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You're reading from  Python for Finance Cookbook

Product typeBook
Published inJan 2020
Reading LevelIntermediate
PublisherPackt
ISBN-139781789618518
Edition1st Edition
Languages
Python
Tools
Scikit-learnKeras
Concepts
Financial Technology
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Author (1)
Eryk Lewinson
Eryk Lewinson
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Eryk Lewinson

Eryk Lewinson received his master's degree in Quantitative Finance from Erasmus University Rotterdam. In his professional career, he has gained experience in the practical application of data science methods while working in risk management and data science departments of two "big 4" companies, a Dutch neo-broker and most recently the Netherlands' largest online retailer. Outside of work, he has written over a hundred articles about topics related to data science, which have been viewed more than 3 million times. In his free time, he enjoys playing video games, reading books, and traveling with his girlfriend.
Read more about Eryk Lewinson

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Decomposing time series using Facebook's Prophet

An alternative approach to time series decomposition is to use an additive model, in which a time series is represented as a combination of patterns on different time scales (daily, weekly, monthly, yearly, and so on) together with the overall trend. Facebook's Prophet does exactly that, along with more advanced functionalities such as accounting for changepoints (rapid changes in behavior), holidays, and much more. A practical benefit of using this library is that we are able to forecast future values of the time series, along with a confidence interval indicating the level of uncertainty.

In this recipe, we will try fitting Prophet's additive model to daily gold prices from 2000-2004 and predicting the prices over 2005.

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Python for Finance Cookbook
Published in: Jan 2020Publisher: PacktISBN-13: 9781789618518
© 2020 Packt Publishing Limited All Rights Reserved

Author (1)

author image
Eryk Lewinson

Eryk Lewinson received his master's degree in Quantitative Finance from Erasmus University Rotterdam. In his professional career, he has gained experience in the practical application of data science methods while working in risk management and data science departments of two "big 4" companies, a Dutch neo-broker and most recently the Netherlands' largest online retailer. Outside of work, he has written over a hundred articles about topics related to data science, which have been viewed more than 3 million times. In his free time, he enjoys playing video games, reading books, and traveling with his girlfriend.
Read more about Eryk Lewinson

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