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Price Predictions Project

Overview and Rationale

This assignment is designed to give you hands-on experience in performing both

regression and time series forecasting. You will be given a particular real-life time series,

and are asked to perform regression for predictions and to perform a time series

forecasting. In addition, you are asked to perform a sensitivity analysis by using different

parameter values and calculating measures of error for each of those values.

Course Outcomes

This assignment is directly linked to the following key learning outcomes from the course

syllabus:

CO1: Use descriptive, Heuristic and prescriptive analysis to drive business strategies

and actions

CO3: Analyze the role of analytics in supporting decision making for various other

stakeholder groups within and outside of your organization

CO5: Utilize applied analytics and definitions of measures of success to provide a

strategic analytic roadmap for an organization

Assignment Summary

Download stock prices of PEPSI stock (PEP) and 4 other stocks from Jan 2018 to Feb

2020 (courtesy of Yahoo Finance). Use the data to predict March 2020 prices (March 2,

2020 to March 6, 2020). Your prediction may be for one day or for all five days. This

project consists of four parts.

Project Instructions:

1. Perform exponential smoothing forecasts on the main stock prices to forecast the

price for March 2020. Use successive values of 0.15, 0.35, 0.55, and 0.75 for the

smoothing parameter α. Calculate the MSE of each forecast, Use the MSEs of your

forecasts to determine the value of α that has provided the most accurate forecast.

Describe qualitatively as to why such a value of α has yielded the most accurate

forecast.

2. Use your exponential smoothing forecast with 𝜶=𝟎.75, and perform adjusted

exponential smoothing forecasts on the main stock prices to forecast the price for

March 2020. Use successive values of 0.15, 0.25, 0.45, and 0.85 for the trend

parameter β. Use the MSEs of your forecasts to determine the value of β that has

provided the most accurate forecast. Describe qualitatively as to why such a value of

β has yielded the most accurate forecast.

3. Perform a simple regression analysis of main stock prices versus periods (i.e., 1, 2,

3,…) to forecast the main stock value for March 2020. Calculate the MSE of this

forecast and compare its value with those obtained from parts (1) and (2) above.

The regression analysis should consist of the following additional details:

a. Coefficients of correlation and determination, and the interpretations of their

values

b. A histogram of the regression residuals, and the interpretation of its shape

c. A Chi-squared normality test of the residuals, and the interpretation of its

outputs

d. A Normal probability plot of the residuals

e. A scatter plot of residuals versus time to study their independency, and the

interpretation of the shape of the scatter plot

f. A scatter plot of residuals versus the predicted stock values to study their

homoscedasticity, and the interpretation of the shape of the scatter plot

4. Use 4 stock prices in addition to PEPSI to predict PEPSI prices in March 2020 (in

combination of the earlier methods in this assignment). Among the forecasting

methods or models that you have used in this project, what method has shown to be

actually the most accurate method in predicting the main stock price for March

2020?

Format & Guidelines

The report should follow the following format:

(i) Introduction

(ii) Analysis

(iii) Conclusion

And be 1000 - 1200 words in length, not including the title page, and presented in the APA

format.

Rubric

Category Above Standard Meets Standards Approaching

Standards Below Standards

R: Problem

Modeling &

Set-up

ALY6050-CO1

Completely and

concisely modeled the

problem in Excel (or

R) for each method

Accurately modeled

the problem in Excel

(or R) for each

method

Correctly modeled the

problem in Excel (or

R) for each method,

but the model lacks

detailed insight into

the problem or the

set-up is awkward.

Modeled the problem

in Excel (or R) for

each method, but

there are some gaps in

the problem modeling

and setup

R: Problem

Solution &

Accuracy

ALY6050-CO1

Efficiently obtained

correct and accurate

solutions in Excel (or

R) by using the

appropriate analytic

tools of the software

Obtained complete

and accurate

solutions in Excel (or

R) by using the

appropriate analytic

tools of the software

Obtained correct

solutions in Excel (or

R) using the

appropriate analytic

tools of the software,

but the application of

the tool is awkward.

Obtained a solutions

in Excel (or R) by

using the appropriate

analytic tools of the

software, but the

solution is not

complete.

Word/Report:

Problem

Description &

Introduction

ALY6050-CO3

Provides a thorough

and concise summary

of the problem

descriptions and

introduced the

problem using rich

and significant ideas

Provides an accurate

and succinct

summary of the

problem descriptions

and problem

introduction

Provides an accurate

summary of the

problem descriptions

and problem

introduction, but the

description is too

wordy or not succinct

Provided a summary of

the problem

descriptions and

problem introduction,

but it is inaccurate or

incomplete

Word/Report:

Description of

Problem

Analysis

ALY6050-CO3

ALY6050-CO5

Provides a thorough

and precise

description of the

analytic concepts and

theories used in

analyzing the problem

Accurately describes

the analytic concepts

and theories used in

analyzing the problem

Describes the analytic

concepts and theories

used in analyzing the

problem, but

description lacks

appropriate detail or

precision

Describes the

analytical concepts

and theories used in

analyzing the

problem, but

descriptions are

incorrect or the

analytical concepts

and theories are

incorrect

Word/Report:

Description of

Conclusions

ALY6050-CO5

Provides conclusions

and results obtained

in the project using a

high level of critical

thinking and

reasoning

Provides relevant

conclusions and

results obtained in the

project that reflect

critical thinking and

reasoning

Provides conclusions

and results obtained

in the project, but not

all conclusions or

results are relevant to

the problem or not all

conclusions reflect

good reasoning

Provides conclusions

and results obtained

in the project, but they

are irrelevant and

reflect a lack of critical

thinking

Category Above Standard Meets Standards Approaching

Standards Below Standards

Word/Report:

Writing

Mechanics,

Title Page, &

References

Completely free of

errors in grammar,

spelling, and

punctuation; and

completely correct

usage of title page,

citations, and

references. The report

contains a minimum

of 1000 words

There are no

noticeable errors in

grammar, spelling,

and punctuation; and

completely correct

usage of title page,

citations, and

references. The report

contains a minimum

of 1000 words

There are very few

errors in grammar,

spelling, and

punctuation; and

completely correct

usage of title page,

citations, and

references. The report

contains a minimum

of 1000 words

There are more than

five errors in

grammar, spelling,

and punctuation; or

the usage of title page,

citations, and

references are

incomplete; or the

report contains less

than 1000 words

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