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Time_series_analysis__1718649022

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15 views5 pages

Time_series_analysis__1718649022

Uploaded by

golgothgolgoth039
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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1.

Data Preparation and Exploration

Step 1: Import Libraries and Load Data

import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import seaborn as sns
from statsmodels.tsa.seasonal import seasonal_decompose
from statsmodels.tsa.stattools import adfuller
from statsmodels.tsa.holtwinters import ExponentialSmoothing
from sklearn.metrics import mean_squared_error, mean_absolute_error

# Load data
data = pd.read_csv(r"C:\Users\sabar\Downloads\stock_prices.csv", parse_dates=['Date'], index_col='Date')

data = data.asfreq('D') # Ensuring the data is in daily frequency

step 2:Data cleaning

# Check for missing values


print(data.isna().sum())

# Fill missing values


data.fillna(method='ffill', inplace=True) # Forward fill for missing data

A 1296
AA 1296
AAPL 1296
ABBV 3668
ABC 1296
...
XRX 1296
XYL 3363
YUM 1296
ZION 1296
ZNGA 3408
Length: 479, dtype: int64
C:\Users\sabar\AppData\Local\Temp\ipykernel_20288\3597669525.py:5: FutureWarning: DataFrame.fillna with 'method'
is deprecated and will raise in a future version. Use obj.ffill() or obj.bfill() instead.
data.fillna(method='ffill', inplace=True) # Forward fill for missing data

Step 3: Exploratory Analysis

import pandas as pd

# Load data without parsing dates


data = pd.read_csv(r"C:\Users\sabar\Downloads\stock_prices.csv")

# Print columns to inspect names


print(data.columns)

Index(['Date', 'A', 'AA', 'AAPL', 'ABBV', 'ABC', 'ABT', 'ACN', 'ADBE', 'ADI',
...
'XEL', 'XL', 'XLNX', 'XOM', 'XRAY', 'XRX', 'XYL', 'YUM', 'ZION',
'ZNGA'],
dtype='object', length=480)

import matplotlib.pyplot as plt

# Assuming 'Close' is the correct column name for close prices


column_name = 'AA'

# Plot the time series


plt.figure(figsize=(14, 7))
plt.plot(data[column_name], label='Close Price')
plt.title('Stock Price Over Time')
plt.xlabel('Date')
plt.ylabel('Price')
plt.legend()
plt.show()
2. Time Series Decomposition

Step 1: Decomposition

import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.seasonal import seasonal_decompose

# Load data (replace with your actual data loading code)


data = pd.read_csv(r"C:\Users\sabar\Downloads\stock_prices.csv", parse_dates=['Date'], index_col='Date')

# Assuming 'AA' is the correct column name for the specific stock prices
column_name = 'AA'

# Check if the datetime index has a frequency


if data.index.freq is None:
# Set the index frequency to daily ('D')
data.index = pd.to_datetime(data.index)
data = data.asfreq('D')

# Check for missing values and handle them


if data[column_name].isnull().any():
# Fill missing values with mean (you can choose another method if appropriate)
data[column_name].fillna(data[column_name].mean(), inplace=True)

# Perform seasonal decomposition


try:
decomposition = seasonal_decompose(data[column_name], model='additive')
trend = decomposition.trend
seasonal = decomposition.seasonal
residual = decomposition.resid

# Plot decomposition
plt.figure(figsize=(14, 10))

# Original series
plt.subplot(411)
plt.plot(data[column_name], label='Original')
plt.legend(loc='upper left')
plt.title('Decomposition of Stock Prices (' + column_name + ')')
plt.ylabel('Price')

# Trend component
plt.subplot(412)
plt.plot(trend, label='Trend')
plt.legend(loc='upper left')
plt.ylabel('Trend')

# Seasonal component
plt.subplot(413)
plt.plot(seasonal, label='Seasonality')
plt.legend(loc='upper left')
plt.ylabel('Seasonality')
# Residual component
plt.subplot(414)
plt.plot(residual, label='Residuals')
plt.legend(loc='upper left')
plt.ylabel('Residuals')

plt.tight_layout()
plt.show()

except ValueError as ve:


print(f"ValueError occurred: {ve}")

3. Stationarity and Testing

Step 1: Stationarity Check

result = adfuller(data['AA'].dropna())
print(f'ADF Statistic: {result[0]}')
print(f'p-value: {result[1]}')

ADF Statistic: -1.4422715484832984


p-value: 0.5618513502999963

Step 2: Differencing (if needed)

data_diff = data['AA'].diff().dropna()

# Plot differenced data


plt.figure(figsize=(14, 7))
plt.plot(data_diff, label='Differenced Data')
plt.legend()
plt.show()

# ADF test on differenced data


result_diff = adfuller(data_diff)
print(f'ADF Statistic: {result_diff[0]}')
print(f'p-value: {result_diff[1]}')
ADF Statistic: -14.080622280112733
p-value: 2.833044828923367e-26

4. Forecasting Model Development

Step 1: Model Selection

train, test = data['AA'][:int(0.8*len(data))], data['AA'][int(0.8*len(data)):]

model = ExponentialSmoothing(train, trend='add', seasonal='add', seasonal_periods=365).fit()


predictions = model.forecast(len(test))

# Plot predictions vs actual


plt.figure(figsize=(14, 7))
plt.plot(train.index, train, label='Train')
plt.plot(test.index, test, label='Test')
plt.plot(test.index, predictions, label='Forecast')
plt.legend()
plt.show()

Step 2: Model Evaluation

Evaluate the model using metrics like Mean Absolute Error (MAE) and Mean Squared Error (MSE).

mse = mean_squared_error(test, predictions)


mae = mean_absolute_error(test, predictions)
print(f'MSE: {mse}')
print(f'MAE: {mae}')
MSE: 286.56678689794717
MAE: 15.168730210848024

5. Insightful Reporting

Here’s how to compile your findings into a detailed report.

Detailed Report

Title: Time Series Analysis and Forecasting of [Stock Name] #AA

Introduction: This report presents a comprehensive time series analysis of the historical prices of [Stock Name]EXAMBLE - AA . The
analysis involves data preparation, decomposition, stationarity testing, and forecasting. The goal is to understand the underlying patterns
in the data and make future price predictions.

Data Preparation and Exploration:

Loaded and cleaned the historical stock price data. Filled missing values using the forward fill method. Conducted an exploratory analysis
to visualize trends and calculate summary statistics.

Time Series Decomposition:

Decomposed the time series into trend, seasonality, and residual components using an additive model. Identified clear seasonal patterns
and a long-term trend in the data.

Stationarity Testing:

Conducted the Augmented Dickey-Fuller (ADF) test to check for stationarity. The series was found to be non-stationary, so differencing
was applied to achieve stationarity.

Forecasting Model Development:

Built an Exponential Smoothing model (Holt-Winters method) for forecasting. Evaluated the model's performance using Mean Squared
Error (MSE) and Mean Absolute Error (MAE).

Results:

The model provided accurate forecasts with MSE of [value] and MAE of [value]. The forecasted values closely aligned with the actual test
data, indicating the model's reliability.

Conclusion:

The analysis successfully demonstrated the efficacy of time series decomposition and forecasting techniques. The Exponential
Smoothing model proved to be a robust choice for forecasting the stock prices. Future work could involve exploring more complex
models like ARIMA, SARIMA, or machine learning approaches such as LSTM.

Appendix:

Include all code snippets used in the analysis. Provide additional plots and tables as necessary.

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