Datawhale组队学习-金融时序数据挖掘实践-Task06建模预测

最新推荐文章于 2024-05-28 12:34:44 发布
最新推荐文章于 2024-05-28 12:34:44 发布
阅读量335 收藏
点赞数
文章标签： 数据挖掘
版权声明：本文为博主原创文章，遵循 CC 4.0 BY-SA 版权协议，转载请附上原文出处链接和本声明。
本文链接：https://blog.csdn.net/liuyi6111/article/details/108229376
版权

Datawhale组队学习-金融时序数据挖掘实践-Task06建模预测

# 分割数据集

def split_data_underline(data: pd.DataFrame)->pd.DataFrame:
    trainset = data[(datetime.datetime(2014,4,1) <= data['date']) & (data['date'] < datetime.datetime(2014,8,1))]
    testset = data[(datetime.datetime(2014,8,1) <= data['date']) & (data['date'] < datetime.datetime(2014,9,1))]
    return trainset, testset

def split_data_online(data: pd.DataFrame)->pd.DataFrame:
    trainset = data[(datetime.datetime(2014,4,1) <= data['date']) & (data['date'] < datetime.datetime(2014,9,1))]
    testset = data[(datetime.datetime(2014,9,1) <= data['date']) & (data['date'] < datetime.datetime(2014,10,1))]
    return trainset, testset
# 定义评价函数

def AE(y: Iterable, yhat: Iterable)->Iterable:
    return np.abs(y - yhat) / np.abs(y)

def total_AE(purchasehat: Iterable, redeemhat: Iterable, purchase: Iterable, redeem: Iterable, h: int = 0.3)->Iterable:
    return sum(map(lambda x : np.exp(-x/h)*10, AE(purchase, purchasehat))) * 0.45 + sum(map(lambda x : np.exp(-x/h)*10, AE(redeem, redeemhat))) * 0.55
# 在不同的时间段对模型进行验证

def week_evalution_single(data: pd.DataFrame, model: object, types: str)->pd.DataFrame:
    results = []
    a_month = relativedelta(months=1)
    for i in [datetime.datetime(2014, 8, 1), datetime.datetime(2014, 7, 25), datetime.datetime(2014, 7, 18), datetime.datetime(2014, 7, 11), 
          datetime.datetime(2014, 7, 4), datetime.datetime(2014, 6, 27), datetime.datetime(2014, 6,20)]:
        trainset = data[(i - 4 * a_month <= data['date']) & (data['date'] < i)]
        testset = data[(i <= data['date']) & (data['date'] < i + a_month)]
        if len(testset) == 0 or len(trainset) == 0:
            i = datetime.datetime(2014, 4, 20)
            trainset = data[(i - 4 * a_month <= data['date']) & (data['date'] < i)]
            testset = data[(i <= data['date']) & (data['date'] < datetime.datetime(2014, 9, 1))]
        feature = [x for x in trainset.columns if x not in ['total_purchase_amt','total_redeem_amt','date']]
        
        model.fit(X=trainset[feature], y=trainset['total_' + types + '_amt'])
        result_lr = model.predict(testset[feature])
        
        h = 0.3
        results.append(sum(AE(testset['total_' + types + '_amt'], result_lr).apply(lambda x : np.exp(-x/h))*10))
    return pd.DataFrame(results)
# 输出评级表格

def draw_eva_table(df: pd.DataFrame)->pd.DataFrame:
    rest = df.copy()
    rest['interval'] = [datetime.datetime(2014, 8, 1), datetime.datetime(2014, 7, 25), datetime.datetime(2014, 7, 18), datetime.datetime(2014, 7, 11), 
          datetime.datetime(2014, 7, 4), datetime.datetime(2014, 6, 27), datetime.datetime(2014, 6,20)]
    return rest
# 对生成结果进行可视化

def visual(result_purchase_lr: Iterable, result_redeem_lr: Iterable, testset: pd.DataFrame)->None:
    fig = plt.figure(figsize=(10,4))
    plt.plot(testset['date'], result_purchase_lr, label='predicted_purchase')
    plt.plot(testset['date'], testset['total_purchase_amt'], label='real_redeem')

    plt.legend(loc='best')
    plt.title("The distribution of real and predict purchase")
    plt.xlabel("Time")
    plt.ylabel("Amount")
    plt.show()
    fig = plt.figure(figsize=(10,4))
    sns.barplot(testset['date'].dt.day ,result_purchase_lr - testset['total_purchase_amt'])

    fig = plt.figure(figsize=(10,4))
    plt.plot(testset['date'], result_redeem_lr, label='predicted_redeem')
    plt.plot(testset['date'], testset['total_redeem_amt'], label='real_redeem')

