Mean Reversion Prediction with Brazilian Stocks Market

!!! This project is under development !!!

About the study

[under development]

How to replicate the experiments

Dummy model

For the dummy model, follow the steps below:

Run generate_dummy_results.py. The results will be in reports/test_results/.

Probabilistic models

[under development]

Tensorflow models

For models based on TensorFlow, follow the steps below:

1. Create a virtual environment with Python 3.10.12:

   conda create --name env-tcc-tf-gpu python=3.10.12

2. Install TensorFlow and its dependencies by following the instructions at: TensorFlow Installation Guide
3. Install the remaining libraries with:

   pip install -r requirements_nn.txt

4. Run generate_LSTM_results.py and generate_MLP_results.py. The results will be in reports/test_results/ and the models created will be in models/.

conda create --name env-tcc-tf-gpu python=3.12.7 conda activate env-tcc-tf-gpu conda install conda-forge::tensorflow conda install pytorch torchvision torchaudio pytorch-cuda=12.4 -c pytorch -c nvidia
conda install scikit-learn python -m pip install pykan conda install matplotlib conda install tqdm

KAN models

[under development]

Results

How to generate the analysis of results

Results