Sample of anomaly detection using the Japanese stock

Load packages

library(ChangeAnomalyDetection)
library(ggplot2)
library(RFinanceYJ)
library(reshape2)
library(forecast)
library(xtable)

Getting stock quotes

stock <- quoteStockXtsData("2432.t", since = "2011-01-01")
stock <- as.data.frame(stock)
stock$date <- as.POSIXct(rownames(stock))

Share price of the past 20 days

stock.tail <- tail(stock, n = 20)
stock.tail$date <- as.character(stock.tail$date)
print(xtable::xtable(stock.tail), type = "html")

	Open	High	Low	Close	Volume	AdjClose	date
2013-01-08	3030.00	3150.00	3025.00	3100.00	5259900.00	3100.00	2013-01-08
2013-01-09	3105.00	3165.00	3050.00	3115.00	3265100.00	3115.00	2013-01-09
2013-01-10	3135.00	3135.00	3020.00	3060.00	2927300.00	3060.00	2013-01-10
2013-01-11	3085.00	3230.00	3060.00	3215.00	4721300.00	3215.00	2013-01-11
2013-01-15	3250.00	3430.00	3245.00	3410.00	6931200.00	3410.00	2013-01-15
2013-01-16	3285.00	3325.00	3210.00	3255.00	4985300.00	3255.00	2013-01-16
2013-01-17	3255.00	3315.00	3130.00	3170.00	4311300.00	3170.00	2013-01-17
2013-01-18	3190.00	3245.00	3155.00	3190.00	4032900.00	3190.00	2013-01-18
2013-01-21	3210.00	3230.00	3105.00	3120.00	2895500.00	3120.00	2013-01-21
2013-01-22	3120.00	3150.00	3100.00	3140.00	1698800.00	3140.00	2013-01-22
2013-01-23	3155.00	3205.00	3025.00	3050.00	3664600.00	3050.00	2013-01-23
2013-01-24	3030.00	3045.00	2890.00	2903.00	9152000.00	2903.00	2013-01-24
2013-01-25	2884.00	2972.00	2831.00	2896.00	6687600.00	2896.00	2013-01-25
2013-01-28	2905.00	2957.00	2839.00	2840.00	6355300.00	2840.00	2013-01-28
2013-01-29	2852.00	2890.00	2820.00	2829.00	4316300.00	2829.00	2013-01-29
2013-01-30	2833.00	2919.00	2833.00	2917.00	5678800.00	2917.00	2013-01-30
2013-01-31	2920.00	2930.00	2845.00	2892.00	5913600.00	2892.00	2013-01-31
2013-02-01	2901.00	2929.00	2847.00	2856.00	4342300.00	2856.00	2013-02-01
2013-02-04	2889.00	2903.00	2854.00	2875.00	4431300.00	2875.00	2013-02-04
2013-02-05	2876.00	2877.00	2834.00	2835.00	3888200.00	2835.00	2013-02-05

Trends in the closing days of the past 20

ggplot(stock, aes(x = date, y = Close, col = "Stock")) + 
    geom_line() + geom_point() + xlab("")

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Arima estimation of the first

fit <- auto.arima(stock$Close[1:30])
summary(fit)

## Series: stock$Close[1:30] 
## ARIMA(2,0,2) with non-zero mean 
## 
## Coefficients:
##         ar1     ar2     ma1    ma2  intercept
##       1.623  -0.921  -1.203  0.573    2936.20
## s.e.  0.084   0.098   0.283  0.352      11.97
## 
## sigma^2 estimated as 2527:  log likelihood=-160.9
## AIC=333.9   AICc=337.5   BIC=342.3
## 
## In-sample error measures:
##       ME     RMSE      MAE      MPE     MAPE 
## -1.11566 50.27022 40.17162 -0.07063  1.37003

Calculation of the anomaly score

change.score <- changeAnomalyDetection(x = stock$Close, 
    term = 30, order = c(2, 0, 2))
stock$change.score <- change.score

Anomaly score of the closing prices of the past 20 days

stock.tail <- tail(stock, n = 20)[, c("date", 
    "Close", "change.score")]
stock.tail$date <- as.character(stock.tail$date)
print(xtable::xtable(stock.tail), type = "html")

	date	Close	change.score
2013-01-08	2013-01-08	3100.00	3.49
2013-01-09	2013-01-09	3115.00	3.48
2013-01-10	2013-01-10	3060.00	3.47
2013-01-11	2013-01-11	3215.00	3.46
2013-01-15	2013-01-15	3410.00	3.44
2013-01-16	2013-01-16	3255.00	3.42
2013-01-17	2013-01-17	3170.00	3.40
2013-01-18	2013-01-18	3190.00	3.40
2013-01-21	2013-01-21	3120.00	3.40
2013-01-22	2013-01-22	3140.00	3.40
2013-01-23	2013-01-23	3050.00	3.41
2013-01-24	2013-01-24	2903.00	3.39
2013-01-25	2013-01-25	2896.00	3.36
2013-01-28	2013-01-28	2840.00	3.28
2013-01-29	2013-01-29	2829.00	3.16
2013-01-30	2013-01-30	2917.00	2.99
2013-01-31	2013-01-31	2892.00	2.64
2013-02-01	2013-02-01	2856.00	2.11
2013-02-04	2013-02-04	2875.00	1.64
2013-02-05	2013-02-05	2835.00	1.22

Trends anomaly score and closing prices

stock$Close.normalized <- (stock$Close/mean(stock$Close)) * 
    100
stock.melt <- melt(stock, id.vars = "date", measure.vars = c("Close.normalized", 
    "change.score"))

ggplot(stock.melt, aes(x = date, y = value, col = variable)) + 
    geom_line() + xlab("") + ylab("Anomaly Score")

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