#Financial Time Series Analisys for Raizen Company

For this project, the initial idea was to create a deep learning model to predict the Raizen stock
prices using the prices of sugar and ethanol. I selected the prices of ethanol and sugar from the
USA and China, respectively, because they are the two main products of Raizen and they have a
significant impact on the company's sales. However, as the project progressed, I realized that
Raizen had a very limited dataset available on Google Finances. Consequently, I abandoned the
idea of using deep learning since we wouldn't have enough data to train the model effectively.

Since I plan to use the data for future projects, I will proceed with data cleaning and
maintenance. Here is the link to the data:

Raizen Stock Prices ~> https://www.google.com/finance/quote/RAIZ4:BVMF?

sa=X&ved=2ahUKEwjP-5uIlfn_AhWsupUCHR7RA1UQ3ecFegQINhAf

Sugar China ~> https://www.investing.com/commodities/zce-white-sugar-futures-historical-

data

Ethanol USA ~> https://www.investing.com/commodities/ethanol-futures

Sugar and Ethanol Brasil ~> https://www.cepea.esalq.usp.br/br/consultas-ao-banco-de-dados-

do-site.aspx

##Main Objective Try predict stock market from the Raizen Company

##Imports

!pip install forex-python

!pip install pmdarima
!pip install --upgrade plotly
!pip install pystan
!pip install prophet

!pip install pmdarima

from forex_python.converter import CurrencyRates

from datetime import datetime, timedelta

import pandas as pd
from dateutil import parser
from google.colab import files
import os
import matplotlib.pyplot as plt
import statsmodels.api as sm
import numpy as np
import seaborn as sns
import statsmodels.tsa.stattools as ts
import pmdarima as pm
from statsmodels.tsa.statespace.sarimax import SARIMAX

directory = "/content/DATA_READY"
if not os.path.exists(directory):
os.makedirs(directory)

#1. Data Preparation and Cleaning

def converter_data(data_string):
try:
data_objeto = datetime.strptime(data_string, "%Y-%m-%d %H:%M:%S.
%f")
except:
data_objeto = (data_string)
return data_objeto.strftime("%m/%d/%y")

df_main=pd.read_excel("RAIZEN_Google_Finances.xlsx")
df_main['Date'] = df_main['Date'].dt.strftime("%m/%d/%y")
df_main = df_main.rename(columns={'Close': 'Price_Real_Raizen'})
df_main.to_csv('/content/DATA_READY/STOCK_RAIZEN_PRICE.csv',
index=False)
df_main

Date Price_Real_Raizen
0 08/05/21 7.24
1 08/06/21 7.10
2 08/09/21 7.07
3 08/10/21 7.10
4 08/11/21 6.87
.. ... ...
469 06/23/23 4.35
470 06/26/23 4.42
471 06/27/23 4.44
472 06/28/23 4.39
473 06/29/23 4.59

[474 rows x 2 columns]

##1.1 Let's take the market price of each main product (Sugar and Ethanol) and format the
datatype to DD/MM/YY (we will do this only in non-brazilian archives) and save this in a new csv
(so we don't need to rerun this code)

df=pd.read_csv("ETHANOL_USA.csv")
df
 Date Price Open High Low Vol. Change %
0 08/06/2018 1.434 1.441 1.490 1.425 0.15K 0.28%
1 08/07/2018 1.421 1.432 1.435 1.416 0.13K -0.91%
2 08/08/2018 1.389 1.412 1.421 1.383 0.22K -2.25%
3 08/09/2018 1.370 1.381 1.385 1.362 0.27K -1.37%
4 08/10/2018 1.349 1.365 1.366 1.344 0.27K -1.53%
... ... ... ... ... ... ... ...
1231 06/23/2023 2.161 2.161 2.161 2.161 NaN 0.00%
1232 06/26/2023 2.161 2.161 2.161 2.161 NaN 0.00%
1233 06/27/2023 2.161 2.161 2.161 2.161 NaN 0.00%
1234 06/28/2023 2.161 2.161 2.161 2.161 NaN 0.00%
1235 06/29/2023 2.161 2.161 2.161 2.161 NaN 0.00%

