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RPubs - Stock Price Forecasting Using Time Series Analysis, Machine Learning and Single Layer Neural Network Models

The document compares several time series forecasting models on their ability to predict future prices. It finds that ARIMA and neural network models performed the best according to accuracy metrics and by predicting a tendency of higher future prices. While newer models like Prophet and KNN showed potential, they may need more tuning to achieve results on par with ARIMA and neural networks. Auto-regressive models tend to have asymptotic predictions for long-term forecasts.

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Mauricio Albini
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637 views

RPubs - Stock Price Forecasting Using Time Series Analysis, Machine Learning and Single Layer Neural Network Models

The document compares several time series forecasting models on their ability to predict future prices. It finds that ARIMA and neural network models performed the best according to accuracy metrics and by predicting a tendency of higher future prices. While newer models like Prophet and KNN showed potential, they may need more tuning to achieve results on par with ARIMA and neural networks. Auto-regressive models tend to have asymptotic predictions for long-term forecasts.

Uploaded by

Mauricio Albini
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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the models performed with similar future tendency predictions. All the models
predicted a tendency of a higher price in 30 next days. We can conclude that the
ARIMA and Neural Net models performed very well inside the prediction intervals
and the accuracy metrics. The other models as they are new in this forecasting
approach and the objective is to apply them in an intuitive form did not performed as
well as ARIMA or Neural Net models. Maybe Prophet and Knn needs more tuning
for getting more accurated results. Other very relevant point we have not mentioned
is that Auto Regressive models, as they base on the past data to predict future
values, tend to have an asymptotic prediction in long period future forecasts. Finally
we conclude that ARIMA and Neural Nets are the best predicting models in this
scenario, while incorporating GARCH to our ARIMA approach we had very
interesting results. The other models used did not performed as well as ARIMA and
Neural Nets under our metrics but this could be because they may need more
tunning phases and training, testing approaches or they are not as effective as the
other models because of their main application use in classificatory terms more than
forecasting.

References
Hyndman, Rob J., and George Athanasopoulos. “Forecasting: Principles and
Practice” Otexts. N.p., May 2012. Web.

A. Trapletti and K. Hornik (2016). tseries: Time Series Analysis and Computational
Finance. R package version 0.10-35.

R. J. Hyndman(2016). forecast: Forecasting functions for time series and linear


models . R package version 7.2, http://github.com/robjhyndman/forecast
(http://github.com/robjhyndman/forecast)>.

Irizzary,R., 2018,Introduction to Data Science,github


page,https://rafalab.github.io/dsbook/ (https://rafalab.github.io/dsbook/)

Sean J Taylor and Benjamin Letham., 2017, Forecasting at scale,


https://facebook.github.io/prophet/ (https://facebook.github.io/prophet/)

Alexios Ghalanos(2019). Rugarch: Univariate GARCH Models. R package version


1.4-1, http://github.com/robjhyndman/forecast
(http://github.com/robjhyndman/forecast)>.

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