Estimating the historical data, time-series based predictive model helps us in predicting future price by estimating them with the current data

Anomaly Detection in Stock Prices with LSTM Auto-Encoders

In this blog we are going to use S&P 500 stock Dataset to Detect Anomalies training deep learning neural network using Python, Keras, Tensorflow. 

Anomaly Detection in Stock Prices with LSTM Auto-Encoders

The identification of rare items, events, or remarks which raise suspicion by significant differences from the bulk of the info in different areas such as statistics, signal processing, finance, economics, manufacturing, networking, and data processing, and anomaly detection (including an outlier detection) is a different subject. To tackle this problem, we can use deep learning to solve our problem. Over the years researchers have come up with various models for the analysis and detection of such anomalies in the sequential data.  

Now we can train our model on the sequential data to detect anomalies or outliers in our data which will help us for more statistical analysis. And use Keras Library which is built over Tensorflow for building our model: 

Now we can use a neural model called LSTM Auto-Encoder

LSTM Auto-Encoder Code: 

Anomaly Detection in Stock Prices with LSTM Auto-Encoders
  1. Import Libraries: 
Anomaly Detection in Stock Prices with LSTM Auto-Encoders
  1.  Load and Inspect the S&P 500 Index Data: 
Anomaly Detection in Stock Prices with LSTM Auto-Encoders
  1. Data Pre-processing: 
Anomaly Detection in Stock Prices with LSTM Auto-Encoders
  1. Create Training and Test Splits: 
Anomaly Detection in Stock Prices with LSTM Auto-Encoders
  1. Build an LSTM Auto-Encoder: 
Anomaly Detection in Stock Prices with LSTM Auto-Encoders
  1. Train the Auto-Encoder 
Anomaly Detection in Stock Prices with LSTM Auto-Encoders
  1. Plot Metrics and Evaluate the Model: 
Anomaly Detection in Stock Prices with LSTM Auto-Encoders

 8. Detect Anomalies in the S&P 500 Index Data:  

Anomaly Detection in Stock Prices with LSTM Auto-Encoders
Anomaly Detection in Stock Prices with LSTM Auto-Encoders

Therefore, we see that we can use LSTM Encoder-Decoder for Detecting Anomalies in Any Stock prices.   

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