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Supporting Investment Decision Using Socio-

Economic Issues Exploration and Stock Price


Prediction
Andry Alamsyah1, Muhammad Tahta Arasyi2, Brady Rikumahu3
School of Economic and Business
Telkom University, Bandung, Indonesia
1
andrya@telkomuniversity.ac.id, 2tahtaarasyi@student.telkomuniversity.ac.id, 3bradyrikumahu@telkomuniversity.ac.id

Abstract—Today, technology becomes the effective medium for Sentiment analysis function is to map the investor opinion
spreading the information. They bring news and issues to reach a for supporting investment decision. Sentiment analysis illustrate
vast audience, including business-related news. The socio- the investor opinion associated with the dynamics of the stock
economic implications are huge, one of them impacted the changes price. Information disseminates every day, and the effect make
in stock prices and creates the value uncertainty. Therefore, the the uncertainty condition on the market. Nevertheless, the
requirement of market information and stock prediction is crucial investor needs the maximum values for the best investment
for investment decision making. the of this study is first to explore decision [1], therefore predictive activities is essential to gain
the relations between socio-economic issue and stock price, second future values. Data analytics objective is to find the meaningful
to predict stock price future value. We choose IDX LQ 45 2017 as
pattern on the dataset with the technique for structural data such
the case study. We use sentiment analysis to fulfill first objective
and ANN model using their highest and lowest price, open and
as description, estimation, association, clustering, classification
close price, and also transaction volume for second objective. We and prediction [2]. The conventional approach to predict stock
use Support Vector Machine (SVM) and Naïve Bayes Classifier price is using time series model based on historical data, but it
(NBC) as training classifier according to time and polarity. The only captures the limited number of data attribute, while
results show 75% positive correlation between sentiment and the Artificial Neural Network capture seemingly unrelated and
dynamics of stock prices. SVM classifier gives a better result than nonlinear relationship between data attributes [3]
Naïve Bayes Classifier, proved by 62% precision, 52.33% recall,
Previous research shows the news used for stock price
78.01% accuracy, 56.75% f-measure and 0.1 KAPPA. Our ANN
based prediction model able to predict future stock price with
prediction. Plan, usage, and assessment of performance utilized
99.93% accuracy level. The conclusion of this research is sentiment to anticipate future stock price based on the information testing
analysis and stock price prediction have the potential for from web-based social networks. News carries the information
supporting investor decision using socio-economic issues and stock and data related to the specific company, it builds the investor
price prediction. opinion about the organization's policies, growth and
performance. The research reveals the strong correlation
between the original stock price curve and effective positive
Keywords—investment; stock; socio-economic; sentiment index curve, generated from predictive news mining model. The
analysis; prediction; artificial neural network lack of previous research is it cannot show the stock price
prediction well. [4,5,6].
I. INTRODUCTION
The objective of this study is first to explore the relationship
The rate of today technology development makes between socio-economic issue and stock price using sentiment
information travel faster and efficient. The information analysis and the second is to predict stock price using the
including business-related news and socio-economic factors. On artificial neural network. Sentiment analysis is useful for
the stock investment, the socio-economic factors affect the supporting investment decision by analyzing investor opinion,
dynamic of the stock price. It used for supporting the investment and ANN is used to find good predictor or model by analyzing
decision. Socio-economic condition influence investor opinion, stock price historical data. It has most accurate prediction results
thus lead to the certain investment decision. The investor opinion compared to others prediction modelling [7,8,9].
makes the dynamics of stocks values.
The IHSG consists of 9 indexes the example is IDX LQ 45. II. THEORETICAL BACKGROUND
This paper is using the sample of IDX LQ-45 stock on 2017. It A. Investment
consists of high liquidity companies on the capital market. There
Investment defines as the commitment of money or other
are many companies on each semester, therefore we limit the
resources to make the future profit, investment term or capital
companies for 36 companies that categorized as a stable
company in the first and second semester. formation that determines the aggregate expenditure level and
investment for the company is to buy capital goods and
equipment to increase the goods and services in the economy
[10]. On the investment, risk and return are two essential III. METHODOLOGY
concepts. Investors are keeping their assets of targeted rate
return. The risk defines by uncertainty condition when expected To make the better understanding, we use research
return on an investment may not realize and equates the frameworks on Fig.1. The figure 1 illustrates what will we do
investment potential to incur the financial loss, while the return on this research. First we identify how the issues on stock price
is a measurement of investment performance [11]. affects the changing of stock price, the second we use the socio
economic issues on the news and others online sourcing to make
B. Efficient Market Hypothesis (EMH) the prediction about the present stock price. It useful for making
Efficient market hypothesis (EMH) is a market condition the best investment decision.
where the information reflects the stock price forming.
