Négociations intégratives
Download
Report
Transcript Négociations intégratives
ECIG 2007
Modeling www time series
The research opportunity
A word on time series models
Data
Models
Results
What have we learned?
Next steps
2007
Stéphane Gauvin
FSA - ULaval
Research opportunity
CSR: Organizations manage a widening set of stakeholders
The digital sphere has become the Übermedia
Voices are innumerable
Which voice will become dominant? (eg: anti-smoking, fat lawsuits, vegetarianism)
General question is:
Power of exit
Power of voice
Can we measure and forecast real-world opinions merely by listening to the digital sphere?
Today’s question is:
How strong is the signal in the digital sphere?
2007
Stéphane Gauvin
FSA - ULaval
A word on timeseries models
Marketing is concerned with theory building
Data mining is atheoretical
Trends are as a nuisance
First step is to take first and second differences
VAR and/or co-integration
Dekimpe & Hanssens IJRM 2000, WP 2006
Franses JMR 2005
2007
Stéphane Gauvin
FSA - ULaval
Into the looking glass
The digital sphere is invisible. It is queried (googled)
We all google all the time to retrieve specific instances
Swammer searches to count instances
2007
Stéphane Gauvin
FSA - ULaval
Swammer
Build an intelligent set of queries to compute index
Shown to be close to survey data
2007
Stéphane Gauvin
FSA - ULaval
Illustrative data
2007
Stéphane Gauvin
FSA - ULaval
Robust or else
2007
Stéphane Gauvin
FSA - ULaval
Storms obscure trends
2007
Stéphane Gauvin
FSA - ULaval
French presidental
2007
Stéphane Gauvin
FSA - ULaval
Royal / Sarkozy
2007
Stéphane Gauvin
FSA - ULaval
Industry data
2007
Stéphane Gauvin
FSA - ULaval
Models
Parametric trend models
Robust estimator (M-reg)
2007
Stéphane Gauvin
FSA - ULaval
SSA
Singular Spectrum Analysis (SSA) (Golyandina et al. 2000)
Non parametric applications to the digital sphere
Bagchi & Mukhopadhyay (2006) (overall growth of the Internet)
Papagiannaki et al. (2005) (overall backbone traffic)
SSA applications
Ghil et al. (2002) (climatology)
Balazs & Chaloupka (2004) (biology)
Koelle & Pascual (2004) (epidemiology)
Antoniou et al. (2003) (wavelet model / Internet traffic)
Edwards (2006) (dissertation / US Navy related series)
2007
Stéphane Gauvin
FSA - ULaval
Caterpillar-SSA
It is based on the idea of time series embedding into finitedimensional space and following application of singular value
decomposition (SVD) to the trajectory matrix (that is the result of
time series embedding). The components of SVD are uniquely
juxtaposed to the additive components of the original time series.
Thereby we obtain the decomposition of the time series into
additive components together with the information about them.
This information is represented by the collection of singular vectors
and signular values of the SVD.
2007
Stéphane Gauvin
FSA - ULaval
Caterpillar-SSA
Opérationnellement
1. Construire une matrice de vecteurs décalés (dim L/2)
2. Extraire les valeurs propres
3. Regrouper les eigen-vecteurs en trois groupes
1. Tendance (auto-corrélations varient lentement)
2. Cycles (auto-corrélations varient rapidement)
3. Bruit (cycles de fréquence arbitraire)
2007
Stéphane Gauvin
FSA - ULaval
Caterpillar-SSA
2007
Stéphane Gauvin
FSA - ULaval
Results - presidential
2007
Stéphane Gauvin
FSA - ULaval
Results - presidental
2007
Stéphane Gauvin
FSA - ULaval
Results - Industry
2007
Stéphane Gauvin
FSA - ULaval
Results - Industry
2007
Stéphane Gauvin
FSA - ULaval
Results - Industry
2007
Stéphane Gauvin
FSA - ULaval
Conclusions
Good signal-to-noise ratio
Estimation must be robust
SSA
Trend is easily extracted and follows closely the original series
Not robust to extreme values
M-NL
Dominant technique for large scale scenario
Sometimes, sensitive to seed values
2007
Stéphane Gauvin
FSA - ULaval
Next
Build a tracking system
M-NL to signal shifts
autoSSA to produce rich trend summaries
Explore forecasting models
Fitting and forecasting are not the same
Longer series to test rolling holdout samples
Validity issues
Anecdotal evidence of close tracking
Presidential series raises questions as to what the signal means
2007
Stéphane Gauvin
FSA - ULaval