construct_LSTM.py

train_sc_df = pd.DataFrame(train_sc, columns=['Y'], index=train.index)
test_sc_df = pd.DataFrame(test_sc, columns=['Y'], index=test.index)

for s in range(1,2):
    train_sc_df['X_{}'.format(s)] = train_sc_df['Y'].shift(s)
    test_sc_df['X_{}'.format(s)] = test_sc_df['Y'].shift(s)

X_train = train_sc_df.dropna().drop('Y', axis=1)
y_train = train_sc_df.dropna().drop('X_1', axis=1)

X_test = test_sc_df.dropna().drop('Y', axis=1)
y_test = test_sc_df.dropna().drop('X_1', axis=1)

X_train = X_train.as_matrix()
y_train = y_train.as_matrix()

X_test = X_test.as_matrix()
y_test = y_test.as_matrix()

X_train_lmse = X_train.reshape(X_train.shape[0], X_train.shape[1], 1)
X_test_lmse = X_test.reshape(X_test.shape[0], X_test.shape[1], 1)

print('Train shape: ', X_train_lmse.shape)
print('Test shape: ', X_test_lmse.shape)