Information provided includes all the past and current Issue
information or opinion that influence the market price changes.
This concept implies securities price adjustment to new
equilibrium price because of information response. The market Stock Price (t)
supposed over-adjusted or under-adjusted when responds to the
new information. EMH classified into three level, there are
weak, semi and strong form dependent on information Sentiment
characteristics [10]. (Positive/Negative)

C. Market Analysis
The market analysis function is to forecast the market Prediction
dynamics. It is essential to understand the stock price,
macroeconomic and market condition. To have the best
investment decision, we use three investment decision-making ANN
strategies, there is fundamental, technical and sentiment
analysis. Technical analysis used to determine general trends in
general, while sentiment analysis used to determine the current Stock Price (t+1)
trend and reversal a trend by mapping investor opinion. [12].
Fig 1. Research Framework
D. Sentiment Analysis
Sentiment analysis is mapping the investor sentiment on the This research methodology using two methods, there are
market to make investment decision [12]. Sentiment analysis sentiment analysis to analyze market sentiment and prediction
takes social event sentiment, political movements, marketing analysis using ANN to gain future values. Sentiment analysis is
campaigns, product preferences, marketing failures and doing with first determining the correlation between issues and
understanding the market opinions. The sentiment is essential on the dynamics of stock prices and the second is stock prediction
big data to understand the people opinion about a topic or using historical data. To clarify the description, it will describe
detection of sentiment response [13]. in Fig. 2 and Fig. 3.
E. Prediction
Training Data using
Prediction is the process of estimating the future event Data
Data Collecting SVM and Naive
Preprocessing
according to past and present information to minimize the error Bayes, Classifier
and difference between actual and the expected result [14]. An
accurate prediction of stock price index movements is essential
to develop effective market strategy, hence the investor can Illustrate the Sentiment
minimize the market risk and maximize the opportunity to make The dynamics Accuracy Testing Data
profit with stock trading [15]. Prediction in data mining is a of stock prices Measurement
model to extract input variables and converted using formulas to Fig 2. Sentiment Analysis Workflow
predict the output variables. There are some prediction
techniques including neural network, rule introduction, and case- Data Collecting Data Training Backpropagation
based reasoning [16].
F. Artificial Neural Network (ANN) ANN Error measurement and
Weight
Artificial Neural Network (ANN) is mathematical inventions accuracy
Transformation
inspired by observations of the biological systems studies. The (MAPE,MAE,RMSE)
purpose of a neural network is mapping an input into output Fig 3. ANN Workflow
patterned after the interconnections between neurons found in
biological systems, ANN is no more related to real neurons. Both A. Sentiment Analysis
biological systems and neurons serve a useful purpose, but the Sentiment analysis function is to map the investor opinion.
implementation of the principals involved has resulted in man- The way is using socio-economic issues exploration in the
made inventions that bear little resemblance to the biological market. The variable of sentiment consists of time and polarity.
systems that spawned the creative process [17].
We describe some steps for sentiment analysis. The steps are as model [19]. Accuracy is the most essential for sentiment analysis
follows: measurement to see the successful data classified [20]. Table I
shows the accuracy measurement.
1) Data Collecting TABLE I. ACCURACY MEASUREMENT.
