Implementation of Time Series Forecasting:

Prerequisite

 Numpy for working with arrays

 Pandas for working with relational or labeled data

 Matplotlib for data visualization

 Seaborn for data visualization

 DateTime to work with data and time

 MinMaxScaler for normalization

 PyTorch to build the neural network for training

Dataset:

Here, we have used Yahoo Finance to get the share market dataset.

To install the Yahoo Finance, we can use the following command

!pip install yfinance

Step 1: Import the necessary libraries

import pandas as pd
import numpy as np
import math
import matplotlib.pyplot as plt # Visualization
import matplotlib.dates as mdates # Formatting dates
import seaborn as sns # Visualization
from sklearn.preprocessing import MinMaxScaler
import torch # Library for implementing Deep Neural Network
import torch.nn as nn
import torch.nn.functional as F
import torch.optim as optim
from torch.utils.data import Dataset, DataLoader

Step2: Loading the Dataset

In this step, we are using ‘yfinance’ library to download historical stock market data for Apple
Inc. (AAPL) from Yahoo Finance.

# Loading the Apple.Inc Stock Data

import yfinance as yf
from datetime import date, timedelta, datetime

end_date = date.today().strftime("%Y-%m-%d") #end date for our data retrieval

will be current date
start_date = '1990-01-01' # Beginning date for our historical data retrieval

df = yf.download('AAPL', start=start_date, end=end_date)# Function used to

fetch the data

Output:

[*********************100%%**********************] 1 of 1 completed

Step 3: Data Preprocessing

Plot the time series trend using Matplotlib
def data_plot(df):
df_plot = df.copy()

ncols = 2
nrows = int(round(df_plot.shape[1] / ncols, 0))

fig, ax = plt.subplots(nrows=nrows, ncols=ncols,

sharex=True, figsize=(14, 7))
for i, ax in enumerate(fig.axes):
sns.lineplot(data=df_plot.iloc[:, i], ax=ax)
ax.tick_params(axis="x", rotation=30, labelsize=10, length=0)
ax.xaxis.set_major_locator(mdates.AutoDateLocator())
fig.tight_layout()
plt.show()

data_plot(df)

Output :
Line plots showing the features of Apple Inc. stock through time

Splitting the dataset into test and train

We follow the common practice of splitting the data into training and testing set. We calculate
the length of the training datasets and print their respective shapes to confirm the split.
Generally, the split is 80:20 for training and test set.

# Train-Test Split
# Setting 80 percent data for training
training_data_len = math.ceil(len(df) * .8)
training_data_len

#Splitting the dataset

train_data = df[:training_data_len].iloc[:,:1]
test_data = df[training_data_len:].iloc[:,:1]
print(train_data.shape, test_data.shape)

Output:

(6794, 1) (1698, 1)

Preparing Training and Testing Dataset

Here, we are choosing the feature (‘Open’ prices), reshaping it into the necessary 2D format, and
validating the resulting shape to make sure it matches the anticipated format for model input, this
method prepares the training data for use in a neural network.
Training Data

# Selecting Open Price values

dataset_train = train_data.Open.values
# Reshaping 1D to 2D array
dataset_train = np.reshape(dataset_train, (-1,1))
dataset_train.shape

Output:

(6794, 1)

Testing Data

# Selecting Open Price values

dataset_test = test_data.Open.values
# Reshaping 1D to 2D array
dataset_test = np.reshape(dataset_test, (-1,1))
dataset_test.shape

Output:

(1698, 1)

We carefully prepared the training and testing datasets to guarantee that our model could produce
accurate predictions. We made the issue one that was suited for supervised learning by creating
sequences with the proper lengths and their related labels.