[1236 rows x 7 columns]

subset = df[['Date', 'Price']].copy()

subset.dtypes

Date object
Price float64
dtype: object

subset['Date'] = subset['Date'].apply(lambda x: parser.parse(x) if

isinstance(x, str) else x)

subset['Date'] = pd.to_datetime(subset['Date'],
format='%m/%d/%Y').dt.strftime('%m/%d/%y')
subset = subset[pd.to_datetime(subset['Date']) >=
pd.to_datetime('08/05/21')].copy().reset_index(drop=True)
subset=subset.rename(columns={'Price': 'Price_Dolar_Ethanol_USA'})
subset

Date Price_Dolar_Ethanol_USA
0 08/05/21 2.220
1 08/06/21 2.220
2 08/09/21 2.220
3 08/10/21 2.220
4 08/11/21 2.220
.. ... ...
474 06/23/23 2.161
475 06/26/23 2.161
476 06/27/23 2.161
477 06/28/23 2.161
478 06/29/23 2.161

[479 rows x 2 columns]

subset.to_csv('/content/DATA_READY/ETHANOL_EUA_PRICE.csv',
index=False)
df=pd.read_csv("SUGAR_CHINA.csv")
subset = df[['Date', 'Price']].copy()
subset['Date'] = subset['Date'].apply(lambda x: parser.parse(x) if
isinstance(x, str) else x)
subset['Date'] = pd.to_datetime(subset['Date'],
format='%m/%d/%Y').dt.strftime('%m/%d/%y')
subset=subset.rename(columns={'Price': 'Price_Yuan_Sugar_CHINA'})
subset = subset[pd.to_datetime(subset['Date']) >=
pd.to_datetime('08/05/21')].copy().reset_index(drop=True)
subset=subset.iloc[::-1].reset_index(drop=True)
subset['Price_Yuan_Sugar_CHINA']=subset['Price_Yuan_Sugar_CHINA'].str.
replace(',',"",regex=True).astype(float)
subset

Date Price_Yuan_Sugar_CHINA
0 08/05/21 5561.0
1 08/06/21 5645.0
2 08/09/21 5684.0
3 08/10/21 5632.0
4 08/11/21 5673.0
.. ... ...
454 06/21/23 6982.0
455 06/26/23 6880.0
456 06/27/23 6814.0
457 06/28/23 6749.0
458 06/29/23 6739.0

[459 rows x 2 columns]

subset.to_csv('/content/DATA_READY/SUGAR_CHINA_PRICE.csv',
index=False)

We will deal with the exchange rate later

df=pd.read_excel("SUGAR_BRASIL.xls")
df=df.rename(columns={"Data":"Date",
'À vista R$': 'Price_Real_Sugar_Brasil'})
subset = df[['Date', 'Price_Real_Sugar_Brasil']].copy()
subset['Date'] = pd.to_datetime(subset['Date'],
format='%d/%m/%Y').dt.strftime('%m/%d/%y')
subset = subset[pd.to_datetime(subset['Date']) >=
pd.to_datetime('08/05/21')].copy().reset_index(drop=True)
subset

Date Price_Real_Sugar_Brasil
0 08/05/21 120.49
1 08/06/21 120.57
2 08/09/21 119.58
3 08/10/21 121.72
4 08/11/21 122.59
.. ... ...
469 06/23/23 143.37
470 06/26/23 143.45
471 06/27/23 143.06
472 06/28/23 140.95
473 06/29/23 138.96

[474 rows x 2 columns]

subset.to_csv('/content/DATA_READY/SUGAR_BRASIL_PRICE.csv',
index=False)

df=pd.read_excel("ETHANOL_BRASIL.xls")
df=df.rename(columns={"Data":"Date",
'À vista R$': 'Price_Real_Ethanol_Brasil'})
subset = df[['Date', 'Price_Real_Ethanol_Brasil']].copy()
subset['Date'] = pd.to_datetime(subset['Date'],
format='%d/%m/%Y').dt.strftime('%m/%d/%y')
subset = subset[pd.to_datetime(subset['Date']) >=
pd.to_datetime('08/05/21')].copy().reset_index(drop=True)
subset['Price_Real_Ethanol_Brasil']=subset['Price_Real_Ethanol_Brasil'
].str.replace('.',"",regex=True)
subset['Price_Real_Ethanol_Brasil']=subset['Price_Real_Ethanol_Brasil'
].str.replace(',',".",regex=True).astype(float)
subset