Data collecting is a process of collecting data from social
media. The data collected from Telegram Community, for Measure Formula
example, Saham Syariah, IndoKaskus, Investing.com and 𝑇𝑃
Bareksa which containing meaningful information. The data Precision
𝑇𝑃 + 𝐹𝑃
consists of socio-economic issues, such as the information of
𝑇𝑃
company acquisition, the drop-down value of IDX LQ-45 and Recall
any cases of IDX LQ-45 companies member. We collected data 𝑇𝑃 + 𝐹𝑁
manually about IDX LQ-45 issues on 2017. The data collecting 𝑇𝑃 + 𝑇𝑁
Accuracy
is 690 raw data. 𝑇𝑃 + 𝑇𝑁 + 𝐹𝑃 + 𝐹𝑁
2 ∗ 𝑃𝑟𝑒𝑐𝑖𝑠𝑖𝑜𝑛 ∗ 𝑅𝑒𝑐𝑎𝑙𝑙
F-Measure
2) Data Preprocessing 𝑃𝑟𝑒𝑐𝑖𝑠𝑖𝑜𝑛 + 𝑅𝑒𝑐𝑎𝑙𝑙
Data Preprocessing is important in the data mining process. 𝑃𝑜 − 𝑃𝑒
The principle of garbage in and garbage out interpreted on data KAPPA
1 − 𝑃𝑒
mining and machine learning. Three steps of data preprocessing
are Tokenization used to separate full text to be a phrase and
symbol, second reducing non-letter character. Filtering used to
clean data from characters or un-important symbols such as read
mark and conjunction. Stemming is a reducing the sentence and
make every word to be a single word. We successfully collected
639 meaningful data.

3) Training Data Using Support Vector Machine (SVM) and Fig 4. Confusion Matrix.
Naïve Bayes Classifier (NBC)
Sentiment analysis based on machine learning categorized as The confusion matrix in Fig. 4 used to measure the
supervised learning, therefore we utilize training and testing classification method performance and information about
data. We need two classifier training models such as SVM and comparison of the classification results performed by the system
NBC to find the best classifier for the data training. SVM is to actual results. On the confusion matrix, there are consists of
finding the best hyperplane and divides a data set into two four measurement True positives (TP) refers to the positive
classes. SVM have high accuracy, works well on smaller tuples that were correctly labeled by the classifier. True
datasets and efficient because it uses training points subset. negatives (TN) is the negative tuples that correctly labeled by the
While NBC is the simplest and commonly used classification classifier. False positives (FP) is negative tuples that incorrectly
methods. This classification calculates the probability of a labeled as positive. False negatives (FN) is positive tuples that
category based on the number of word distributions in a dataset. mislabeled as negative [21].
Therefore, we compared for both classifiers. They are both
sensitive to parameter optimization. [18].
6) Illustrating the Dynamics of Stock Price
The dynamics of stock prices illustrate the action on the
4) Testing Data market. A correlation between sentiment to stock price changes
Testing Data is utilized to test the data training and explain bring the stock prices dynamics. To show the dynamics of stock
whether the data is successfully classified. Several experiment prices, we capture the movement without calculating the slope
data split classification. The data split classified into 70:30, gradient. We use the line graph because it gives information that
10:90 and 20:80. We do the preliminary test to determine the connects in some way such as over time changing.
best accuracy. The result is we use 70:30 data split for training
and testing data. B. ANN Predictive Model
ANN predictive modeling is the best method for predicting.
5) Sentiment Analysis Evaluation Measurement This method used to build a predictive model that generate error
Sentiment analysis evaluation measurement have the minimum prediction. Artificial neural networks (ANNs) are
function to test the sentiment model and review the classification flexible computing frameworks and universal approximators
performance from the total amount of predicted data. The that can be applied to a wide range of time series forecasting
sentiment evaluation measurement through precision, accuracy, problems with a high degree of accuracy [22].
kappa, and f-measure. First, precision is a true percentage of
positive estimates to review the accuracy of information, second, From several predictive model method, ANN as a soft
recall is a positive label percentage expected to be positive to computing technique are the most accurate and widely used as
review the completeness of the data, third, f-measure is the forecasting models in many areas including social, engineering,
combination of precision and recall utilized to see the balance economic, business, finance, foreign exchange, and stock
between recall and precision equally important, fourth, kappa is problems [22,23,24,25]. Previous result shows the superiority of
to determine the size of acceptable accuracy in the classification neural networks model over ARIMA model. The findings
further resolve and clarify contradictory opinions reported in hyperbolic tan activation function. In training, each training
literature over the superiority of neural networks and ARIMA datasets trained accorning to Table II.
model and vice versa [26]. TABLE II. ANN PARAMETER SETTING.
