Prophet: forecasting at scale
research.fb.com
Prophet: forecasting at scale
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Re: Prophet: forecasting at scale
#2So...How much will this do at forecasting stock prices? =)
Very cool though --- I would be interested to dive into the methods they've implemented sometime in the near future!
Re: Prophet: forecasting at scale
#3So...How much will this do at forecasting stock prices? =) Very cool though --- I would be interested to dive into the methods they've implemented sometime in the near future!
Probably just help verify that the stock market is a random walk with a meager trend upwards that doesn't beat inflation + trading costs.
Re: Prophet: forecasting at scale
#4So...How much will this do at forecasting stock prices? =) Very cool though --- I would be interested to dive into the methods they've implemented sometime in the near future!
> So...How much will this do at forecasting stock prices? =)
Probably quite poorly (due to stocks appearing "random" at scale), especially for indexes, which are a sum of their parts.
On the other hand, this would probably be quite useful for things that have non-random trends (like the Global Energy Forecasting Competition: http://www.drhongtao.com/gefcom)
Re: Prophet: forecasting at scale
#5So...How much will this do at forecasting stock prices? =) Very cool though --- I would be interested to dive into the methods they've implemented sometime in the near future!
Probably just help verify that the stock market is a random walk with a meager trend upwards that doesn't beat inflation + trading costs.
> the stock market is a random walk with a meager trend upwards that doesn't beat inflation + trading costs.
That assumes that the efficient-market hypothesis holds true, but it has yet to be thoroughly proven or disproven... (and funds like Medallion would strongly suggest otherwise for the medium term: https://www.bloomberg.com/news/articles/2016-11-21/how-renai...)
Re: Prophet: forecasting at scale
#6That's very cool, congrats and thank you to the Facebook guys!
A few days ago I was asked to do some forecasting with a daily revenue series for a client. Due to her business' nature the series was really tricky with weekdays and months/semesters having some specific effects on the data. I as many use Hyndman's forecast package, but I threw this data at prophet and it delivered a nice plot with the (correct) overall trend and seasonalities. Very cool and easy to do something.
Re: Prophet: forecasting at scale
#7How different this framework is from statsmodels?
Re: Prophet: forecasting at scale
#8I wonder what Sungard/FIS think of the name, which is the same as their commercial financial modelling/forecasting tool.
Re: Prophet: forecasting at scale
#9Moderately relevant short story: https://www.facebook.com/notes/robin-sloan/julie-rubicon/985...
Re: Prophet: forecasting at scale
#10Is there a way to extend these models to handle spatial variation (e.g. weather forecasting, property price estimation etc.) as well?