BABA Forecast

YIK LUN, KEI

allen29@ucla.edu

The method in this paper is totally incorrect.

BABA
library(quantmod)
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Loading required package: xts

Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: TTR
Version 0.4-0 included new data defaults. See ?getSymbols.

getSymbols("BABA",src="yahoo",return.class="xts")
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As of 0.4-0, 'getSymbols' uses env=parent.frame() and

auto.assign=TRUE by default.
This behavior will be phased out in 0.5-0 when the call will
default to use auto.assign=FALSE. getOption("getSymbols.env") and
getOptions("getSymbols.auto.assign") are now checked for alternate defaults
This message is shown once per session and may be disabled by setting
options("getSymbols.warning4.0"=FALSE). See ?getSymbols for more details.

## [1] "BABA"
price<-BABA[,4]
plot(price)

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price

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2014

Dec 01
2014

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Apr 01
2015

plot(log(price))

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2015

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2015

Oct 01
2015

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log(price)

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2014

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2015

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2015

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2015

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2015

Regression
SIN <- COS <- matrix(nr = length(price), nc = 3)
TIME <- as.numeric(time(price) - mean(time(price)))/sd(time(price))
for (i in 1:3) {
COS[, i] <- cos(2 * pi * i * TIME)
SIN[, i] <- sin(2 * pi * i * TIME)
}
price.lm1 <- lm(log(price) ~ TIME + I(TIME^2) + I(TIME^3)+ I(TIME^4) +
COS[,1] + SIN[,1] + COS[,2] + SIN[,2] + COS[,3] + SIN[,3])
summary(price.lm1)
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## Call:
## lm(formula = log(price) ~ TIME + I(TIME^2) + I(TIME^3) + I(TIME^4) +
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COS[, 1] + SIN[, 1] + COS[, 2] + SIN[, 2] + COS[, 3] + SIN[,
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3])
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## Residuals:
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Min
1Q
Median
3Q
Max

Oct 01
2015

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-0.201408 -0.060745

0.001487

0.062786

0.164778

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 4.462123
0.009331 478.208 < 2e-16 ***
TIME
-0.200395
0.012738 -15.732 < 2e-16 ***
I(TIME^2)
0.003860
0.020235
0.191
0.8488
I(TIME^3)
0.044712
0.006593
6.782 7.07e-11 ***
I(TIME^4)
-0.008779
0.007883 -1.114
0.2664
COS[, 1]
0.009162
0.007776
1.178
0.2397
SIN[, 1]
-0.036725
0.007208 -5.095 6.44e-07 ***
COS[, 2]
-0.014320
0.007097 -2.018
0.0446 *
SIN[, 2]
0.003134
0.007205
0.435
0.6639
COS[, 3]
0.006717
0.007135
0.941
0.3473
SIN[, 3]
-0.008378
0.007078 -1.184
0.2376
--Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08442 on 279 degrees of freedom
Multiple R-squared: 0.7152, Adjusted R-squared: 0.705
F-statistic: 70.05 on 10 and 279 DF, p-value: < 2.2e-16

price.lm2 <- lm(log(price) ~ TIME + I(TIME^2) + I(TIME^4) + COS[,2]

summary(price.lm2)
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Call:
lm(formula = log(price) ~ TIME + I(TIME^2) + I(TIME^4) + COS[,
2] + COS[, 3] + SIN[, 3])
Residuals:
Min
1Q
Median
-0.236863 -0.065282 -0.003812

3Q
0.070358

Max
0.240086

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 4.460274
0.010583 421.438
<2e-16 ***
TIME
-0.120930
0.005658 -21.372
<2e-16 ***
I(TIME^2)
0.013471
0.022451
0.600
0.5490
I(TIME^4)
-0.014030
0.008497 -1.651
0.0998 .
COS[, 2]
-0.014360
0.008064 -1.781
0.0760 .
COS[, 3]
0.008117
0.008089
1.004
0.3165
SIN[, 3]
-0.012496
0.008010 -1.560
0.1199
--Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.09607 on 283 degrees of freedom
Multiple R-squared: 0.6259, Adjusted R-squared: 0.618
F-statistic: 78.91 on 6 and 283 DF, p-value: < 2.2e-16

par(mfrow=c(2,2))
plot(price.lm2)

+ COS[,3] + SIN[,3])

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Normal QQ
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Fitted values

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Cook's distance
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Leverage

Plot
par(mfrow=c(1,1))
plot(TIME,log(price),type="l")
lines(TIME,predict(price.lm2),col="red",type="l")

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1.0

4.4

Residuals vs Leverage

Standardized residuals

ScaleLocation
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4.3

Theoretical Quantiles

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Standardized residuals

Fitted values

4.2

285

2 0

Standardized residuals

0.2 0.1

Residuals

Residuals vs Fitted
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0.06

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log(price)

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0.0
TIME

Residuals
acf(resid(price.lm2))

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1.0

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ACF

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Series resid(price.lm2)

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Lag

pacf(resid(price.lm2))

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Partial ACF

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Series resid(price.lm2)

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Lag

Prediction
new.t<-TIME[length(price)]+cumsum(diff(TIME)[1:20])
SIN <- COS <- matrix(nr = length(new.t), nc = 3)
for (i in 1:3) {
COS[, i] <- cos(2 * pi * i * new.t)
SIN[, i] <- sin(2 * pi * i * new.t)
}
new.dat <- data.frame(TIME = as.vector(new.t), SIN = SIN, COS = COS)
price.pred <- predict(price.lm2, new.dat)
plot(new.t,exp(price.pred),type="l",col="red")

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new.t

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exp(price.pred)
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