ANN requires huge data to make the good prediction. The
Parameters Levels
prediction using ANN method in this work using multilayer
Epochs 1000
perceptron models that consists of ten variable input, one hidden
Learning Rate 0.2
layer, and one output. We use several architecture of ANN, first
Input Neuron 10
multilayer feedforward, backpropagation, weight transformation Hidden Neuron 20
and the last is accuracy measurement. We describe on the below. Output Neuron 1
We use input-hidden-output layer architecture to building ANN Training Function Levenberg-
predictive modelling, the architecture layer input we use is 10, 4 Marquandt
hidden layers consists of 10,20,30 and 50 and 1 output to gain Activation Function Hyperbolic Tan
the best prediction value. On fig. 5, we illustrate the basic models (tanh)
of ANN.
4) ANN Accuracy Measurement
The accuracy measurement is important to define the model
evaluation and measure error rate using ANN mathematic
formula, such as Root Mean-Squared Error (RMSE), Mean
Absolute Error (MAE), and Mean Absolute Percentage Error
(MAPE) for each dataset. MAE is the average over the
verification sample of absolute values differences between
forecast and the corresponding observation. RMSE is a quadratic
Fig 5. ANN Architecture. scoring rule which measures the average magnitude of the error.
It is the difference between forecast and corresponding observed
1) Multilayer Feedforward values are each squared and MAPE is the average of the error
Multilayer feedforward is the most common kinds of ANN percentage or difference between the actual and the forecasting
to approximate functions. On this layer, the neurons are ordered data. Accuracy sizes are match to time series data in percentages
in layers, starting with an input layer and ending with an output standard. It gives the representation of near-zero error item and
layer. There are many hidden layers between input and output generates a distortion to the error rate. The formulas written as
layers, therefore multilayer feedforward ANN include two in (1), (2), and (3).
different phrases [27] there are training phase and execution
phase. In training phase, ANN is trained on a set of training data √∈ (𝑛𝑓 − 𝑛𝑎)2
𝑅𝑀𝑆𝐸 = (1)
samples, after that, it returns a specific output when give the 𝑚
input. In execution phase, ANN returns the new outputs ∈ [𝑛𝑓 − 𝑛𝑎]
according to the new inputs. The characteristics ensure that ANN 𝑀𝐴𝐸 = (2)
𝑚
can approximate fitness function in differential evolution [28].
The multilayer is more appropriate than single layer architecture 1 ∈ [𝑛𝑓 − 𝑛𝑎]
because it beneficial to minimize the error, consist of input- 𝑀𝐴𝑃𝐸 = ∗ ∗ 100% (3)
𝑚 𝑛𝑎
hidden-output layer.
2) Backpropagation IV. RESULT AND ANALYSIS
Backpropagation is the second steps of ANN processing, in
this step, we calculate difference and faulty of output structure A. Sentiment Analysis
to target value. We backpropagate the faulty values from the line Sentiment analysis function is to map the investor opinion,
correlate to the unit in the target layer. We utilize used to find the association between socio-economic issues to
Backpropagation to minimize the error. Backpropagation the stock price. The stock price change indicates the return get
method used in artificial neural networks by calculate the by the investor using the changing of closing price (t) and closing
gradient and weights used in the network. price (t-1). Table III shows accumulated data of IDX LQ-45
sentiment (issues classification) and average stock price
We use one hidden layer in backpropagation because it more changing in 2017 applied for each month.
appropriate than two or more hidden layers. Ten variables on this
research are previous and past time of opening price, daily Table III shows market sentiment correlation to the stock
highest, daily lowest price, closing price, and trading volume of price changing. The value of sentiments influenced by the
the day (t-1&t) [1]. existing issues on the market if there is high sentiment score it
indicates the event in the market. The increasing value of
3) Weight Transformation sentiment indicates it will be increasing amount of information.
