A collection of PIBIC 2020-2021 codes. Statistical models of time series analysis applied to stock market predictions, compared to CNN and LSTM forecasts. Trading simulation with PETR4.SA stocks. This repository includes the scientific paper (along with the LaTeX project) written at the end of the project, documenting the steps in more detail.
The PETR4.SA historical data is available on Yahoo Finance: https://finance.yahoo.com/quote/PETR4.SA/history?p=PETR4.SA
Topic of the PIBIC: "Evaluation of the Performance of Deep Learning Techniques for the Classification of the Temporal Behavior of Shares".
- SMA 10, 30 & 50 (Simple Moving Average of 10, 30 and 50 days)
- Autorregressive model (AR)
- ARMA model
- ARIMA model
- Naive 1 & 5 (Naive model of 1 and 5 days)
- CNN (Convolutional Neural Network)
- LSTM (Long Short-Term Memory)
| SMA10 | SMA30 | SMA50 | AR | ARMA(2,0,2) | ARIMA(5,0,2) | Naive1 | Naive5 | CNN | LSTM | |
|---|---|---|---|---|---|---|---|---|---|---|
| Accuracy | 0.589431 | 0.540650 | 0.520325 | 0.626016 | 0.491870 | 0.508130 | 0.491870 | 0.520325 | 0.544715 | 0.524390 |
| MSE | 0.550165 | 1.392854 | 2.068185 | 0.126310 | 0.272212 | 0.293134 | 0.244692 | 1.064078 | 4.456264 | 1.356165 |
| R2 | 0.798460 | 0.489760 | 0.242368 | 0.953729 | 0.953729 | 0.891471 | 0.910363 | 0.610200 | -0.632448 | 0.503201 |
| AR | ARMA(2,0,2) | ARIMA(5,0,2) | CNN | LSTM | |
|---|---|---|---|---|---|
| Final Wallet | 134110.0150 | 105564.99850 | 110709.9910 | 110859.9835 | 103360.0075 |
| Wallets Diff | 34110.0150 | 5564.99850 | 10709.9910 | 10859.9835 | 3360.0075 |
| % Wallets Diff | 1.3411 | 1.05565 | 1.1071 | 1.1086 | 1.0336 |
| Score | 43.0000 | 21.00000 | 25.0000 | 35.0000 | 16.0000 |
| Loss | 23.0000 | 41.00000 | 38.0000 | 22.0000 | 17.0000 |