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Fixed notebook
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nils-braun committed Jun 14, 2023
1 parent 2203f74 commit 3656b8c
Showing 1 changed file with 32 additions and 4 deletions.
36 changes: 32 additions & 4 deletions notebooks/05 Timeseries Forecasting.ipynb
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{
"cells": [
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"# Timeseries Forecasting"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"## Reading the data"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"## Create training data sample"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"If you now group by the new `id` column, each of the groups will be a certain stock symbol until and including the data until a certain day (and including the last 20 days in the past).\n",
"\n",
"Whereas we started with 1259 data samples:"
"Whereas we started with 1257 data samples:"
]
},
{
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"we now have 1254 unique windows (identified by stock symbol and ending date):"
"we now have 1252 unique windows (identified by stock symbol and ending date):"
]
},
{
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"The process is also shown in this image (please note that the window size is smaller for better visibility):"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"<img src=\"./stocks.png\"/>"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"## Extract Features"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"Just to repeat: the features in this row were only calculated using the time series values of `AAPL` up to and including `2015-07-14` and the last 20 days."
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"## Prediction"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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"metadata": {},
"outputs": [],
"source": [
"y[\"2020-07-13\"], df[\"2020-07-14\"].iloc[0]"
"y[\"2020-07-13\"], df[\"2020-07-14\"]"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
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"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.7.7"
"version": "3.10.9"
}
},
"nbformat": 4,
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