Normalization

We have applied Min-Max scaling which is a standard preprocessing step in machine learning
and time series analysis, to the dataset_test data. It adjusts the values to be between [0, 1],
allowing neural networks and other models to converge more quickly and function better. The
normalized values are contained in the scaled_test array as a consequence, ready to be used in
modeling or analysis.

from sklearn.preprocessing import MinMaxScaler

scaler = MinMaxScaler(feature_range=(0,1))
# scaling dataset
scaled_train = scaler.fit_transform(dataset_train)

print(scaled_train[:5])
# Normalizing values between 0 and 1
scaled_test = scaler.fit_transform(dataset_test)
print(*scaled_test[:5]) #prints the first 5 rows of scaled_test

Output:

[0.] [0.00162789] [0.00062727] [0.00203112] [0.00212074]

Transforming the data into Sequence

In this step, it is necessary to separate the time-series data into X_train and y_train from the
training set and X_test and y_test from the testing set. Time series data are transformed into a
supervised learning problem that may be used to develop the model. While iterating through the
time series data, the loop generates input/output sequences of length 50 for training data and
sequences of length 30 for the test data. We can predict future values using this technique while
taking into account the data’s temporal dependence on earlier observations.

We prepare the training and testing data for a neural network by generating sequences of a given
length and their related labels. It then converts these sequences to NumPy arrays and PyTorch
tensors.

Training Data

# Create sequences and labels for training data

sequence_length = 50 # Number of time steps to look back
X_train, y_train = [], []
for i in range(len(scaled_train) - sequence_length):
X_train.append(scaled_train[i:i+sequence_length])
y_train.append(scaled_train[i+1:i+sequence_length+1])
X_train, y_train = np.array(X_train), np.array(y_train)

# Convert data to PyTorch tensors

X_train = torch.tensor(X_train, dtype=torch.float32)
y_train = torch.tensor(y_train, dtype=torch.float32)
X_train.shape,y_train.shape

Output:

(torch.Size([6744, 50, 1]), torch.Size([6744, 50, 1]))

Testing Data

# Create sequences and labels for testing data

sequence_length = 30 # Number of time steps to look back
X_test, y_test = [], []
for i in range(len(scaled_test) - sequence_length):
X_test.append(scaled_test[i:i+sequence_length])
y_test.append(scaled_test[i+1:i+sequence_length+1])
X_test, y_test = np.array(X_test), np.array(y_test)

# Convert data to PyTorch tensors

X_test = torch.tensor(X_test, dtype=torch.float32)
y_test = torch.tensor(y_test, dtype=torch.float32)
X_test.shape, y_test.shape

Output:

(torch.Size([1668, 30, 1]), torch.Size([1668, 30, 1]))

To make the sequences compatible with our deep learning model, the data was subsequently
transformed into NumPy arrays and PyTorch tensors.

Step 4: Define LSTM class model

Now, we defined a PyTorch network using LSTM architecture. The class consist of LSTM layer
and linear layer. In LSTMModel class, we initialized parameters-

 input_size : number of features in the input data at each time step

 hidden_size : hidden units in LSTM layer

 num_layers : number of LSTM layers

 batch_first= True: input data will have the batch size as the first dimension

The function super(LSTMModel, self).__init__() initializes the parent class for building the
neural network.

The forward method defines the forward pass of the model, where the input x is processed
through the layers of the model to produce an output.

class LSTMModel(nn.Module):
# input_size : number of features in input at each time step
# hidden_size : Number of LSTM units
# num_layers : number of LSTM layers
def __init__(self, input_size, hidden_size, num_layers):
super(LSTMModel, self).__init__() #initializes the parent class
nn.Module
self.lstm = nn.LSTM(input_size, hidden_size, num_layers,
batch_first=True)
self.linear = nn.Linear(hidden_size, 1)

def forward(self, x): # defines forward pass of the neural network

out, _ = self.lstm(x)
out = self.linear(out)
return out

Check Hardware Availability

For the PyTorch code, we need to check the hardware resources.

device = torch.device('cuda' if torch.cuda.is_available() else 'cpu')

print(device)

