Implementing Machine Learning for Finance: A Systematic Approach to Predictive Risk and Performance Analysis for Investment Portfolios

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2021

T. C. NokeriImplementing Machine Learning for Financehttps://doi.org/10.1007/978-1-4842-7110-0_2

2. Forecasting Using ARIMA, SARIMA, and the Additive Model

Tshepo Chris Nokeri¹  

(1)

Pretoria, South Africa

 

Time-series analysis is a method for explaining sequential problems. It is convenient when a continuous variable is time-dependent. In finance, we frequently use it to discover consistent patterns in the market data and forecast future prices. This chapter offers a comprehensive introduction to time-series analysis. It first covers ways of finding stationary in series data using the augmented Dickey-Fuller (ADF) test and testing for white noise and autocorrelation. ...