Forecasting 30min ahead with 5min data

[ourownstory]

In response to @sumonsamanta123

How do I use Neural Prophet when the period is in minutes. It seems to give me error 'Train' object has no attribute 'lambda_delay'. I am trying to use Neural Prophet for forecasting live stock price. Timestamp of live stock price is in 5 minutes interval. So, the idea is sort the stock price from morning till 3:30 afternoon, and then predict the price for next 30 minutes. I understand that stock price theoretically follows stochastic processes/Geometric Brownian Motion - so may not get high level of accuracy using AR Net, but wanted to try. So, I would like to split the data till 3:30 and give it to neural prophet and then predict for next 30 minutes(and validate against the observed price.)

intraday_5min_AMZN.txt

[ourownstory]

@sumonsamanta123

It seems to give me error 'Train' object has no attribute 'lambda_delay'.

This was a bug in an old version of NP. please update to the current version in master - it should solve the issue.

Timestamp of live stock price is in 5 minutes interval. So, the idea is sort the stock price from morning till 3:30 afternoon, and then predict the price for next 30 minutes.

You can do this by setting freq="5min" and n_forecasts=6, as 6*5min=30min.

I understand that stock price theoretically follows stochastic processes/Geometric Brownian Motion - so may not get high level of accuracy using AR Net, but wanted to try.

You are likely right. You could post a question about this in the forecasting best practices section, maybe someone has better advice than me.