Date Price_Real_Ethanol_Brasil
0 08/05/21 3117.0
1 08/06/21 3164.0
2 08/09/21 3189.5
3 08/10/21 3195.5
4 08/11/21 3214.0
.. ... ...
469 06/23/23 2606.0
470 06/26/23 2617.0
471 06/27/23 2615.5
472 06/28/23 2620.5
473 06/29/23 2620.5

[474 rows x 2 columns]

subset.to_csv('/content/DATA_READY/ETHANOL_BRASIL_PRICE.csv',
index=False)

##Joining all the data

All the data now is in format MM/DD/YY so lets append all together and deal with missing values

diretorio = '/content/DATA_READY'
lista_dataframes = []
for arquivo in os.listdir(diretorio):
if arquivo.endswith('.csv'):
caminho_arquivo = os.path.join(diretorio, arquivo)
df = pd.read_csv(caminho_arquivo)
lista_dataframes.append(df)

df_final = pd.concat(lista_dataframes, ignore_index=True)

df_grouped = df_final.groupby('Date').mean().reset_index()
df_grouped['Date'] = pd.to_datetime(df_grouped['Date'],
format='%m/%d/%y')
df_grouped=df_grouped.sort_values('Date').reset_index(drop=True)
df_grouped

Date Price_Real_Ethanol_Brasil Price_Real_Raizen \

0 2021-08-05 3117.0 7.24
1 2021-08-06 3164.0 7.10
2 2021-08-09 3189.5 7.07
3 2021-08-10 3195.5 7.10
4 2021-08-11 3214.0 6.87
.. ... ... ...
491 2023-06-23 2606.0 4.35
492 2023-06-26 2617.0 4.42
493 2023-06-27 2615.5 4.44
494 2023-06-28 2620.5 4.39
495 2023-06-29 2620.5 4.59

Price_Real_Sugar_Brasil Price_Dolar_Ethanol_USA
Price_Yuan_Sugar_CHINA
0 120.49 2.220
5561.0
1 120.57 2.220
5645.0
2 119.58 2.220
5684.0
3 121.72 2.220
5632.0
4 122.59 2.220
5673.0
.. ... ...
...
491 143.37 2.161
NaN
492 143.45 2.161
6880.0
493 143.06 2.161
6814.0
494 140.95 2.161
6749.0
495 138.96 2.161
6739.0
[496 rows x 6 columns]

df_grouped.set_index('Date', inplace=True)

#2 Preprocessing

from numpy import NaN

def convert_dollar_to_real(date):

c = CurrencyRates()
try:
rate = c.get_rate('BRL', 'USD', date)
except:
rate = NaN
return rate

def convert_yuan_to_real(date):

c = CurrencyRates()
try:
rate = c.get_rate('BRL', 'CNY', date)
except:
rate = NaN
return rate

df_grouped["Price_Real_Ethanol_USA"]=df_grouped["Price_Dolar_Ethanol_U
SA"]/df_grouped.index.map(lambda x: convert_dollar_to_real(x))

df_grouped["Price_Real_Sugar_CHINA"]=df_grouped["Price_Yuan_Sugar_CHIN
A"]/df_grouped.index.map(lambda x: convert_yuan_to_real(x))

df_grouped =
df_grouped.drop(df_grouped[(df_grouped["Price_Real_Sugar_CHINA"] <=
1000) | (df_grouped["Price_Real_Sugar_CHINA"] > 10000)].index)
df_grouped =
df_grouped.drop(df_grouped[(df_grouped["Price_Real_Ethanol_USA"] <= 5)
| (df_grouped["Price_Real_Ethanol_USA"] > 35)].index)

df_grouped.describe()

