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    Stock Price Prediction: By: Aarushi Sunderrajan (S0 Paridhi Deval (S0 Pranjal Gupta (S059)

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    Pranjal Gupta
    The document discusses predicting stock prices using time series forecasting models like ARIMA and SARIMA. It first provides an overview of stock price prediction and time series analysis. It then discusses the methodology used, which is to apply ARIMA and SARIMA models to historical stock price data of Tata Motors to predict future prices. The key steps involve identifying the appropriate ARIMA or SARIMA model based on the characteristics of the time series data like stationarity, then fitting the model and generating forecasts. The document provides details on how ARIMA and SARIMA models work and how they were applied to predict Tata Motors stock prices using Python.

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    Stock Price Prediction: By: Aarushi Sunderrajan (S0 Paridhi Deval (S0 Pranjal Gupta (S059)

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    Pranjal Gupta
    17 views34 pages
    The document discusses predicting stock prices using time series forecasting models like ARIMA and SARIMA. It first provides an overview of stock price prediction and time series analysis. It then discusses the methodology used, which is to apply ARIMA and SARIMA models to historical stock price data of Tata Motors to predict future prices. The key steps involve identifying the appropriate ARIMA or SARIMA model based on the characteristics of the time series data like stationarity, then fitting the model and generating forecasts. The document provides details on how ARIMA and SARIMA models work and how they were applied to predict Tata Motors stock prices using Python.

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    The document discusses predicting stock prices using time series forecasting models like ARIMA and SARIMA. It first provides an overview of stock price prediction and time series analysis. It then discusses the methodology used, which is to apply ARIMA and SARIMA models to historical stock price data of Tata Motors to predict future prices. The key steps involve identifying the appropriate ARIMA or SARIMA model based on the characteristics of the time series data like stationarity, then fitting the model and generating forecasts. The document provides details on how ARIMA and SARIMA models work and how they were applied to predict Tata Motors stock prices using Python.

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    © All Rights Reserved
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    Download as pptx, pdf, or txt
    17 views34 pages

    Stock Price Prediction: By: Aarushi Sunderrajan (S0 Paridhi Deval (S0 Pranjal Gupta (S059)

    Uploaded by

    Pranjal Gupta
    The document discusses predicting stock prices using time series forecasting models like ARIMA and SARIMA. It first provides an overview of stock price prediction and time series analysis. It then discusses the methodology used, which is to apply ARIMA and SARIMA models to historical stock price data of Tata Motors to predict future prices. The key steps involve identifying the appropriate ARIMA or SARIMA model based on the characteristics of the time series data like stationarity, then fitting the model and generating forecasts. The document provides details on how ARIMA and SARIMA models work and how they were applied to predict Tata Motors stock prices using Python.

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    You are on page 1of 34

    Stock Price

    Prediction
    By:
    Aarushi Sunderrajan (S0
    Paridhi Deval (S0
    Pranjal Gupta (S059)
    Overview

    Contents Introduction
    About the Subject
    Methodology
    Objectives
    Types of patterns with time
    What is ARIMA?
    Time series forecasting with ARIMA
    What is SARIMA?
    Result
    Conclusions
    Short Comings
    Future scope
    Bibliography
    Acknowledgement
    Overview

    • Stock price prediction using machine learning helps you discover


    the future value of a company stock and other financial assets traded
    on an exchange.
    • The entire idea of predicting stock prices is to gain significant
    profits.
    • Predicting how the stock market will perform is a hard to do.
    • All investors come across the question:
    Introduction “What will be the price of this stock in future?”
    • This question has given birth to many studies, theories, beliefs and what
    not! Many have created millions of models which aims to predict prices
    based on some reasonable logic. All efforts have led to a conclusion that
    there is no one size fits all model. However, it will be incorrect to
    assume that prices cannot be predicted at all.
    • Prices tend to have some patterns and can be predicted to some
    degree. A general understanding of the price behavior should be
    sufficient to make money in this market. Understanding ‘the direction of
    wind’ presents sufficient opportunities for one to take advantage of the
    scenario. You will make money as and when the scenario plays out in
    your favor and the rest could be managed by risk management
    techniques.
    • Prices tend to follow patterns as time passes because certain factors play
    Introduction out again and again over time which impact the price of an asset. Price of
    an asset depend of many factors like economic scenarios, government
    actions and consumption patterns. These factors follow a cycle (in which
    they expand, contact and again expand) over time which as a result make
    the prices of assets follow a cyclical pattern.
    • Let me share an exciting data to explain this:

