Attempted to install forecast package in R 3.2 version, on Ubuntu 16.04 LTS Xenial Xerus:
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install.packages("forecast") |
but when installing dependent packages tseries, quadprod, RcppArmadillo, it produced an error:
/usr/bin/ld: cannot find -lblas, cannot find -llalapack
Solution: install these libs in linux terminal:
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sudo apt install libblas-dev liblapack-dev |
and install.packages("forecast") will work in R console
Today we will use R astsa (Applied Statistical Time Series Analysis) library to analyze data and predict it with ARIMA model.
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library(curl) library(quantmod) library(rusquant) library(xts) library(utils) # ASTSA lib is for ARIMA library(astsa) # Load the data price.ohlc <- getSymbols("SBER", from = Sys.Date()-1, to = Sys.Date(), src = "Finam", period = "1min", auto.assign = FALSE) price.cl <- Cl(price.ohlc) # Display close price on plot plot(price.cl) |
Compare auto correlation and partial autocorrelation functions for diff data
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asf2(na.omit(diff(price.cl)) |
Output: Continue reading
R code template to predict the future with ARIMA auto regression. To try different models, change the line with fit <- arima(...)
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# Rusquant is quantmod library with ability # to load Russian market with intraday data # Use vanilla quantmod for other markets library(rusquant) # Load symbol from data provider data.raw <- getSymbols("SBER", src = "Finam", period="5min", from = "2017-08-25", to = "2017-08-25", auto.assign = FALSE) # Convert price to stationary data data <- diff(log(Cl(data.raw))) # Train auto regression arima model fit <- arima(data, order=c(10,0,1)) # Predict the future pred <- predict(fit, n.ahead=100) # Xts index lost during prediction, so convert predicted data to xts pred.index <- as.POSIXct(index(pred$pred), origin = min(index(data))) pred.xts <- xts(pred$pred, order.by = pred.index) # Draw original and predicted values on the same chart plot(c(data, pred.xts), type = "n") lines(data) lines(pred.xts, col = "red") |