After obtaining all the value factor, the network weight is The result reveals 75% positive correlation proved by 9-month
adjusted with the value factor. Then continuously repeated the positive sentiment in 2017, meanwhile on the other month, for
training data patterns (one epoch). To make training model of example, January, May, and June there is 3 months with negative
ANN, we use 1000 epoch, 10 input neuron, 20 hidden nodes, 1 correlation.
output layer, Levenberg-Marquardt training function and
TABLE V. ANN CONFIGURATION.

TABLE III. IDX LQ-45 SENTIMENT AND STOCK PRICE CHANGE.


No Configuration Error Rate
Stock Stock 1 10-10-1 0.13472
Month Sentiment Price Month Sentiment Price 2 10-20-1 0.00044
Change Change 3 10-30-1 0.00053
January -53 2,06% July 44 -1,8% 4 10-50-1 0.00055
February 7 0,35% August 70 0,03%
March 84 2,13% September 33 1,06% From several experiments as shown in Table V, we
April 76 1,29% October 44 0,77% determine the best configuration with the lowest error rate is 10-
May 30 -0,81% November 42 2,26% 20-1 network architectures configuration. The configuration
June 25 -0,57% December 17 3,26% influent to prediction price result.
TABLE IV. EVALUATION MODEL MEASUREMENT RESULT.
TABLE VI. PREDICTION RESULTS BETWEEN ACTUAL AND
PREDICTED PRICE IN IDR CURRENCY.
Classifier Accuracy KAPPA Precision Recall F-measure
Date Actual Predicted Date Actual Predicted
SVM 78.01% 10% 62.00% 52.33% 56.75%
02/01/2018 1056 1085 17/01/2018 1098 1100
NBC 54.45% 16% 58.33% 62.14% 60,17% 03/01/2018 1067 1067 18/01/2018 1100 1104
04/01/2018 1080 1073 19/01/2018 1101 1088
05/01/2018 1086 1070 22/01/2018 1132 1111
The evaluation model measurement based on machine
08/01/2018 1083 1093 23/01/2018 1124 1137
learning shows in Table IV. The annotation and validation of
09/01/2018 1081 1091 24/01/2018 1117 1128
sentiment analysis are using confusion matrix. Our experiment
10/01/2018 1084 1087 25/01/2018 1126 1123
shows Support Vector Machine (SVM) give better accuracy than
11/01/2018 1082 1090 26/01/2018 1126 1119
Naïve Bayes Classifier (NBC). Our cases prove that SVM more
successful to classify the sentiment than NBC. It based on the 12/01/2018 1084 1092 29/01/2018 1103 1073
characteristics of SVM that works for small data. SVM has 15/01/2018 1093 1072 30/01/2018 1105 1131
correct perform to classify sentiment class (TP, TN, FP, FN).
Table VI indicates the actual and prediction price value. The
The next description is illustration of sentiment dynamic and prediction results obtained through the ANN work process. The
stock price changes dynamics. Fig. 6 shows the dynamics of prediction results affect the decision-making by investors. If the
stock price during the issues. predicted value through ANN lower than the actual predicted
value, it indicates that the ANN model is worse. Our research
shows the prediction price is close to the actual price which
means ANN model is good for the prediction model. The
dynamics shown on Fig. 6. The red line illustrates predicted
price while blue line illustrates the actual price value.
The measurement of accuracy and error difference is
processing on the next description. The dynamic of prediction
price compared to actual price illustrate in Fig. 7. The figure
shows both actual price compared to the prediction price of IDX
LQ-45 for 2018 period.
Fig 6. Correlation of Sentiment to Stock Price Changing.

The data according to Table III. The blue graph explains the
sentiment dynamics and the red line is stock price changing. We
only see the dynamics of stock prices without calculating the
gradient slope because the focus only to see the graph shifting
caused by socio-economic issues. The sentiment reflected by the
information on the capital market.
B. Prediction
Stock price prediction used to make the best investment Fig 7. Actual Price vs Predicted Price Stock Price Value.
decision. With understanding the future stock value, it very
benefits for the investor because the prediction value indicates To identify how ANN works on this predictive model, we
the future stock performance, whether it will be increase or measure using accuracy measurement. We see the accuracy
decrease. Market sentiment requires as the primary factor to measurement on Table VII below.
predict. We experiment four configuration using a-b-c
configuration consists of the input-neuron-output layer.
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