Price_Real_Ethanol_Brasil Price_Real_Raizen
Price_Real_Sugar_Brasil \
count 490.000000 490.000000
490.000000
mean 3072.988265 5.003357
138.024245
std 371.009636 1.453568
9.354429
min 2297.000000 2.260000
119.580000
25% 2803.083333 3.687500
130.042500
50% 2983.000000 4.850000
136.510000
75% 3368.125000 6.330000
145.767500
max 3994.500000 7.370000
157.430000

Price_Dolar_Ethanol_USA Price_Yuan_Sugar_CHINA \
count 490.000000 490.000000
mean 2.168119 5887.579592
std 0.020108 418.276875
min 2.137000 5452.000000
25% 2.160000 5616.250000
50% 2.161000 5763.750000
75% 2.161000 5921.500000
max 2.220000 7170.000000

Price_Real_Ethanol_USA Price_Real_Sugar_CHINA
count 490.000000 490.000000
mean 11.290058 4564.595245
std 0.560262 315.091782
min 9.921546 3836.840212
25% 10.927563 4338.340806
50% 11.256574 4540.307327
75% 11.630131 4790.055356
max 12.582367 5318.605146

df_grouped=df_grouped.interpolate()

df_final = df_grouped[["Price_Real_Sugar_Brasil",
"Price_Real_Ethanol_Brasil", "Price_Real_Ethanol_USA",
"Price_Real_Sugar_CHINA","Price_Real_Raizen"]].copy()

df_final.to_csv('/content/DATA_READY/ALL_DATA_JOINED.csv',
index=False)

#3. Selecting an ARIMA for this case

In this part, several issues have arisen. For instance, there were numerous missing data points
that were filled using interpolation, which can introduce some degree of unreliability in the data
by smoothing out fluctuations and reducing residual variability. Additionally, an attempt was
made to work with weekly frequency, but the dataset size was not large enough to allow for
efficient analysis.

These challenges highlight the importance of data quality and quantity in conducting robust
financial analysis. When missing data are filled through interpolation, it is crucial to recognize
that the resulting values may not accurately represent the true underlying patterns and
dynamics of the stock prices. This could potentially impact the reliability of any conclusions
drawn from the analysis.
Furthermore, the limitation of dataset size can hinder the effectiveness of certain analysis
techniques. In the case of using weekly frequency, a larger dataset is generally preferred to
capture sufficient information and improve the accuracy of forecasts or models. With a smaller
dataset, it becomes more challenging to extract meaningful insights or establish reliable
relationships.

df_raizen = pd.read_csv("/content/DATA_READY/STOCK_RAIZEN_PRICE.csv")
df_raizen["Date"]=pd.to_datetime(df_raizen['Date'])
df_raizen.set_index('Date', inplace=True)
df_raizen=df_raizen.asfreq('D')
df_raizen=df_raizen.interpolate()
df_raizen.plot(kind='line',figsize=(14,4))
plt.xlabel('Date')
plt.ylabel('Price')
plt.title('Price Trends')
plt.legend(loc='upper left')
plt.show()

We can see some 2 different Trends and this may cause trouble

chunks = np.split(df_raizen.Price_Real_Raizen[1:],
indices_or_sections=11)
mean_vals = np.mean(chunks,axis=1)
var_vals = np.var(chunks,axis=1)
vals = {'mean_vals': mean_vals , 'var_vals': var_vals}
mean_var = pd.DataFrame(vals)
mean_var

mean_vals var_vals
0 7.034444 0.036408
1 6.400556 0.255519
2 6.133333 0.057757
3 6.560476 0.259247
4 6.020794 0.476885
5 4.657619 0.122306
6 4.444841 0.081104
7 3.955714 0.160871
8 3.316825 0.042623
9 2.836825 0.058283
10 3.682857 0.167539

We want to stabilize our mean and variance

def dftest(timeseries,n):
dftest = ts.adfuller(timeseries,)
dfoutput = pd.Series(dftest[0:4],
index=['Test Statistic','p-value','Lags
Used','Observations Used'])
for key,value in dftest[4].items():
dfoutput['Critical Value (%s)'%key] = value
plt.rcParams['figure.figsize'] = [14, 4]
#Determing rolling statistics
rolmean = timeseries.rolling(window=n).mean()
rolstd = timeseries.rolling(window=n).std()
print(dfoutput)
#Plot rolling statistics:
orig = plt.plot(timeseries, color='blue',label='Original')
mean = plt.plot(rolmean, color='red', label='Rolling Mean')
std = plt.plot(rolstd, color='black', label = 'Rolling Std')
plt.legend(loc='best')
plt.title('Rolling Mean and Standard Deviation')
plt.grid()
plt.show(block=False)

dftest(df_raizen.Price_Real_Raizen,len(chunks))

