{"id":36944,"date":"2020-03-05T09:53:16","date_gmt":"2020-03-05T14:53:16","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=36944"},"modified":"2023-04-17T17:02:56","modified_gmt":"2023-04-17T21:02:56","slug":"all-about-time-series-analysis-and-forecasting","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/all-about-time-series-analysis-and-forecasting\/","title":{"rendered":"All About Time Series: Analysis and Forecasting"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\"><strong><em>Excerpt<\/em><\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>What is Time Series and Time Series Analysis<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">In simple words,&nbsp;<strong>Time Series&nbsp;<\/strong>is a sequence of observations over time, which are usually spaced at regular intervals. To support the statement, here are some of the examples of Time Series:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Daily stock prices for the last 5 years<\/li>\n\n\n\n<li>1-minute stock price data for the last 90 days<\/li>\n\n\n\n<li>Quarterly revenues of a company over the last 10 years<\/li>\n\n\n\n<li>Monthly car sales of an automaker for the last 3 years<\/li>\n\n\n\n<li>The annual unemployment rate of a state in the last 50 years<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">Coming to Time Series analysis, it simply implies identifying those methods which help in the analysis of Time Series data.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The main aim of the Time Series Analysis is to develop those models that best capture or describe the Time Series or data set. Also, this leads to an understanding of the underlying causes of the dataset to help you create meaningful and accurate forecasts.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Also, there are few types of Time Series which we will see ahead.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Types of Time Series<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Let us now look at the types of Time Series that a dataset can belong to:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Univariate &amp; Multivariate<\/li>\n\n\n\n<li>\u200b\u200b\u200b\u200b\u200b\u200b\u200bStationary &amp; Non-Stationary<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Univariate &amp; Multivariate<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">A <code>Univariate Time Series<\/code> refers to the set of observations over time of a single variable. One important thing to note here is that this type always has the time as an implicit variable. And, if the data points are equally spaced, then the time variable need not be explicitly given. This type helps you decide as to how the dependent variable (price values) differs with regard to time, which is the independent variable.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">For example, a Company A\u2019s stock prices\u2019 data is taken out for the past two years with stock price mentioned for every month of every year. Here, let us assume that the stock prices are in a particular range for the months of December and January.<\/p>\n\n\n\n<hr class=\"wp-block-separator has-css-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\">A <code>Multivariate Time Series<\/code> refers to the set of observations over time of several variables and not one. In this type, each variable is dependent not only on one type of equispaced data but also on other variables apart from it.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">For example, the same company A\u2019s stock prices are not only dependent on time which was set at every month of every year, but also on other variables like a fashion trend, occasion, etc.<\/p>\n\n\n\n<hr class=\"wp-block-separator has-css-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Stationary &amp; Non-Stationary Time Series<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><code>Stationary Time Series<\/code><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Defining a Stationary Time Series, it is the one where the mean and the variance are both constant over time. In other words, it is the one whose properties do not depend on the time at which the series is observed. Thus, the Time Series is a flat series without trend, with constant variance over time, a constant mean, a constant autocorrelation and no seasonality. This makes a Stationary Time Series easy to predict.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><code>Non-Stationary<\/code><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">A <code>Non-Stationary Time Series<\/code> is one where either mean or variance or both are not constant over time.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">There are different tests that can be used to check whether a given Time Series is Stationary:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Autocorrelation function (ACF) test<\/li>\n\n\n\n<li>Partial autocorrelation function (PACF) test<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">Autocorrelation function (ACF) Test \u2013 The Autocorrelation function checks for correlation between two different data points of a Time Series separated by a lag \u201ch\u201d. For example, the ACF will check for correlation between points #1 and #2, #2 and #3 etc. Similarly, for lag 3, the ACF function will check between points #1 and #4, #2 and #5, #3 and #6 etc.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Autocorrelation function test is mainly used for two reasons:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>For detecting non-randomness in the data and<\/li>\n\n\n\n<li>For identifying the appropriate time series model for the particular dataset.