Output:

cuda
Defining the model

Now, we define the model, loss function and optimizer for the forecasting. We have adjusted the
hyperparameters of the model and set the loss fuction to mean squared error. To optimize the
parameters during the training, we have considered Adam optimizer.

input_size = 1
num_layers = 2
hidden_size = 64
output_size = 1

# Define the model, loss function, and optimizer

model = LSTMModel(input_size, hidden_size, num_layers).to(device)

loss_fn = torch.nn.MSELoss(reduction='mean')

optimizer = torch.optim.Adam(model.parameters(), lr=1e-3)

print(model)

Output:

LSTMModel(
(lstm): LSTM(1, 32, num_layers=2, batch_first=True)
(linear): Linear(in_features=32, out_features=1, bias=True)
)

Step 5: Creating Data Loader for batch training

Data loader play an essential role during the training and evaluation phase. So, we have prepared
the data for batch training and testing by creating data loader objects.

batch_size = 16
# Create DataLoader for batch training
train_dataset = torch.utils.data.TensorDataset(X_train, y_train)
train_loader = torch.utils.data.DataLoader(train_dataset,
batch_size=batch_size, shuffle=True)

# Create DataLoader for batch training

test_dataset = torch.utils.data.TensorDataset(X_test, y_test)
test_loader = torch.utils.data.DataLoader(test_dataset, batch_size=batch_size,
shuffle=False)

Step 6: Model Training & Evaluations

Now, we built a training loop for 50 epochs. In the provided code snippet, the model processes
mini batches of training data and compute loss and update the parameters.

num_epochs = 50
train_hist =[]
test_hist =[]
# Training loop
for epoch in range(num_epochs):
total_loss = 0.0

# Training
model.train()
for batch_X, batch_y in train_loader:
batch_X, batch_y = batch_X.to(device), batch_y.to(device)
predictions = model(batch_X)
loss = loss_fn(predictions, batch_y)

optimizer.zero_grad()
loss.backward()
optimizer.step()

total_loss += loss.item()

# Calculate average training loss and accuracy

average_loss = total_loss / len(train_loader)
train_hist.append(average_loss)

# Validation on test data

model.eval()
with torch.no_grad():
total_test_loss = 0.0

for batch_X_test, batch_y_test in test_loader:

batch_X_test, batch_y_test = batch_X_test.to(device),
batch_y_test.to(device)
predictions_test = model(batch_X_test)
test_loss = loss_fn(predictions_test, batch_y_test)

total_test_loss += test_loss.item()

# Calculate average test loss and accuracy

average_test_loss = total_test_loss / len(test_loader)
test_hist.append(average_test_loss)
if (epoch+1)%10==0:
print(f'Epoch [{epoch+1}/{num_epochs}] - Training Loss:
{average_loss:.4f}, Test Loss: {average_test_loss:.4f}')

Output:

Epoch [10/50] - Training Loss: 0.0000, Test Loss: 0.0002

Epoch [20/50] - Training Loss: 0.0000, Test Loss: 0.0002
Epoch [30/50] - Training Loss: 0.0000, Test Loss: 0.0002
Epoch [40/50] - Training Loss: 0.0000, Test Loss: 0.0002
Epoch [50/50] - Training Loss: 0.0000, Test Loss: 0.0002

Plotting the Learning Curve

We have plotted the learning curve to track the progress and give us an idea, how much time
time and training is required by the model to understand the patterns.
x = np.linspace(1,num_epochs,num_epochs)
plt.plot(x,train_hist,scalex=True, label="Training loss")
plt.plot(x, test_hist, label="Test loss")
plt.legend()
plt.show()

Output:

Learning Curve for Training Loss and Test Loss

Step 7: Forecasting
After training the neural network on the provided data, now comes the forecasting for next
month. The model predicts the future opening price and store the future values along with their
corresponding dates. Using for loop, we are going to perform a rolling forecasting, the steps are
as follows –

 We have set the future time steps to 30 and converted the test sequence to numpy array
and remove singleton dimensions using sequence_to_plot.

