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Stock price prediction with recurrent neural network. The data is from the Chinese stock.
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README.md

Stock Prediction with Recurrent Neural Network

Stock price prediction with RNN. The data we used is from the Chinese stock.

Requirements

  • Python 3.5
  • TuShare 0.7.4
  • Pandas 0.19.2
  • Keras 1.2.2
  • Numpy 1.12.0
  • scikit-learn 0.18.1
  • TensorFlow 1.0 (GPU version recommended)

I personally recommend you to use Anaconda to build your virtual environment. And the program probably cost a significant time if you are not using the GPU version Tensorflow.

Get Data

You can run fetch_data.py to get a piece of test data. Without changing the script, you can get two seperated csv file named:

  • 000002-from-1995-01-01.csv =====> Contains general data for stock 000002 from 1995-01-01 to today.
  • 000002-3-year.csv =====> Contains candlestick chart data for stock 000002 (万科A) for the most recent 3 years.

You are expected to see results look like (the first DataFrame contains general data where the the second contains detailed candlestick chart data):

$ python3 fetch_data.py
[Getting data:]#########################################################################################
Saving DataFrame:
     open   high    low      volume        amount  close
0  20.64  20.64  20.37  16362363.0  3.350027e+08  20.56
1  20.92  20.92  20.60  21850597.0  4.520071e+08  20.64
2  21.00  21.15  20.72  26910139.0  5.628396e+08  20.94
3  20.70  21.57  20.70  64585536.0  1.363421e+09  21.02
4  20.60  20.70  20.20  45886018.0  9.382043e+08  20.70

Saving DataFrame:
     open   high    low     volume  price_change  p_change     ma5    ma10  \
0  20.64  20.64  20.37  163623.62         -0.08     -0.39  20.772  20.721
1  20.92  20.92  20.60  218505.95         -0.30     -1.43  20.780  20.718
2  21.00  21.15  20.72  269101.41         -0.08     -0.38  20.812  20.755
3  20.70  21.57  20.70  645855.38          0.32      1.55  20.782  20.788
4  20.60  20.70  20.20  458860.16          0.10      0.48  20.694  20.806

     ma20      v_ma5     v_ma10     v_ma20  close
0  20.954  351189.30  388345.91  394078.37  20.56
1  20.990  373384.46  403747.59  411728.38  20.64
2  21.022  392464.55  405000.55  426124.42  20.94
3  21.054  445386.85  403945.59  473166.37  21.02
4  21.038  486615.13  378825.52  461835.35  20.70

Demo

Training Result Demo

Reference

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