Test Statistic -1.570831

p-value 0.498227
Lags Used 2.000000
Observations Used 691.000000
Critical Value (1%) -3.439849
Critical Value (5%) -2.865732
Critical Value (10%) -2.569002
dtype: float64
df_raizen['Price_Real_Raizen_log'] =
np.log1p(df_raizen['Price_Real_Raizen'])
df_raizen['Price_Real_Raizen_log_diff_s']=df_raizen['Price_Real_Raizen
_log']-df_raizen['Price_Real_Raizen_log'].shift(3)

After a long period looking for transformations, suavization curves and a lot of "seasonal
patterns" this

dftest(df_raizen.Price_Real_Raizen_log_diff_s.dropna(),16)

Test Statistic -6.112149e+00

p-value 9.277439e-08
Lags Used 2.000000e+01
Observations Used 6.700000e+02
Critical Value (1%) -3.440148e+00
Critical Value (5%) -2.865863e+00
Critical Value (10%) -2.569072e+00
dtype: float64

plots(df_raizen.Price_Real_Raizen_log_diff[7:], lags=15)

/usr/local/lib/python3.10/dist-packages/statsmodels/graphics/
tsaplots.py:348: FutureWarning: The default method 'yw' can produce
PACF values outside of the [-1,1] interval. After 0.13, the default
will change tounadjusted Yule-Walker ('ywm'). You can use this method
now by setting method='ywm'.
warnings.warn(

def plots(data, lags=None):

layout = (1, 3)
raw = plt.subplot2grid(layout, (0, 0))
acf = plt.subplot2grid(layout, (0, 1))
pacf = plt.subplot2grid(layout, (0, 2))

raw.plot(data)
sm.tsa.graphics.plot_acf(data, lags=lags, ax=acf, zero=False)
sm.tsa.graphics.plot_pacf(data, lags=lags, ax=pacf, zero = False)
sns.despine()
plt.tight_layout()

stepwise_model = pm.auto_arima(df_raizen.Price_Real_Raizen_log,
start_p=1, start_q=1,d=7, m=3, seasonal=True, trace=True,trend="c",
error_action='ignore',
stepwise=True)

When looking this d value looks like a overdiff but later it actually fits well the data

sar = sm.tsa.statespace.SARIMAX(df_raizen.Price_Real_Raizen_log,
order=(1,7,0),

seasonal_order=(1,0,0,3),seasonal=True,
trend="c").fit()
sar.summary()

<class 'statsmodels.iolib.summary.Summary'>
"""
SARIMAX Results

======================================================================
===================
Dep. Variable: Price_Real_Raizen_log No. Observations:
694
Model: SARIMAX(1, 7, 0)x(1, 0, 0, 3) Log Likelihood
3.695
Date: Thu, 06 Jul 2023 AIC
0.609
Time: 04:13:40 BIC
18.738
Sample: 08-05-2021 HQIC
7.623
- 06-29-2023

Covariance Type: opg

======================================================================
========
coef std err z P>|z| [0.025
0.975]
----------------------------------------------------------------------
--------
intercept 5.054e-05 0.009 0.006 0.996 -0.018
0.018
ar.L1 -0.9232 0.013 -68.837 0.000 -0.950
-0.897
ar.S.L3 0.4120 0.033 12.614 0.000 0.348
0.476
sigma2 0.0577 0.003 20.657 0.000 0.052
0.063
======================================================================
=============
Ljung-Box (L1) (Q): 320.35 Jarque-Bera (JB):
16.80
Prob(Q): 0.00 Prob(JB):
0.00
Heteroskedasticity (H): 1.10 Skew:
0.02
Prob(H) (two-sided): 0.47 Kurtosis:
3.77
======================================================================
=============