    plt.legend(loc='best')
    plt.title("The distribution of real and predict redeem")
    plt.xlabel("Time")
    plt.ylabel("Amount")
    plt.show()
    fig = plt.figure(figsize=(10,4))
    sns.barplot(testset['date'].dt.day ,result_redeem_lr - testset['total_redeem_amt'])
# 定义提取线下最好效果特征的函数

def feature_extract(data: pd.DataFrame, model: object, types: str)->Tuple[List[str], List[float]]:
    features = [x for x in data.columns if x not in labels + ['date']]
    random.shuffle(features)
    results = []
    score = -1
    for i in features:
        score_update = np.mean(week_evalution_single(data[results + [i] + labels + ['date']], model, types))
        if score_update > score:
            score = score_update
            results.append(i)
    return results, score
    
def robust_feature_extract(data: pd.DataFrame, model: object, types: str):
    results = []
    score = -1
    for i in range(10):
        results_update, score_update = feature_extract(data, model, types)
        if score_update > score:
            score = score_update
            results = results_update
        print(results_update, score_update)
    return results
# 定义AIC,BIC评价指标

def AIC(L: Iterable, delta: float, n_features: int):
    return L * np.log10(delta) + 2 * (n_features + 1)
def AIC(L: Iterable, delta: float, n_features: int):
    return L * np.log10(delta) + (n_features + 1) * np.log10(L)
# 使用AIC指标融合模型

def feature_extract_AIC(data: pd.DataFrame, model: object, types: str)->Tuple[List[str], float]:
    features = [x for x in data.columns if x not in labels + ['date']]
    random.shuffle(features)
    results = []
    test_score = 1e9
    train_score = 0
    for i in features:
        test_score_update = np.mean(week_evalution_single(data[results + [i] + labels + ['date']], model, types)[0])
        if test_score_update < test_score:
            test_score = test_score_update
            results.append(i)
            
    trainset, testset = split_data_underline(data)
    feature = results
    model.fit(X=trainset[feature], y=trainset['total_' + types + '_amt'])
    train_result_lr = model.predict(trainset[feature])
    delta = mean_squared_error(train_result_lr, trainset['total_' + types + '_amt'])
    #delta = np.sum(AE(trainset['total_' + types + '_amt'], train_result_lr).apply(lambda x : np.exp(-x/0.1))*10)
    return results, AIC(len(trainset), delta, len(feature))

def multi_model(data: pd.DataFrame, model: object, types: str)->Tuple[List[List[str]], float]:
    features = []
    weights = []
    for i in range(100):
        results_update, score_update = feature_extract_AIC(data, model, types)
        features.append(results_update)
        weights.append(score_update)
    avg = np.mean(weights)
    weights = [x - avg for x in weights]
    weights = [np.power((-1 * x / 2), 10) for x in weights]
    summ = np.sum(weights)
    weights = [x / summ for x in weights]
    return features, weights
# 生成线上结果

def generate_online_result(df: pd.DataFrame, feature: Iterable, model = LinearRegression(), target:str = 'total_purchase_amt')->Iterable:
    trainset, testset = split_data_online(df)
    model.fit(X=trainset[feature], y=trainset[target])
    result_purchase_lr = model.predict(testset[feature])
    return result_purchase_lr
def generate_under_result(df: pd.DataFrame, feature: Iterable, model = LinearRegression(), target:str = 'total_purchase_amt')->Iterable:
    trainset, testset = split_data_underline(df)
    model.fit(X=trainset[feature], y=trainset[target])
    result_purchase_lr = model.predict(testset[feature])
    return result_purchase_lr
# 生成线上提交的格式

def normalize_upload_file(result_purchase_lr: Iterable, result_redeem_lr: Iterable, testset: pd.DataFrame)->pd.DataFrame:
    testset['total_purchase_amt'] = result_purchase_lr
    testset['total_redeem_amt'] = result_redeem_lr
    online_upload = testset[['date','total_purchase_amt','total_redeem_amt']]
    online_upload['date'] = online_upload['date'].astype(str)
    online_upload['date'] = online_upload['date'].str.replace('-','')
    return online_upload
# 线上结果可视化

def draw_result(result_purchase_lr: Iterable, result_redeem_lr: Iterable, testset: pd.DataFrame):
    fig = plt.figure(figsize=(10,4))
    plt.plot(testset['date'].dt.day, result_purchase_lr, label='online_purchase')
    plt.plot(testset['date'].dt.day, result_redeem_lr, label='online_redeem')

    plt.legend(loc='best')
    plt.title("The predict values")
    plt.xlabel("Time")
    plt.ylabel("Amount")
# 重载DataFrame加法

def add_two_df(df1, df2, features = None, left_a = 0.45, right_a = 0.55):
    data = df1.copy()
    if not features:
        features = [x for x in data.columns if x != 'interval']
    for i in features:
        data[i] = (data[i] * left_a + df2[i] * right_a)
    return data
# 重载DataFrame乘法

def scale_df(df1, features = None, eta = 1):
    data = df1.copy()
    if not features:
        features = [x for x in data.columns if x != 'interval']
    for i in features:
        data[i] *= eta
    return data

