|
1 | | -Evaluate the performance of stocks using basic time series analysis methods. |
| 1 | +# Apple Stock AR-Process Analysis & Multistep Forecasting |
| 2 | + |
| 3 | +## Table of Contents |
| 4 | + |
| 5 | +- [Overview](#overview) |
| 6 | +- [System Prerequisites](#system-prerequisites) |
| 7 | +- [Getting Started](#getting-started) |
| 8 | +- [Project Structure](#project-structure) |
| 9 | + |
| 10 | +______________________________________________________________________ |
| 11 | + |
| 12 | +## Overview |
| 13 | + |
| 14 | +In this project, I analyzed apple stock data using time series econometrics methods. The |
| 15 | +final result of my project is a latex file that roughly describes the analysis steps and |
| 16 | +the charts and to what extent it is possible to use/interpret my results. |
| 17 | + |
| 18 | +In this project, I: |
| 19 | + |
| 20 | +- fit several AR processes to Apple's historical stock data. |
| 21 | +- compare model performance to identify the best fitting AR process. |
| 22 | +- evaluate the ability of the best model to perform multistep forecasts. |
| 23 | +- investigate the extent to which it is possible to use the AR process for analysis. |
| 24 | +- provide analysis and plots to visualize both the model fit and forecasting |
| 25 | + performance. |
| 26 | + |
| 27 | +______________________________________________________________________ |
| 28 | + |
| 29 | +## System Prerequisites |
| 30 | + |
| 31 | +To make sure that the project works on your machine you need to have installed *Python*, |
| 32 | +*a modern LaTeX distribution*, *Git*, and if applicable a *text editor*. For a more |
| 33 | +detailed explanation see the |
| 34 | +[documentation](https://econ-project-templates.readthedocs.io/en/stable/getting_started/index.html). |
| 35 | + |
| 36 | +______________________________________________________________________ |
| 37 | + |
| 38 | +## Getting Started |
| 39 | + |
| 40 | +First one needs to clone the repository: |
| 41 | + |
| 42 | +```bash |
| 43 | +git clone https://github.com/iame-uni-bonn/final-project-Lenr4.git |
| 44 | +``` |
| 45 | + |
| 46 | +Next navigate to the project root and create and activate the environment: |
| 47 | + |
| 48 | +```bash |
| 49 | +mamba env create lennart_epp |
| 50 | +conda activate lennart_epp |
| 51 | +``` |
| 52 | + |
| 53 | +After the environment is activated, one can run the project by: |
| 54 | + |
| 55 | +```bash |
| 56 | +pytask |
| 57 | +``` |
| 58 | + |
| 59 | +> 🛑 **Caution**: If you had trouble with kaleido on windows you need to use this |
| 60 | +> [workaround](https://effective-programming-practices.vercel.app/plotting/why_plotly_prerequisites/objectives_materials.html#windows-workaround): |
| 61 | +> |
| 62 | +> ```bash |
| 63 | +> pip install kaleido==0.1.0.post1 |
| 64 | +> ``` |
| 65 | +
|
| 66 | +______________________________________________________________________ |
| 67 | +
|
| 68 | +### Project Structure |
| 69 | +
|
| 70 | +The Project is structured into three different parts. |
| 71 | +
|
| 72 | +- **bld**: The Build directory cointaing all output files. |
| 73 | +
|
| 74 | + - **plots**: top 3 AR models for fitting(1 step forecast), multistep forecast, ACF all |
| 75 | + as interactive html and pdf |
| 76 | + - **forecasts**: 10 step forecast using AR(1) as pkl file |
| 77 | + - **data**: cleaned apple data as pkl file |
| 78 | + - **memory**: pkl file of ACF, and tex files of *Hurst* and *ADF* statistics |
| 79 | + - **models** pkl file of all AR models and tex file with top model statistics |
| 80 | +
|
| 81 | +- **src**: The source directory containing all python files needed for the analysis. |
| 82 | +
|
| 83 | + - **data**: CSV file containing the raw data for reproducibilty. |
| 84 | + - **data_management**: Python files for cleaning and downloading the data from |
| 85 | + [Yahoo Finance](https://de.finance.yahoo.com/). |
| 86 | + - **analysis**: Python files which analyse the data. |
| 87 | + - **final**: Python files which plot the results. |
| 88 | +
|
| 89 | +- **tests**: The test directory containing all python files which are used for testing. |
| 90 | +
|
| 91 | + - **data_management**: Python files for testing the data management steps. |
| 92 | + - **analysis**: Python files for testing the analysis steps. |
| 93 | +
|
| 94 | +______________________________________________________________________ |
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