for their models—deriving rates of change or range values to improve model accuracy.
Since it doesn’t hurt to attempt to utilize feature extracted values to improve a model (if things don’t work out, one can always use their original features), the question may arise: how could the results of feature extraction on values such as sentiment affect a model’s ability to predict the movement of the stock market? This paper attempts to shine some light on to what the answer could be by deriving TextBlob sentiment values from Twitter data, and using Granger Causality Tests and logistic and linear regression to test if there exist a correlation or causation between the stock market and features extracted from public sentiment.
Since it doesn’t hurt to attempt to utilize feature extracted values to improve a model (if things don’t work out, one can always use their original features), the question may arise: how could the results of feature extraction on values such as sentiment affect a model’s ability to predict the movement of the stock market? This paper attempts to shine some light on to what the answer could be by deriving TextBlob sentiment values from Twitter data, and using Granger Causality Tests and logistic and linear regression to test if there exist a correlation or causation between the stock market and features extracted from public sentiment.
ContributorsYu, James (Author) / Meuth, Ryan (Thesis director) / Nakamura, Mutsumi (Committee member) / Computer Science and Engineering Program (Contributor, Contributor) / Barrett, The Honors College (Contributor)
Created2020-05
Description
Machine learning is the process of training a computer with algorithms to learn from data and make informed predictions. In a world where large amounts of data are constantly collected, machine learning is an important tool to analyze this data to find patterns and learn useful information from it. Machine learning applications expand to numerous fields; however, I chose to focus on machine learning with a business perspective for this thesis, specifically e-commerce.
The e-commerce market utilizes information to target customers and drive business. More and more online services have become available, allowing consumers to make purchases and interact with an online system. For example, Amazon is one of the largest Internet-based retail companies. As people shop through this website, Amazon gathers huge amounts of data on its customers from personal information to shopping history to viewing history. After purchasing a product, the customer may leave reviews and give a rating based on their experience. Performing analytics on all of this data can provide insights into making more informed business and marketing decisions that can lead to business growth and also improve the customer experience.
For this thesis, I have trained binary classification models on a publicly available product review dataset from Amazon to predict whether a review has a positive or negative sentiment. The sentiment analysis process includes analyzing and encoding the human language, then extracting the sentiment from the resulting values. In the business world, sentiment analysis provides value by revealing insights into customer opinions and their behaviors. In this thesis, I will explain how to perform a sentiment analysis and analyze several different machine learning models. The algorithms for which I compared the results are KNN, Logistic Regression, Decision Trees, Random Forest, Naïve Bayes, Linear Support Vector Machines, and Support Vector Machines with an RBF kernel.
The e-commerce market utilizes information to target customers and drive business. More and more online services have become available, allowing consumers to make purchases and interact with an online system. For example, Amazon is one of the largest Internet-based retail companies. As people shop through this website, Amazon gathers huge amounts of data on its customers from personal information to shopping history to viewing history. After purchasing a product, the customer may leave reviews and give a rating based on their experience. Performing analytics on all of this data can provide insights into making more informed business and marketing decisions that can lead to business growth and also improve the customer experience.
For this thesis, I have trained binary classification models on a publicly available product review dataset from Amazon to predict whether a review has a positive or negative sentiment. The sentiment analysis process includes analyzing and encoding the human language, then extracting the sentiment from the resulting values. In the business world, sentiment analysis provides value by revealing insights into customer opinions and their behaviors. In this thesis, I will explain how to perform a sentiment analysis and analyze several different machine learning models. The algorithms for which I compared the results are KNN, Logistic Regression, Decision Trees, Random Forest, Naïve Bayes, Linear Support Vector Machines, and Support Vector Machines with an RBF kernel.
ContributorsMadaan, Shreya (Author) / Meuth, Ryan (Thesis director) / Nakamura, Mutsumi (Committee member) / Computer Science and Engineering Program (Contributor, Contributor) / Dean, W.P. Carey School of Business (Contributor) / Barrett, The Honors College (Contributor)
Created2020-05