建模测试

一、仅使用IS特征

data = pd.read_csv('Feature/feature0522.csv')
data['date'] = pd.to_datetime(data['date'])
trainset, testset = split_data_underline(data)
result_purchase_lr = generate_under_result(data, [x for x in data.columns if x not in ['total_purchase_amt','total_redeem_amt','date']], target='total_purchase_amt')
result_redeem_lr = generate_under_result(data, [x for x in data.columns if x not in ['total_purchase_amt','total_redeem_amt','date']], target='total_redeem_amt')

在八月份预测结果

total_AE(result_purchase_lr, result_redeem_lr, testset['total_purchase_amt'], testset['total_redeem_amt'])
181.33136087344428

滑窗测试结果

draw_eva_table(week_evalution_single(data, model=LinearRegression(), types = 'purchase'))

.dataframe tbody tr th {
vertical-align: top;
}

.dataframe thead th {
text-align: right;
}

0interval
0183.0658902014-08-01
1171.4577252014-07-25
2171.2872432014-07-18
3178.2790232014-07-11
4155.6225022014-07-04
5172.0699472014-06-27
6170.6001512014-06-20
draw_eva_table(week_evalution_single(data, LinearRegression(), 'redeem'))

.dataframe tbody tr th {
vertical-align: top;
}

.dataframe thead th {
text-align: right;
}

0interval
0179.9122012014-08-01
1163.0089952014-07-25
2196.6291352014-07-18
3192.7369562014-07-11
4183.1697032014-07-04
5169.1593892014-06-27
6146.4268132014-06-20

八月份预测图与真实图

visual(result_purchase_lr, result_redeem_lr, testset)
result_purchase_lr = generate_online_result(data, [x for x in trainset.columns if x not in ['total_purchase_amt','total_redeem_amt','date']], LinearRegression(),'total_purchase_amt')
result_redeem_lr = generate_online_result(data, [x for x in trainset.columns if x not in ['total_purchase_amt','total_redeem_amt','date']], LinearRegression(),'total_redeem_amt')

九月份预测效果图(线性)

trainset, testset = split_data_online(data)
draw_result(result_purchase_lr, result_redeem_lr, testset)
normalize_upload_file(result_purchase_lr, result_redeem_lr, testset).to_csv('20190612_only_is.csv',index=False,header=None)

二、多模型对比

def multi_model_eva(data, types:str = 'purchase'):
    results = pd.DataFrame()
    for model in [LinearRegression(), DecisionTreeRegressor(), RandomForestRegressor(), GradientBoostingRegressor(), MLPRegressor(solver='lbfgs'), xgb.XGBRegressor(objective='reg:squarederror')]:
        if results.empty:
            results = draw_eva_table(week_evalution_single(data, model, types)).rename(columns={0: repr(model).split('(')[0]})
        else:
            results = pd.merge(results, \
                               draw_eva_table(week_evalution_single(data, model, types)).rename(columns={0: repr(model).split('(')[0]}), on='interval')
    results = results[['interval'] + [x for x in results.columns if x != 'interval']]
    return results
add_two_df(multi_model_eva(data, 'purchase'), multi_model_eva(data, 'redeem'))
intervalLinearRegressionDecisionTreeRegressorRandomForestRegressorGradientBoostingRegressorMLPRegressorXGBRegressor
02014-08-01181.331361169.030216176.632192176.240388155.715286167.801773
12014-07-25166.810924168.392443160.215833163.374931153.219054155.202897
22014-07-18185.225284175.335379174.538846181.007745161.291556169.279106
32014-07-11186.230886166.479808168.981595186.382701163.734488164.596057
42014-07-04170.773462158.429039162.754653159.026518152.748522161.770166
52014-06-27170.469141159.063455165.006343160.792327152.552558157.707240
62014-06-20157.304815159.322429170.665713160.345086155.812109159.126603

三、劣汰后特征对比

data_purchase = pd.read_csv('Feature/purchase_feature_droped_0614.csv')
data_purchase['date'] = pd.to_datetime(data_purchase['date'])
data_redeem = pd.read_csv('Feature/redeem_feature_droped_0614.csv')
data_redeem['date'] = pd.to_datetime(data_redeem['date'])
trainset_purchase, testset_purchase = split_data_underline(data_purchase)
result_purchase_lr = generate_under_result(data_purchase, [x for x in data_purchase.columns
                                                           if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                           target='total_purchase_amt')
trainset_redeem, testset_redeem = split_data_underline(data_redeem)
result_redeem_lr = generate_under_result(data_redeem, [x for x in data_redeem.columns
                                                           if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                           target='total_redeem_amt')
total_AE(result_purchase_lr, result_redeem_lr, testset_purchase['total_purchase_amt'], testset_redeem['total_redeem_amt'])
179.9616051090385