 Then, we have converted historical_data to a Pytorch tensor. The shape of the tensor is
(1, sequence_length, 1), where sequence_length is the length of the historical data
sequence.

 the model further predicts the next value based on the ‘historical_data_tensor’.

 The prediction is then converted to a numpy array and the first element is extracted.

Once the loop ends, we get the forecasted values, which are stored in list, and future dates are
generated to create index for these values.

# Define the number of future time steps to forecast

num_forecast_steps = 30

# Convert to NumPy and remove singleton dimensions

sequence_to_plot = X_test.squeeze().cpu().numpy()

# Use the last 30 data points as the starting point

historical_data = sequence_to_plot[-1]
print(historical_data.shape)

# Initialize a list to store the forecasted values

forecasted_values = []

# Use the trained model to forecast future values

with torch.no_grad():
for _ in range(num_forecast_steps*2):
# Prepare the historical_data tensor
historical_data_tensor = torch.as_tensor(historical_data).view(1, -1,
1).float().to(device)
# Use the model to predict the next value
predicted_value = model(historical_data_tensor).cpu().numpy()[0, 0]

# Append the predicted value to the forecasted_values list

forecasted_values.append(predicted_value[0])

# Update the historical_data sequence by removing the oldest value and

adding the predicted value
historical_data = np.roll(historical_data, shift=-1)
historical_data[-1] = predicted_value

# Generate futute dates

last_date = test_data.index[-1]

# Generate the next 30 dates

future_dates = pd.date_range(start=last_date + pd.DateOffset(1), periods=30)

# Concatenate the original index with the future dates

combined_index = test_data.index.append(future_dates)

Last Step: Plotting the Prediction Graph

Once, we have forecasted the future prices, we can visualize the same using line plots. We have
plotted the graph for a specific time range. The blue line is the indicator of the test data. Then we
plot the last 30-time steps of the test data index using the green colored line plot.

The forecasted values are plotted using red colored line plot that uses a combined index that
includes both the historic data and future dates.

#set the size of the plot

plt.rcParams['figure.figsize'] = [14, 4]

#Test data
plt.plot(test_data.index[-100:-30], test_data.Open[-100:-30], label =
"test_data", color = "b")
#reverse the scaling transformation
original_cases = scaler.inverse_transform(np.expand_dims(sequence_to_plot[-1],
axis=0)).flatten()

#the historical data used as input for forecasting

plt.plot(test_data.index[-30:], original_cases, label='actual values',
color='green')

#Forecasted Values
#reverse the scaling transformation
forecasted_cases = scaler.inverse_transform(np.expand_dims(forecasted_values,
axis=0)).flatten()
# plotting the forecasted values
plt.plot(combined_index[-60:], forecasted_cases, label='forecasted values',
color='red')

plt.xlabel('Time Step')
plt.ylabel('Value')
plt.legend()
plt.title('Time Series Forecasting')
plt.grid(True)

Output:

Prediction of next month Opening Price for Apple Inc. Stock

By plotting the test data, actual values and model’s forecasting data. We got a clear idea of how
well the forecasted values are aligning with the actual time series.

The intriguing field of time series forecasting using PyTorch and LSTM neural networks has
been thoroughly examined in this paper. In order to collect historical stock market data using
Yahoo Finance module, we imported the yfinance library and started the preprocessing step.
Then we applied crucial actions like data loading, train-test splitting, and data scaling to make
sure our model could accurately learn from the data and make predictions.

For more accurate forecasts, additional adjustments, hyperparameter tuning, and optimization are
frequently needed. To improve predicting capabilities, ensemble methods and other cutting-edge
methodologies can be investigated.

We have barely begun to explore the enormous field of time series forecasting in this essay.
There is a ton more to learn, from managing multi-variate time series to resolving practical
problems in novel ways. With this knowledge in hand, you’re prepared to use PyTorch and
LSTM neural networks to go out on your own time series forecasting adventures.