gold_ARIMA.Rmd

---
title: "gold_ARIMA"
author: "MCM2022"
date: "2/19/2022"
output: html_document
---

```{r setup, include=FALSE}
knitr::opts_chunk$set(echo = TRUE)
```

```{r}
library(tidyverse)
library(ggplot2)
library(tseries)
library(forecast)

theme_set(theme_minimal())

set.seed(123)
```

```{r}
# Load the data & clean the data
bitcoin_data <- read.csv("data/BCHAIN-MKPRU.csv") %>% 
  mutate(Date = as.Date(Date, "%m/%d/%y")) %>% 
  na.omit()

gold_data <- read.csv("data/LBMA-GOLD.csv") %>% 
  mutate(Date = as.Date(Date, "%m/%d/%y")) %>% 
  na.omit()
```

```{r}
value <- gold_data$USD..PM.[1:5]

model_arima <- function(result, listIn)
{
  temp = result
  for (i in 6:length(listIn))
  {
    train_data <- listIn[1:i]
    fitARIMA <- auto.arima(diff(log(train_data)), trace = FALSE)
    predARIMA <- forecast(fitARIMA, h = 1, level = c(99))
    pred <- as.numeric(predARIMA$mean) * (10^5) / (10^5)
    new_value <- 2 ^ pred * listIn[i:i]
    temp = c(temp, new_value)
    print(i)
    print(new_value)
  }
  return(temp)
}

value <- model_arima(value, gold_data$USD..PM.)
```

```{r}
gold_result <- gold_data %>% 
  cbind(value)

ggplot(data = gold_result) +
  geom_line(mapping = aes(x = Date,
                          y = USD..PM.,
                          color = "red")) +
  geom_line(mapping = aes(x = Date,
                          y = value,
                          color = "blue")) +
  theme_minimal()

bitcoin_result
```

```{r}
gold_test <- gold_result %>% 
  filter(Date >= "2017-12-20",
         Date <= "2018-12-20")

ggplot(data = gold_test) +
  geom_line(mapping = aes(x = Date,
                          y = USD..PM.,
                          color = "red")) +
  geom_line(mapping = aes(x = Date,
                          y = value,
                          color = "blue")) +
  theme_minimal()

gold_result %>% 
  mutate(dif = abs(USD..PM. - value))
```

```{r}
gold_final <- gold_result %>% 
  filter(Date > "2016-09-15") %>% 
  select(Date, value)

write.csv(gold_final, "prediction/gold_ARIMA_result.csv", row.names = FALSE)
```