add_two_df(multi_model_eva(data_purchase, 'purchase'), multi_model_eva(data_redeem, 'redeem'))
intervalLinearRegressionDecisionTreeRegressorRandomForestRegressorGradientBoostingRegressorMLPRegressorXGBRegressor
02014-08-01179.961605163.019673175.398462177.133802184.750718167.409556
12014-07-25173.177626169.003929174.898641170.808069172.152014158.406531
22014-07-18185.057360179.395250180.712792184.696870181.826961174.166971
32014-07-11184.842161171.521045171.399065173.751073184.777610174.109277
42014-07-04175.685638155.829969165.596484164.109854172.663122147.698808
52014-06-27174.055984171.387970186.971153181.847785168.671175166.659716
62014-06-20160.951814169.898831167.979004167.656092163.895508156.299719

八月份预测效果(线性)

trainset, testset = split_data_underline(data)
visual(result_purchase_lr, result_redeem_lr, testset)
result_purchase_lr = generate_online_result(data_purchase, [x for x in data_purchase.columns if x not in ['total_purchase_amt','total_redeem_amt','date']], LinearRegression(),'total_purchase_amt')
result_redeem_lr = generate_online_result(data_redeem, [x for x in data_redeem.columns if x not in ['total_purchase_amt','total_redeem_amt','date']], LinearRegression(),'total_redeem_amt')

生成线上效果（线性）

可以看到28号很高（work in Sunday）

trainset, testset = split_data_online(data)
draw_result(result_purchase_lr, result_redeem_lr, testset)

purchase feature

‘dis_to_nowork’, ‘dis_to_work’, ‘dis_from_work’, ‘purchase_weekdayrate’,
‘redeem_dayrate’, ‘weekday_onehot_5’, ‘weekday_onehot_6’,
‘dis_from_nowork’, ‘is_holiday’, ‘weekday_onehot_1’, ‘weekday_onehot_2’,
‘weekday_onehot_0’, ‘dis_from_middleofweek’, ‘dis_from_holiendday’,
‘weekday_onehot_3’, ‘is_lastday_of_holiday’, ‘is_firstday_of_holiday’,
‘weekday_onehot_4’, ‘is_worked_yestday’, ‘is_second_week’,
‘is_third_week’, ‘dis_from_startofmonth’, ‘dis_from_holiday’,
‘dis_to_nowork%%%%dis_from_purchase_peak’, ‘total_purchase_amt’,
‘total_redeem_amt’, ‘date’

Redeem feature

‘is_work’, ‘dis_from_redeem_valley’, ‘purchase_weekdayrate’,
‘redeem_dayrate’, ‘weekday_onehot_5’, ‘is_gonna_work_tomorrow’,
‘is_holiday’, ‘dis_from_nowork’, ‘weekday_onehot_0’, ‘weekday_onehot_1’,
‘is_firstday_of_holiday’, ‘weekday_onehot_2’, ‘is_lastday_of_holiday’,
‘dis_from_holiday’, ‘is_work_on_sunday’, ‘is_firstday_of_work’,
‘is_secday_of_month’, ‘dis_from_holiendday’,
‘dis_from_redeem_valley%%%%dis_from_redeem_peak’, ‘total_purchase_amt’,
‘total_redeem_amt’, ‘date’

normalize_upload_file(result_purchase_lr, result_redeem_lr, testset).to_csv('20190614_droped.csv',index=False,header=None)

生成线上效果（MLP）

result_purchase_lr = generate_online_result(data_purchase, [x for x in data_purchase.columns 
                                                            if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                            MLPRegressor(solver='lbfgs'),'total_purchase_amt')
result_redeem_lr = generate_online_result(data_redeem, [x for x in data_redeem.columns 
                                                        if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                          MLPRegressor(solver='lbfgs'),'total_redeem_amt')
trainset, testset = split_data_online(data)
draw_result(result_purchase_lr, result_redeem_lr, testset)
normalize_upload_file(result_purchase_lr, result_redeem_lr, testset).to_csv('20190614_droped_MLP.csv',index=False,header=None)

生成线上效果（Xgboost）

result_purchase_lr = generate_online_result(data_purchase, [x for x in data_purchase.columns 
                                                            if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                            xgb.XGBRegressor(objective='reg:squarederror'),'total_purchase_amt')
result_redeem_lr = generate_online_result(data_redeem, [x for x in data_redeem.columns 
                                                        if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                          xgb.XGBRegressor(objective='reg:squarederror'),'total_redeem_amt')
trainset, testset = split_data_online(data)
draw_result(result_purchase_lr, result_redeem_lr, testset)
normalize_upload_file(result_purchase_lr, result_redeem_lr, testset).to_csv('20190615_droped_XGB.csv',index=False,header=None)

