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TIME - ChatGPT Manual 001

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7 views

TIME - ChatGPT Manual 001

Uploaded by

natthaweeilac
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Here is an end-to-end guide for performing time-series data analysis using Python, based on

Microsoft stock price data from 2015-2021. This guide covers loading the data, preprocessing,
exploratory data analysis, time-series decomposition, stationarity testing, and model building.

### 1. Load the Data

Start by loading the Microsoft stock price data from a CSV file.

#### Steps:

1. Import necessary libraries.


2. Load the data using `pandas`.

```python
import pandas as pd

# Load the data


df = pd.read_csv('MSFT_2015_2021.csv', parse_dates=['Date'], index_col='Date')

# Display the first few rows of the dataset


print(df.head())
```

### 2. Preprocessing

Handle missing values and ensure the data is sorted by date.

#### Steps:

1. Check for missing values.


2. Sort the data by date.

```python
# Check for missing values
print(df.isnull().sum())

# Sort the data by date


df = df.sort_index()
```

### 3. Exploratory Data Analysis (EDA)

Perform EDA to understand the data better.

#### Steps:

1. Plot the closing prices over time.


2. Plot moving averages.

```python
import matplotlib.pyplot as plt

# Plot the closing prices


plt.figure(figsize=(10, 6))
plt.plot(df['Close'], label='Close Price')
plt.title('Microsoft Stock Price (2015-2021)')
plt.xlabel('Date')
plt.ylabel('Close Price')
plt.legend()
plt.show()
# Calculate moving averages
df['MA20'] = df['Close'].rolling(window=20).mean()
df['MA50'] = df['Close'].rolling(window=50).mean()

# Plot moving averages


plt.figure(figsize=(10, 6))
plt.plot(df['Close'], label='Close Price')
plt.plot(df['MA20'], label='20-Day MA')
plt.plot(df['MA50'], label='50-Day MA')
plt.title('Microsoft Stock Price with Moving Averages')
plt.xlabel('Date')
plt.ylabel('Price')
plt.legend()
plt.show()
```

### 4. Time-Series Decomposition

Decompose the time series to observe the trend, seasonality, and residuals.

#### Steps:

1. Use `seasonal_decompose` from `statsmodels`.

```python
from statsmodels.tsa.seasonal import seasonal_decompose

# Decompose the time series


decomposition = seasonal_decompose(df['Close'], model='multiplicative')
# Plot the decomposed components
plt.figure(figsize=(12, 8))
decomposition.plot()
plt.show()
```

### 5. Stationarity Testing

Check if the time series is stationary using the Augmented Dickey-Fuller (ADF) test.

#### Steps:

1. Use `adfuller` from `statsmodels`.

```python
from statsmodels.tsa.stattools import adfuller

# Perform the ADF test


result = adfuller(df['Close'])
print('ADF Statistic:', result[0])
print('p-value:', result[1])
for key, value in result[4].items():
print('Critial Values:')
print(f' {key}, {value}')
```

### 6. Differencing (if necessary)

If the series is not stationary, apply differencing to achieve stationarity.


#### Steps:

1. Apply differencing.
2. Recheck stationarity.

```python
# Apply differencing
df['Close_diff'] = df['Close'].diff().dropna()

# Recheck stationarity
result = adfuller(df['Close_diff'].dropna())
print('ADF Statistic after differencing:', result[0])
print('p-value after differencing:', result[1])
```

### 7. Autocorrelation and Partial Autocorrelation

Plot ACF and PACF to identify the order of ARIMA models.

#### Steps:

1. Use `plot_acf` and `plot_pacf` from `statsmodels`.

```python
from statsmodels.graphics.tsaplots import plot_acf, plot_pacf

# Plot ACF and PACF


plt.figure(figsize=(12, 6))
plt.subplot(121)
plot_acf(df['Close_diff'].dropna(), ax=plt.gca(), lags=30)
plt.subplot(122)
plot_pacf(df['Close_diff'].dropna(), ax=plt.gca(), lags=30)
plt.show()
```

### 8. Model Building

Build ARIMA or SARIMA models based on the ACF and PACF plots.

#### Steps:

1. Import and fit ARIMA model.


2. Make predictions and evaluate the model.

```python
from statsmodels.tsa.arima.model import ARIMA

# Build and fit the ARIMA model


model = ARIMA(df['Close'], order=(p, d, q))
fit_model = model.fit()

# Print model summary


print(fit_model.summary())

# Make predictions
df['Forecast'] = fit_model.predict(start=len(df)-30, end=len(df)-1, dynamic=True)

# Plot the results


plt.figure(figsize=(12, 6))
plt.plot(df['Close'], label='Actual')
plt.plot(df['Forecast'], label='Forecast')
plt.title('Microsoft Stock Price Forecast')
plt.xlabel('Date')
plt.ylabel('Price')
plt.legend()
plt.show()
```

### Conclusion

This end-to-end guide covers loading, preprocessing, EDA, time-series decomposition,


stationarity testing, and model building for time-series analysis using Microsoft stock price data.
By following these steps, you can perform a comprehensive time-series analysis.

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