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Model won't predict for volatile stock prices

Open and-rewsmith opened this issue 7 years ago • 0 comments

This is not a high priority problem as it will happen for 1/20 stocks.

I suspect that this is because the LSTM can't handle values greater than 1.

This is a problem as prices in a timestep are processed as percent difference relative to the first price in the timestep. If the percent difference goes above 1 then the prediction fails.

My theory of fixing it is to multiply all prices in a timestep by .01 to increase the range of volatility the model will accept.

I'll try this out eventually but if anyone wants to try it before me feel free to try it and submit a PR (with some form of proof of it working) and I'll look at it.

and-rewsmith avatar Oct 16 '17 18:10 and-rewsmith