四、AIC模型平均

purchase_features, purchase_weight = multi_model(data_purchase, model=LinearRegression(), types = 'purchase')
redeem_features, redeem_weight = multi_model(data_redeem, model=LinearRegression(), types = 'redeem')
def eva_for_aic(data_purchase, purchase_features, purchase_weight):
    results = pd.DataFrame()
    for index, feature in enumerate(purchase_features):
        if results.empty:
            results = scale_df(multi_model_eva(data_purchase[['date'] + labels + feature], 'purchase'), 
                               eta = purchase_weight[index])
        else:
            results = add_two_df(results, multi_model_eva(data_purchase[['date'] + labels + feature], 'purchase')
                                 , left_a = 1,
                                 right_a = purchase_weight[index])
    return results
add_two_df(eva_for_aic(data_purchase, purchase_features, purchase_weight), 
           eva_for_aic(data_redeem, redeem_features, redeem_weight))

.dataframe tbody tr th {
vertical-align: top;
}

.dataframe thead th {
text-align: right;
}

intervalLinearRegressionDecisionTreeRegressorRandomForestRegressorGradientBoostingRegressorMLPRegressorXGBRegressor
02014-08-01188.741337183.739410187.347992188.011877191.037310184.762524
12014-07-25162.092486165.415100166.043526167.257643164.424520166.576594
22014-07-18163.022860167.524104168.983450166.397735165.082735166.585841
32014-07-11165.790349172.584968171.045943173.085994166.181061171.459492
42014-07-04158.676371156.351233155.651067160.894718160.442634159.819203
52014-06-27166.976077171.751816176.117904173.648444170.185229172.523209
62014-06-20167.495557168.043302172.188296172.088764168.723108169.890986

五、针对残差建模

data_purchase = pd.read_csv('Feature/0615_residual_purchase_origined.csv')
data_purchase['date'] = pd.to_datetime(data_purchase['date'])
data_redeem = pd.read_csv('Feature/0615_residual_redeem_origined.csv')
data_redeem['date'] = pd.to_datetime(data_redeem['date'])
base = pd.read_csv('Data/base2.csv')
def generate_residual_result(data, base, model=LinearRegression(), types = 'purchase', split_time = datetime.datetime(2014,8,1)):
    a_month = relativedelta(months=1)
    trainset = data[(datetime.datetime(2014,4,1) <= data['date']) & (data['date'] < split_time)]
    testset = data[(split_time <= data['date']) & (data['date'] < split_time + a_month)]
    feature = [x for x in data_purchase.columns 
               if x not in ['total_purchase_amt','total_redeem_amt','date']]
    model.fit(X=trainset[feature], y=trainset['total_' + types + '_amt'])
    result_purchase_rate = model.predict(testset[feature])
    
    base['date'] = pd.to_datetime(base['date'], format= "%Y%m%d")
    result_purchase_cycle = np.array(base[(base['date'] >= split_time)
                                          &(base['date'] < split_time + a_month)]['total_'+types+'_predicted_by_cycle'])
    result_purchase_residual =  result_purchase_rate * np.array(result_purchase_cycle)
    return result_purchase_residual
def generate_evaluate_for_residual(model=LinearRegression()):
    result = []
    for i in [datetime.datetime(2014, 8, 1), datetime.datetime(2014, 7, 25), datetime.datetime(2014, 7, 18), datetime.datetime(2014, 7, 11), 
              datetime.datetime(2014, 7, 4), datetime.datetime(2014, 6, 27), datetime.datetime(2014, 6,20)]:
        result_purchase_residual = generate_residual_result(data_purchase, base, model=model, types='purchase', split_time = i)
        result_redeem_residual = generate_residual_result(data_purchase, base, model=model, types='redeem', split_time= i)
        a_month = relativedelta(months=1)
        testset = data[(data['date'] >= i) & (data['date'] < i + a_month)]
        real_purchase = testset['total_purchase_amt']
        real_redeem = testset['total_redeem_amt']
        result.append(total_AE(result_purchase_residual, result_redeem_residual, real_purchase, real_redeem))
    return pd.DataFrame(result)
def multi_model_eva_for_residual():
    results = pd.DataFrame()
    for model in [LinearRegression(), DecisionTreeRegressor(), RandomForestRegressor(), GradientBoostingRegressor(), MLPRegressor(solver='lbfgs'), xgb.XGBRegressor(objective='reg:squarederror')]:
        if results.empty:
            results = draw_eva_table(generate_evaluate_for_residual(model)).rename(columns={0: repr(model).split('(')[0]})
        else:
            results = pd.merge(results, \
                               draw_eva_table(generate_evaluate_for_residual(model)).rename(columns={0: repr(model).split('(')[0]}))
    results = results[['interval'] + [x for x in results.columns if x != 'interval']]
    return results
def generate_evaluate_for_cycle():
    result = []
    for i in [datetime.datetime(2014, 8, 1), datetime.datetime(2014, 7, 25), datetime.datetime(2014, 7, 18), datetime.datetime(2014, 7, 11), 
                  datetime.datetime(2014, 7, 4), datetime.datetime(2014, 6, 27), datetime.datetime(2014, 6,20)]:
        a_month = relativedelta(months=1)
        testset = base[(base['date'] >= i) & (base['date'] < i + a_month)].reset_index(drop=True)
        result_purchase_residual = testset['total_purchase_predicted_by_cycle']
        result_redeem_residual = testset['total_redeem_predicted_by_cycle']
        testset = data[(data['date'] >= i) & (data['date'] < i + a_month)].reset_index(drop=True)
        real_purchase = testset['total_purchase_amt']
        real_redeem = testset['total_redeem_amt']
        result.append(total_AE(result_purchase_residual, result_redeem_residual, real_purchase, real_redeem))
    return pd.DataFrame(result).rename(columns={0: 'PureTimeSeries'})
pd.merge(multi_model_eva_for_residual(), draw_eva_table(generate_evaluate_for_cycle()))