    YEAR EVENT
    In 1981-82 Iranian Revolution
    In 1990’s Oil price shock
    In 2000 Dot-com bubble
    In 2008 Sub-prime crisis
    In 2020 COVID crisis
    About the Subject

    Time Series Forecasting means analyzing and modeling time-series


    data to make future decisions. Some of the applications of Time
    Series Forecasting are weather forecasting, sales forecasting,
    business forecasting, stock price forecasting, etc. The ARIMA
    model is a popular statistical technique used for Time Series
    Forecasting. If you want to learn Time Series Forecasting with
    ARIMA, this article is for you.
    Methodology
    • We will be using the ARIMA model to forecast the prices of Tata
    Motors Ltd. To do the forecast we will be using Python tool. The
    process is broken into multiple steps where we will see the relevant
    code and what it does. The Python file that we created is also attached
    at the end of this presentation for reference.

    • Tata Motors Limited is an Indian multinational automotive


    manufacturing company, headquartered in Mumbai, India, which is
    part of the Tata Group. The company produces passenger cars, trucks,
    vans, coaches, buses. One of the reason for selecting this stock is that
    this stock has one of the highest market cap in the Indian stock
    markets and hence offers good liquidity to trade in it.
    Objectives
    To predict an outcome based on time series data, we can use a
    time series model which is called Auto Regressive Integrated
    Moving Average (ARIMA) is used as the machine learning
    technique to analyze and predict future stock prices based on
    historical prices.

    Key Points
    • Trends - Price of assets follow a general direction over a long period of
    Types of Patterns in time, irrespective of the short term behavior. There are only three
    directions in which prices can go – upwards (uptrend), downwards
    (downtrend) and sideways trend.
    price with time
    • Seasonality and cyclicality – Repeating price action over periods of
    Types of Patterns in months is referred to as seasonality and that in years is referred to
    as cyclicality.

    price with time


    • Noise - This is ‘white noise’ and cannot be modelled. Random price
    Types of Patterns in movements are referred to noise. As discussed initially, this part should
    not be of interest as this does not help in increasing the general
    understanding of price movements.
    price with time
    What is ARIMA?

    • ARIMA stands for Auto Regressive Integrated Moving Average


    (ARIMA) model. To a first time reader this term itself might seem
    intriguing, but the approach that we use here explains the process in
    a easy manner.
    • First, we break the name into smaller pieces to understand the
    meaning of each piece:
    What is ARIMA?
    • ARIMA models have three parameters like ARIMA(p, d, q). Here
    p, d, and q are defined as:
    1. p is the number of lagged values that need to be added or
    subtracted from the values (label column). It captures the
    autoregressive part of ARIMA.
    2. d represents the number of times the data needs to differentiate
    to produce a stationary signal. If it’s stationary data, the value
    of d should be 0, and if it’s seasonal data, the value of d should
    be 1. d captures the integrated part of ARIMA.
    3. q is the number of lagged values for the error term added or
    subtracted from the values (label column). It captures the
    moving average part of ARIMA.
    • I hope you have now understood the ARIMA model. In the section
    below, I will take you through the task of Time Series Forecasting
    of stock prices with ARIMA using the Python programming
    language.
    Time Series • In this project, we will be using the ARIMA model to forecast the
    prices of Tata Motors Ltd. To do the forecast we will be using Python
    tool.
    Forecasting using • Tata Motors Ltd. is a listed Indian company. Established in 1945, Tata
    Motors Limited is a leading global automotive manufacturer with a