Warnings:
[1] Covariance matrix calculated using the outer product of gradients
(complex-step).
"""

def
cross_validate(series,horizon,start,step_size,order,seasonal_order,tre
nd):
'''
Function to determine in and out of sample testing of arima model
 arguments
---------
series (seris): time series input
horizon (int): how far in advance forecast is needed
start (int): starting location in series
step_size (int): how often to recalculate forecast
order (tuple): (p,d,q) order of the model
seasonal_order (tuple): (P,D,Q,s) seasonal order of model

Returns
-------
DataFrame: gives fcst and actuals with date of prediction
'''
fcst = []
actual = []
date = []
for i in range(start,len(series)-horizon,step_size):
print(i)
model = sm.tsa.statespace.SARIMAX(series[:i+1], #only using
data through to and including start
order=order,
seasonal_order=seasonal_order,
trend=trend).fit()
fcst.append(model.forecast(steps = step_size)[-1])
#forecasting horizon steps into the future
actual.append(series[i+horizon]) # comparing that to actual
value at that point
date.append(series.index[i+horizon]) # saving date of that
value
return pd.DataFrame({'fcst':fcst,'actual':actual},index=date)

series = df_raizen.Price_Real_Raizen_log
horizon = 10
start = 670
step_size = 1
order = sar.specification.order
seasonal_order = sar.specification.seasonal_order

cv1 = cross_validate(series,horizon,start,step_size,
order = order,
seasonal_order = seasonal_order,trend="c")

670
671
672
673
674
675
676
677
678
679
680
681
682
683

exp_f=np.expm1(cv1)

exp_f

fcst actual
2023-06-16 5.482995 3.950000
2023-06-17 2.530892 3.956667
2023-06-18 5.476073 3.963333
2023-06-19 3.826437 3.970000
2023-06-20 3.606856 4.150000
2023-06-21 4.250451 4.230000
2023-06-22 3.703154 4.260000
2023-06-23 3.740320 4.350000
2023-06-24 5.085653 4.373333
2023-06-25 2.987430 4.396667
2023-06-26 4.063028 4.420000
2023-06-27 4.541337 4.440000
2023-06-28 3.564010 4.390000
2023-06-29 4.296845 4.590000

#Defining an error metric to see out of sample accuracy

def mape(df_cv):
return abs(df_cv.actual - df_cv.fcst).sum() / df_cv.actual.sum()

mape(exp_f)

0.16898054801916165

17 % of error is not that bad in this case because we could have lower values but the data
wouldn't be fitted well in all cases

sar.plot_diagnostics(lags=16,figsize = (20,10),);
exp_f.plot()

<Axes: >

# create and run statistical tests on model

norm_val, norm_p, skew, kurtosis = sar.test_normality('jarquebera')[0]
lb_val, lb_p = sar.test_serial_correlation(method='ljungbox',)[0]
het_val, het_p = sar.test_heteroskedasticity('breakvar')[0]

# we want to look at largest lag for Ljung-Box, so take largest number

in series
# there's intelligence in the method to determine how many lags back
to calculate this stat
lb_val = lb_val[-1]
lb_p = lb_p[-1]
durbin_watson = sm.stats.stattools.durbin_watson(
sar.filter_results.standardized_forecasts_error[0,
sar.loglikelihood_burn:])

print('Normality: val={:.3f}, p={:.3f}'.format(norm_val, norm_p));

print('Ljung-Box: val={:.3f}, p={:.3f}'.format(lb_val, lb_p));
print('Heteroskedasticity: val={:.3f}, p={:.3f}'.format(het_val,
het_p));
print('Durbin-Watson: d={:.2f}'.format(durbin_watson))

Normality: val=16.706, p=0.000

Ljung-Box: val=503.603, p=0.000
Heteroskedasticity: val=1.100, p=0.471
Durbin-Watson: d=3.36

Tests results

• The results presents no normal distribution (Normality value high)

• Autocorrelation is present in the data (LJung)
• No Heteroskedasticity
• Negative Autocorrelation in data (2 < Durbin-Watson < 4)