.dataframe tbody tr th {
vertical-align: top;
}

.dataframe thead th {
text-align: right;
}

intervalLinearRegressionDecisionTreeRegressorRandomForestRegressorGradientBoostingRegressorMLPRegressorXGBRegressorPureTimeSeries
02014-08-010.00.00.00.00.00.0175.933714
12014-07-250.00.00.00.00.00.0155.916275
22014-07-180.00.00.00.00.00.0169.890622
32014-07-110.00.00.00.00.00.0165.668307
42014-07-040.00.00.00.00.00.0155.458113
52014-06-270.00.00.00.00.00.0160.758547
62014-06-200.00.00.00.00.00.0154.336379

(1) 只使用周期因子在8月份的预测效果

_, testset = split_data_underline(data)
real_purchase = testset['total_purchase_amt']
real_redeem = testset['total_redeem_amt']
result_purchase_cycle = np.array(base[(base['date'] >= datetime.datetime(2014,8,1))&(base['date'] < datetime.datetime(2014,9,1))]['total_purchase_predicted_by_cycle'])
result_redeem_cycle = np.array(base[(base['date'] >= datetime.datetime(2014,8,1))&(base['date'] < datetime.datetime(2014,9,1))]['total_redeem_predicted_by_cycle'])
total_AE(result_purchase_cycle, result_redeem_cycle, real_purchase, real_redeem)
175.93371418259747

trainset, testset = split_data_underline(data)
visual(result_purchase_cycle, result_redeem_cycle, testset)

(2) 只使用周期因子+预测残差在8月份的预测效果（比单纯用因子好）

trainset_purchase, testset_purchase = split_data_underline(data_purchase)
result_purchase_rate = generate_under_result(data_purchase, [x for x in data_purchase.columns
                                                           if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                           target='total_purchase_amt')
trainset_redeem, testset_redeem = split_data_underline(data_redeem)
result_redeem_rate = generate_under_result(data_redeem, [x for x in data_redeem.columns
                                                           if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                           target='total_redeem_amt')
total_AE(result_purchase_rate * result_purchase_cycle, result_redeem_rate * result_redeem_cycle, real_purchase, real_redeem)
0.0

trainset, testset = split_data_underline(data)
visual(result_purchase_rate * result_purchase_cycle, result_redeem_rate * result_redeem_cycle, testset)

