Predicting-Stock-Market-Crashes

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Predicting-Stock-Market-Crashes

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# Predicting Stock Market Crashes

### Project summary
With this project I am introducing the design of a machine learning algorithm that predicts stock market crashes based on past 
price information. I used public available market data from seven major stock market indices. This is a classification problem to forecast whether or not a crash will occur within the next 1, 3 or 6 months at any point in time. I trained and tested linear and logistic regression models, support vector machines, decision trees and recurrent neural networks with long short term memory (RNN LSTM). For a detailed description of the problem and findings please refer to the article [here](https://medium.com/@romanm111987/predicting-stock-market-crashes-with-statistical-machine-learning-techniques-and-neural-networks-b756d9b48497)

### Repository organization

**exploration.ipynb:** Data exploration and crash definition and identification for all seven data sets.

**results.ipynb:** A summary of the results for training, validation and test results of all tested models. For more detail
refer to the jupyter notebooks in the models directory.

**models:** Folder containing jupyter notebooks of all tested models. The notebooks illustrate how the models were trained,
tuned and tested and present the results on the test set

**data:** .csv files of the daily price information of all datasets used. This data is available on yahoo finance.

**final_predictor:** Pre-trained logistic regression model that shows current forecasting probabilities for a crash occurring
within the next 1, 3 and 6 months. Clone this repository, download most recent historical price information of any stock market from yahoo finance (at least 3 years of data), specify the filename in **inputs.json** and run **main.py** to get prediction results.

Example of crash prediction within 3 months on the S&P 500 (data used as test set) for the time between 1958 and 1976:
<p align="center">
  <img src="https://github.com/roman807/Crashes-in-Financial-Markets/blob/master/example_prediction.png" width="700">
</p>

Predicting-Stock-Market-Crashes

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