    ARIMA
    portfolio that covers a wide range of cars, SUVs, buses, trucks, pickups
    and defense vehicles.
    • Now let’s start with the task of Time Series Forecasting with ARIMA.
    We first collected the Tata Motors stock price data using the Yahoo
    Finance API.
    Time Series • Importing the required packages

    Forecasting using
    ARIMA
    Time Series We only need the date and close prices columns for the rest
    of the task, so let’s select both the columns and move
    Forecasting using further:

    ARIMA
    Time Series Visualizing the close prices of TATA MOTORS before
    moving forward
    Forecasting using The plot:

    ARIMA
    Using ARIMA for • Before using the ARIMA model, we have to figure out
    whether our data is stationary or seasonal. The data
    Time Series visualization graph about the closing stock prices
    above shows that our dataset is not stationary. To
    check whether our dataset is stationary or seasonal
    Forecasting properly, we can use the seasonal decomposition
    method that splits the time series data into trend,
    seasonal, and residuals for a better understanding of
    the time series data:
    Using ARIMA for
    Time Series
    Forecasting
    Using ARIMA for • So our data is not stationary it is seasonal. We need to
    use the Seasonal ARIMA (SARIMA) model for Time
    Time Series Series Forecasting on this data. But before using the
    SARIMA model, we will use the ARIMA model. It
    will help you learn using both models.
    Forecasting • To use ARIMA or SARIMA, we need to find the p, d,
    and q values. We can find the value of p by plotting
    the autocorrelation of the Close column and the value
    of q by plotting the partial autocorrelation plot. The
    value of d is either 0 or 1. If the data is stationary, we
    should use 0, and if the data is seasonal, we should
    use 1. As our data is seasonal, we should use 1 as the
    d value.
    What is SARIMA? • SARIMA stands for Seasonal-ARIMA and it includes
    seasonality contribution to the forecast. The
    importance of seasonality is quite evident and ARIMA
    fails to encapsulate that information implicitly.
    • The Autoregressive (AR), Integrated (I), and Moving
    Average (MA) parts of the model remain as that of
    ARIMA. The addition of Seasonality adds robustness
    to the SARIMA model.
    • Similar to ARIMA, the P,D,Q values for seasonal
    parts of the model can be deduced from the ACF and
    PACF plots of the data.
    To find the value In the autocorrelation plot, the curve is moving
    down after the 4th line of the first boundary. That
    of p: is how we decide the p-value.
    Hence the value of p is 4
    To find the value In the partial autocorrelation plot, we can see that
    only two points are far away from all the points.
    of q: That is how to decide the q value.
    Hence the value of q is 2.
    Now let’s build an The predicted values are wrong because the data
    is seasonal.
    ARIMA model ARIMA model will never perform well on seaso
    nal time series data
    Building a
    SARIMA model
    Prediction: Now let’s predict the future stock prices
    using the SARIMA model for the next 10
    days:
    Plotting the prediction:

    The red line indicates the predicted value for price of the stock.
    Result

    •A
    Conclusion

    •ARIMA models is one of statistical technique could be used to


    forecast time series data.
    •Time series data have trend, seasonality/cyclicality and noise
    components.
    •In ARIMA models, one has to decide on the order in such a way
    that error is reduced.
    Short Comings

    •Difficult to predict turning points


    •The risk of large forecasting errors increases the more longer
    term the forecasts
    •Determining the model parameters is a subjective process
    •Holt Winters and exponential smoothing are easier to explain
    Future Scope
    •Weather conditions in specific regions
    •Electricity consumption in an household
    •Heart rate monitoring
    •Total sales in a store
    Bibliography
    Wikipedia
    Yahoo Finance
    LinkedIn
    Link to the codes click here
    Acknowledgement

    First and foremost, we would like to thank our Mentor Dr. Suresh
    Pathare who guided us in doing this project. He provided us with
    valuable advice and helped us. His motivation and help
    contributed tremendously to the successful completion of the
    project. Besides, we would like to thank all the teachers who
    helped us by giving us advice and providing the equipment which
    we needed.
    THANK YOU

    Aarushi Sunderrajan Paridhi Deval Pranjal Gupta

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