(3) 生成线上结果

#data_purchase1 = data_purchase[(data_purchase['date']<datetime.datetime(2014,9,1))]
data_purchase = data_purchase.fillna(0)
data_redeem = data_redeem.fillna(0)
trainset_purchase, testset_purchase = split_data_online(data_purchase)
result_purchase_rate = generate_online_result(data_purchase, [x for x in data_purchase.columns
                                                           if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                           target='total_purchase_amt')
trainset_redeem, testset_redeem = split_data_online(data_redeem)
result_redeem_rate = generate_online_result(data_redeem, [x for x in data_redeem.columns
                                                           if x not in ['total_purchase_amt','total_redeem_amt','date']], 
                                           target='total_redeem_amt')
# 修正一下预测结果试试
result_purchase_rate = result_purchase_rate / np.mean(result_purchase_rate)
result_redeem_rate = result_redeem_rate / np.mean(result_redeem_rate)
result_purchase_cycle = np.array(base[(base['date'] >= datetime.datetime(2014,9,1))&(base['date'] < datetime.datetime(2014,10,1))]['total_purchase_predicted_by_cycle'])
result_redeem_cycle = np.array(base[(base['date'] >= datetime.datetime(2014,9,1))&(base['date'] < datetime.datetime(2014,10,1))]['total_redeem_predicted_by_cycle'])
result_purchase_residual = result_purchase_rate * result_purchase_cycle
result_redeem_residual = result_redeem_rate * result_redeem_cycle
月份周期因子线上结果（135）
draw_result(result_purchase_cycle, result_redeem_cycle, testset_redeem)
残差处理后结果
draw_result(result_purchase_residual, result_redeem_residual, testset_redeem)
normalize_upload_file(result_purchase_residual, result_redeem_residual, testset_redeem).to_csv('20190622_residual_liner.csv',index=False,header=None)
liuyi6111
关注
  • 0
    点赞
  • 踩
  • 0
    收藏
    觉得还不错? 一键收藏
  • 0
    评论
Datawhale时间序列挖掘学习资金流入流出预测（一）之数据探索与分析
weixin_45306755的博客
08-18 1149
本次学习的内容来自阿里天池大赛赛题。 赛题简介 蚂蚁金服拥有上亿会员并且业务场景中每天都涉及大量的资金流入和流出，面对如此庞大的用户群，资金管理压力会非常大。在既保证资金流动性风险最小，又满足日常业务运转的情况下，精准地预测资金的流入流出情况变得尤为重要。此届大赛以《资金流入流出预测》为题，期望参赛者能够通过对例如余额宝用户的申购赎回数据的把握，精准预测未来每日的资金流入流出情况。对货币基金而言，资金流入意味着申购行为，资金流出为赎回行为。 赛题与数据链接见：https://tianchi.ali..
DataWhale组队学习-SQL秋招秘籍ABC.zip
09-27
ch06：秋招秘籍 A 6.1 练习一: 各部门工资最高的员工（难度：中等） 6.2 练习二: 换座位（难度：中等） 6.3 练习三: 分数排名（难度：中等） 6.4 练习四：连续出现的数字（难度：中等） 6.5 练习五：树节点 ...
【资金流入流出预测】 数据探索
wwqnmdhmp的博客
08-19 972
import pandas as pd import numpy as np import warnings import datetime import seaborn as sns import matplotlib.pyplot as plt warnings.filterwarnings('ignore') %matplotlib inline plt.rcParams['font.sans-serif'] = ['KaiTi'] # 指定默认字体 plt.rcParams['axes.unic
七月组队学习！
Datawhale
07-16 367
↑↑↑关注后"星标"Datawhale每日干货&每月组队学习，不错过Datawhale学习开源支持：阿里云天池、MindSpore开源社区、异步社区本月组...
资金流入流出预测-数据分析与探索
avagogogo的博客
08-20 1436
这里写自定义目录标题数据分析与探索1. 数据探索和准备步骤功能快捷键合理的创建标题，有助于目录的生成如何改变文本的样式插入链接与图片如何插入一段漂亮的代码片生成一个适合你的列表创建一个表格设定内容居中、居左、居右SmartyPants创建一个自定义列表如何创建一个注脚注释也是必不可少的KaTeX数学公式新的甘特图功能，丰富你的文章UML 图表FLowchart流程图导出与导入导出导入 数据分析与探索 1. 数据探索和准备步骤 时间序列图：便于观察数据的特点（周期性、震荡幅度） 数据分布可视化： 直方图
