Financial time-series data forecasting - any other tools besides Prophet?

This page summarizes the projects mentioned and recommended in the original post on /r/datascience

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  • flow-forecast

    Deep learning PyTorch library for time series forecasting, classification, and anomaly detection (originally for flood forecasting).

    I mean a lot of deep learning models are more interpretable than you would think. There are a lot of methods to explain model predictions. In the deep learning for time series forecasting framework that I help maintain for example we automatically create SHAP plots to show relevant features. You can also visualize the attention mechanism directly.

  • darts

    A python library for user-friendly forecasting and anomaly detection on time series.

    Maybe give a shot to Darts. It's a Python library for timeseries with a scikit-learn-like API. It includes processing and forecasting with models from ARIMA to Transformer. I found their blog post to be a good getting started.

  • InfluxDB

    Power Real-Time Data Analytics at Scale. Get real-time insights from all types of time series data with InfluxDB. Ingest, query, and analyze billions of data points in real-time with unbounded cardinality.

  • neural_prophet

    NeuralProphet: A simple forecasting package

    Neural Prophet: https://github.com/ourownstory/neural_prophet

  • atspy

    AtsPy: Automated Time Series Models in Python (by @firmai)

NOTE: The number of mentions on this list indicates mentions on common posts plus user suggested alternatives. Hence, a higher number means a more popular project.

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