Skip to content

Predict stock market prices using RNN model with multilayer LSTM cells + optional multi-stock embeddings.

Notifications You must be signed in to change notification settings

MappingSystem/Stock_LSTM

 
 

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

30 Commits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Repository files navigation

Predict stock market prices using RNN

Check my blog post "Predict Stock Prices Using RNN": Part 1 and Part 2 for the tutorial associated.

One thing I would like to emphasize that because my motivation is more on demonstrating how to build and train an RNN model in Tensorflow and less on solve the stock prediction problem, I didn't try too hard on improving the prediction outcomes. You are more than welcome to take this repo as a reference point and add more stock prediction related ideas to improve it. Enjoy.

  1. Make sure tensorflow has been installed.
  2. First download the full S&P 500 data from Yahoo! Finance ^GSPC (click the "Historical Data" tab and select the max time period). And save the .csv file to data/SP500.csv.
  3. Run python data_fetcher.py to download the prices of individual stocks in S & P 500, each saved to data/{{stock_abbreviation}}.csv. (NOTE: Google Finance API returns the prices for 4000 days maximum. If you are curious about the data in even early times, try modify data_fetcher.py code to send multiple queries for one stock. Here is the data archive (stock-data-lilianweng.tar.gz) of stock prices I crawled up to Jul, 2017. Please untar this file to replace the "data" folder in the repo for test runs.)
  4. Run python main.py --help to check the available command line args.
  5. Run python main.py to train the model.

For examples,

  • Train a model only on SP500.csv; no embedding
python main.py --stock_symbol=SP500 --train --input_size=1 --lstm_size=128 --max_epoch=50
  • Train a model on 100 stocks; with embedding of size 8
python main.py --stock_count=100 --train --input_size=1 --lstm_size=128 --max_epoch=50 --embed_size=8
  • Start your Tensorboard
cd stock-rnn
mkdir logs
tensorboard --logdir ./logs --port 1234 --debug

My python environment: Python version == 2.7

BeautifulSoup==3.2.1
numpy==1.13.1
pandas==0.16.2
scikit-learn==0.16.1
scipy==0.19.1
tensorflow==1.2.1
urllib3==1.8

About

Predict stock market prices using RNN model with multilayer LSTM cells + optional multi-stock embeddings.

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages

  • Python 100.0%