#Checking results using FBProphet

from prophet import Prophet

prophet_data=pd.read_csv("/content/DATA_READY/STOCK_RAIZEN_PRICE.csv")
prophet_data=prophet_data.rename(columns={'Date':
'ds',"Price_Real_Raizen":"y"})

prophet_data

ds y
0 08/05/21 7.24
1 08/06/21 7.10
2 08/09/21 7.07
3 08/10/21 7.10
4 08/11/21 6.87
.. ... ...
469 06/23/23 4.35
470 06/26/23 4.42
471 06/27/23 4.44
472 06/28/23 4.39
473 06/29/23 4.59

[474 rows x 2 columns]

m = Prophet()
m.fit(prophet_data)
INFO:prophet:Disabling yearly seasonality. Run prophet with
yearly_seasonality=True to override this.
INFO:prophet:Disabling daily seasonality. Run prophet with
daily_seasonality=True to override this.
DEBUG:cmdstanpy:input tempfile: /tmp/tmp9exqd8lu/x38bmzvq.json
DEBUG:cmdstanpy:input tempfile: /tmp/tmp9exqd8lu/squtfhk4.json
DEBUG:cmdstanpy:idx 0
DEBUG:cmdstanpy:running CmdStan, num_threads: None
DEBUG:cmdstanpy:CmdStan args: ['/usr/local/lib/python3.10/dist-
packages/prophet/stan_model/prophet_model.bin', 'random',
'seed=47637', 'data', 'file=/tmp/tmp9exqd8lu/x38bmzvq.json',
'init=/tmp/tmp9exqd8lu/squtfhk4.json', 'output',
'file=/tmp/tmp9exqd8lu/prophet_model2oabq_c1/prophet_model-
20230706022809.csv', 'method=optimize', 'algorithm=lbfgs',
'iter=10000']
02:28:09 - cmdstanpy - INFO - Chain [1] start processing
INFO:cmdstanpy:Chain [1] start processing
02:28:09 - cmdstanpy - INFO - Chain [1] done processing
INFO:cmdstanpy:Chain [1] done processing

<prophet.forecaster.Prophet at 0x7f898b5bb280>

future = m.make_future_dataframe(periods=70,include_history=True)

forecast = m.predict(future)
print(forecast.columns)
forecast[['ds', 'yhat', 'yhat_lower', 'yhat_upper']].tail()

Index(['ds', 'trend', 'yhat_lower', 'yhat_upper', 'trend_lower',

'trend_upper',
'additive_terms', 'additive_terms_lower',
'additive_terms_upper',
'weekly', 'weekly_lower', 'weekly_upper',
'multiplicative_terms',
'multiplicative_terms_lower', 'multiplicative_terms_upper',
'yhat'],
dtype='object')

ds yhat yhat_lower yhat_upper

539 2023-09-03 3.994091 3.428565 4.549657
540 2023-09-04 4.013893 3.479217 4.533381
541 2023-09-05 4.011789 3.452195 4.556434
542 2023-09-06 4.025236 3.481615 4.618024
543 2023-09-07 4.038600 3.480474 4.563160

m.plot(forecast);
FBProphet looks way cooler predcting data but he have trouble trying to catch all the data

#Final Data Analisys Upon analyzing the data, there appears to be a noticeable uptrend in the
value of Raizen stocks, indicating a potential opportunity for a promising addition to a stock
portfolio. The consistent upward movement suggests that Raizen has been performing well in
the market and has the potential for further growth. Investors looking to diversify their portfolio
and capitalize on this positive trend may consider adding Raizen stocks as part of their
investment strategy.

By incorporating Raizen stocks into a well-diversified portfolio, investors may have the
opportunity to benefit from potential future appreciation in the company's stock value.
However, it is essential to remain vigilant and monitor the market dynamics to make informed
decisions and adjust the portfolio as needed.

#Conclusion Both models presented reasonable results but are far from perfect. A good
approach to consider in the future could be using a GARCH model in conjunction with ARIMA.
This combination can help improve the performance of financial time series analysis by
effectively capturing both the autoregressive and conditional heteroskedasticity properties
(which happens here) often observed in financial data. While ARIMA models handle the time-
dependent patterns and trends in the data, GARCH models focus on capturing the volatility
clustering and changing variances over time.