<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">So an Autocorrelation Function Test, therefore, is important for providing accurate results.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Python code for ACF-<\/p>\n\n\n\n<p class=\"has-background wp-block-paragraph\" style=\"background-color:#fcfcdb;font-size:11px\">from matplotlib import pyplot<br>\nfrom statsmodels.graphics.tsaplots import plot_acf<br>\nimport yfinance as yf<br>\ntesla = yf.download(&#8216;TSLA&#8217;,&#8217;2019-01-27&#8242;, &#8216;2020-02-11&#8217;)<br>\nplot_acf(tesla[&#8216;Close&#8217;], lags=20)<br>\npyplot.show()<\/p>\n\n\n\n<p class=\"has-background wp-block-paragraph\" style=\"background-color:#fcfcdb\"><em><a rel=\"noreferrer noopener\" href=\"https:\/\/gist.github.com\/quantra-go-algo\/c055dcd9fef2086cf0e12c4553075f53#file-python-code-acf-py\" target=\"_blank\">Python code &#8211; ACF.py<\/a>&nbsp;hosted with \u2764 by&nbsp;<a rel=\"noreferrer noopener\" href=\"https:\/\/github.com\/\" target=\"_blank\">GitHub<\/a><\/em><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Once you run the Python code above, you get a 2D plot of the autocorrelation with first 20 lags:<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" data-src=\"https:\/\/d1rwhvwstyk9gu.cloudfront.net\/2020\/02\/image-4.png\" alt=\"\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" class=\"lazyload\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><code>Partial autocorrelation function (PACF)<\/code> \u2013 In some cases, the effect of autocorrelation at smaller lags will have an influence on the estimate of autocorrelation at longer lags. For example, a strong lag one, can cause an autocorrelation with lag three. The Partial autocorrelation function (PACF) removes the effect of shorter lag autocorrelation from the correlation estimate at longer lags.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Python code for PACF-<\/p>\n\n\n\n<p class=\"has-background wp-block-paragraph\" style=\"background-color:#fcfcdb;font-size:11px\">from statsmodels.graphics.tsaplots import plot_pacf<br>plot_pacf(tesla[\u2018Close\u2019], lags=20)<br>pyplot.show() <\/p>\n\n\n\n<p class=\"has-background wp-block-paragraph\" style=\"background-color:#fcfcdb\"> <em><a rel=\"noreferrer noopener\" href=\"https:\/\/gist.github.com\/quantra-go-algo\/c055dcd9fef2086cf0e12c4553075f53#file-python-code-acf-py\" target=\"_blank\">Python code &#8211; ACF.py<\/a>&nbsp;hosted with \u2764 by&nbsp;<a rel=\"noreferrer noopener\" href=\"https:\/\/github.com\/\" target=\"_blank\">GitHub<\/a><\/em> <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Running the code above brings a 2D representation of the data with partial autocorrelation for the first 20 lags:<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" data-src=\"https:\/\/d1rwhvwstyk9gu.cloudfront.net\/2020\/02\/image-5.png\" alt=\"\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" class=\"lazyload\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">The values of ACF and PACF each vary between plus and minus one. When the values are closer to plus or minus one, it indicates a strong correlation. Moreover, it is a must to note that, if the Time Series is Stationary, the ACF will drop to zero relatively quickly. Whereas, the ACF of Non-Stationary Time Series will decrease slowly. Also, with the ACF graph, we can conclude that the given Time Series is Non-Stationary.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Okay now! Let us explore some differences between ACF and PACF for an easy understanding:<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" data-src=\"https:\/\/d1rwhvwstyk9gu.cloudfront.net\/2020\/02\/ACF-AND-PACF-TO-USE.PNG\" alt=\"\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" class=\"lazyload\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><\/p>\n\n\n\n<p class=\"has-background wp-block-paragraph\" style=\"background-color:#fcfcdb\">To download the Python code and read the full article, visit QuantInsti Blog: <a href=\"https:\/\/blog.quantinsti.com\/time-series-analysis\/\">https:\/\/blog.quantinsti.com\/time-series-analysis\/<\/a> <\/p>\n","protected":false},"excerpt":{"rendered":"<p>Time Series is a sequence of observations over time, which are usually spaced at regular intervals. To support the statement, here are some of the examples of Time Series<\/p>\n","protected":false},"author":368,"featured_media":36946,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,343,349,338,350,341,344],"tags":[6673,806,865,4659,6670,6672,6675,595,6671,5519,6669,6674],"contributors-categories":[13654],"class_list":["post-36944","post","type-post","status-publish","format-standard","has-post-thumbnail","category-data-science","category-programing-languages","category-python-development","category-ibkr-quant-news","category-quant-asia-pacific","category-quant-development","category-quant-regions","tag-autocorrelation-function","tag-data-science","tag-github","tag-matplotlib","tag-multivariate-time-series","tag-non-stationary-time-series","tag-partial-autocorrelation-function","tag-python","tag-stationary-time-series","tag-time-series","tag-univariate-time-series","tag-yfinance","contributors-categories-quantinsti"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.9 (Yoast SEO v27.9) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>All About Time Series: Analysis and Forecasting | IBKR Quant<\/title>\n<meta name=\"description\" content=\"In simple words, Time Series is a sequence of observations over time, which are usually spaced at regular intervals. 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