Datawhale-九月组队学习
miao_sunshine的博客
09-14 261
Datawhale-九月组队学习零基础入门金融风控-贷款违约预测Day_1 零基础入门金融风控-贷款违约预测 第一次加入学习小组，愿我能坚持下来，有所收获，有所成长 Day_1 一、成功注册阿里云天池账号，报名《零基础入门金融风控-贷款违约预测》比赛，并下载数据 二、学习了python基本的数据的读取 三、分类指标评价 y_pred和y_true 用于调用confusion_matrix和accuracy_score，是写死的 y_pred模拟预测结果 y_true 模拟实际结果 accuracy_sc
Datawhale组队学习-金融时序数据挖掘实践-Task05特征工程
liuyi6111的博客
08-25 269
Datawhale组队学习-金融时序数据挖掘实践-Task05特征工程 # 为方面后面操作，设置全局index变量 labels = ['total_purchase_amt','total_redeem_amt'] date_indexs = ['week','year','month','weekday','day'] # Load the balance data def load_data(path: str = 'user_balance_table.csv')->pd.DataFram
DataWhale组队打卡学习营task04-1 机器翻译
01-06
机器翻译和数据集 机器翻译（MT）：将一段文本从一种语言自动翻译为另一种语言，用神经网络解决这个问题通常称为神经机器翻译（NMT）。 主要特征：输出是单词序列而不是单个单词。 输出序列的长度可能与源序列的长度...
team-learning-data-mining:主要存储Datawhale组队学习中“数据挖掘机器学习”方向的资料
03-17
本项目主要存储Datawhale组队学习中的“数据挖掘/机器学习”方向的资料。 主要包括： 备注 有关组队学习的开源内容 ：主要展示Datawhale的组队学习计划。 ：主要存储Datawhale组队学习中“编程，数据结构与算法”...
DataWhale组队打卡学习营task05-1 卷积神经网络基础
01-06
本节介绍的是最常见的二维卷积层，常用于处理图像数据。 二维互相关运算 二维互相关（cross-correlation）运算的输入是一个二维输入数组和一个二维核（kernel）数组，输出也是一个二维数组，其中核数组通常称为卷积...
主要存储Datawhale组队学习中数据结构与算法”方向的资料
01-01
数据结构
基于LSTM多维度特征的资金流预测
STAR GAME
05-27 7462
LSTM多维度项目背景观察数据进行处理特征选择合理的创建标题，有助于目录的生成如何改变文本的样式插入链接与图片如何插入一段漂亮的代码片生成一个适合你的列表创建一个表格设定内容居中、居左、居右SmartyPants创建一个自定义列表如何创建一个注脚注释也是必不可少的KaTeX数学公式新的甘特图功能，丰富你的文章UML 图表FLowchart流程图导出与导入导出导入 项目背景 本篇主要是使用天池比赛中...
数据挖掘与机器学习——回归分析
m0_63181360的博客
05-28 356
回归分析定义： 案例： 线性回归 预备知识： 定义： 一元线性回归： 如何找出最佳的一元线性回归模型： 案例： python实现： 多元线性回归 案例： 线性回归的优缺点： 逻辑回归（解决分类问题） 案例： 定义： python实现： 案例： 逻辑回归优点： 逻辑回归缺点：（解决分类问题）
WX小程序源码小游戏类
05-28
WX小程序源码小游戏类提取方式是百度网盘分享地址
grpcio-1.47.2-cp310-cp310-musllinux_1_1_x86_64.whl
最新发布
05-28
Python库是一组预先编写的代码模块，旨在帮助开发者实现特定的编程任务，无需从零开始编写代码。这些库可以包括各种功能，如数学运算、文件操作、数据分析和网络编程等。Python社区提供了大量的第三方库，如NumPy、Pandas和Requests，极大地丰富了Python的应用领域，从数据科学到Web开发。Python库的丰富性是Python成为最受欢迎的编程语言之一的关键原因之一。这些库不仅为初学者提供了快速入门的途径，而且为经验丰富的开发者提供了强大的工具，以高效率、高质量地完成复杂任务。例如，Matplotlib和Seaborn库在数据可视化领域内非常受欢迎，它们提供了广泛的工具和技术，可以创建高度定制化的图表和图形，帮助数据科学家和分析师在数据探索和结果展示中更有效地传达信息。
cryptography-42.0.3-cp37-abi3-musllinux_1_1_x86_64.whl
05-28
Python库是一组预先编写的代码模块，旨在帮助开发者实现特定的编程任务，无需从零开始编写代码。这些库可以包括各种功能，如数学运算、文件操作、数据分析和网络编程等。Python社区提供了大量的第三方库，如NumPy、Pandas和Requests，极大地丰富了Python的应用领域，从数据科学到Web开发。Python库的丰富性是Python成为最受欢迎的编程语言之一的关键原因之一。这些库不仅为初学者提供了快速入门的途径，而且为经验丰富的开发者提供了强大的工具，以高效率、高质量地完成复杂任务。例如，Matplotlib和Seaborn库在数据可视化领域内非常受欢迎，它们提供了广泛的工具和技术，可以创建高度定制化的图表和图形，帮助数据科学家和分析师在数据探索和结果展示中更有效地传达信息。
2021131528+谢镕汕.zip
05-28
2021131528+谢镕汕.zip
sja1301.i386.tar.gz
05-28
SQLyong 各个版本，免费下载 SQLyog是业界著名的Webyog公司出品的一款简洁高效、功能强大的图形化MySQL数据库管理工具。使用SQLyog可以快速直观地让您从世界的任何角落通过网络来维护远端的MySQL数据库。
数学建模组队问题cdns
08-17
数学建模组队问题cdns是一个实际问题，需要通过数学建模的方法来解决。 首先，cdns问题是指内容分发网络中的带宽分配问题。内容分发网络是为了提高用户对网络资源的访问效率而设计的。而带宽分配是指在网络中的各个...

“相关推荐”对你有帮助么？

  • 非常没帮助
  • 没帮助
  • 一般
  • 有帮助
  • 非常有帮助
提交
评论
添加红包

请填写红包祝福语或标题

个

红包个数最小为10个

元

红包金额最低5元

当前余额3.43元 前往充值 >
需支付：10.00元
成就一亿技术人!
领取后你会自动成为博主和红包主的粉丝 规则
hope_wisdom
发出的红包
实付元
使用余额支付
点击重新获取
扫码支付
钱包余额 0

抵扣说明：

1.余额是钱包充值的虚拟货币，按照1:1的比例进行支付金额的抵扣。
2.余额无法直接购买下载，可以购买VIP、付费专栏及课程。

余额充值