数据挖掘 —— 金融数据（三）

task3
用逻辑回归、svm和决策树；随机森林和XGBoost进行模型构建，评分方式任意，如准确率等。（不需要考虑模型调参）

# 导入库
from sklearn.linear_model import LogisticRegression
from sklearn.svm import LinearSVC
from sklearn.tree import DecisionTreeClassifier
from sklearn.ensemble import RandomForestClassifier
from xgboost import XGBClassifier

from sklearn.model_selection import RandomizedSearchCV,cross_val_predict
from scipy.stats import uniform
from sklearn import metrics
from sklearn.metrics import accuracy_score,precision_score,recall_score,f1_score,roc_auc_score,roc_curve
import matplotlib.pyplot as plt

# 获取进行特征选择后的数据集
import pandas as pd
data = pd.read_csv('task2_proc.csv')
x = data.iloc[:,:-1]
y = data.iloc[:,-1]
print('feature shape:{}, label shape:{}'.format(x.shape,y.shape))

feature shape:(4455, 50), label shape:(4455,)

from sklearn.model_selection import train_test_split
from sklearn.preprocessing import StandardScaler

x_train,x_test,y_train,y_test = train_test_split(x,y,test_size = 0.3,random_state=2018)

# 对训练数据集进行标准化处理
scaler = StandardScaler()
x_train_standard = scaler.fit_transform(x_train)
x_test_standard = scaler.fit_transform(x_test)

def get_scores(y_train, y_test, y_train_predict, y_test_predict, y_train_proba, y_test_proba):
    train_accuracy = metrics.accuracy_score(y_train, y_train_predict)
    test_accuracy = metrics.accuracy_score(y_test, y_test_predict)
    # 精准率
    train_precision = metrics.precision_score(y_train, y_train_predict)
    test_precision = metrics.precision_score(y_test, y_test_predict)
    # 召回率
    train_recall = metrics.recall_score(y_train, y_train_predict)
    test_recall = metrics.recall_score(y_test, y_test_predict)
    # F1-score
    train_f1_score = metrics.f1_score(y_train, y_train_predict)
    test_f1_score = metrics.f1_score(y_test, y_test_predict)
    # AUC
    train_auc = metrics.roc_auc_score(y_train, y_train_proba)
    test_auc = metrics.roc_auc_score(y_test, y_test_proba)
    # ROC
    train_fprs, train_tprs, train_thresholds = metrics.roc_curve(y_train, y_train_proba)
    test_fprs, test_tprs, test_thresholds = metrics.roc_curve(y_test, y_test_proba)
    plt.plot(train_fprs, train_tprs)
    plt.plot(test_fprs, test_tprs)
    plt.title("ROC Curve")
    plt.xlabel("FPR")
    plt.ylabel("TPR")
    plt.show()
    # 输出评分
    print("训练集准确率：", train_accuracy)
    print("测试集准确率：", test_accuracy)
    print("训练集精准率：", train_precision)
    print("测试集精准率：", test_precision)
    print("训练集召回率：", train_recall)
    print("测试集召回率：", test_recall)
    print("训练集F1-score：", train_f1_score)
    print("测试集F1-score：", test_f1_score)
    print("训练集AUC：", train_auc)
    print("测试集AUC：", test_auc)
    return test_auc

auc = []

# 逻辑回归
lr = LogisticRegression(random_state=2018)
lr.fit(x_train_standard, y_train)
y_train_predict = lr.predict(x_train_standard)
y_test_predict = lr.predict(x_test_standard)
y_train_proba = lr.predict_proba(x_train_standard)[:, 1]
y_test_proba = lr.predict_proba(x_test_standard)[:, 1]
test_auc = get_scores(y_train, y_test, y_train_predict, y_test_predict, y_train_proba, y_test_proba)
auc.append(test_auc)

训练集准确率： 0.79826812059
测试集准确率： 0.791323859387
训练集精准率： 0.711055276382
测试集精准率： 0.624309392265
训练集召回率： 0.355081555834
测试集召回率： 0.348765432099
训练集F1-score： 0.473640167364
测试集F1-score： 0.447524752475
训练集AUC： 0.806606203682
测试集AUC： 0.79632981122

# SVM
svm_linearSVC = LinearSVC(random_state=2018)
svm_linearSVC.fit(x_train_standard, y_train)
y_train_predict = svm_linearSVC.predict(x_train_standard)
y_test_predict = svm_linearSVC.predict(x_test_standard)
y_train_proba = svm_linearSVC.decision_function(x_train_standard)
y_test_proba = svm_linearSVC.decision_function(x_test_standard)
test_auc = get_scores(y_train, y_test, y_train_predict, y_test_predict, y_train_proba, y_test_proba)
auc.append(test_auc)
auc

训练集准确率： 0.79826812059
测试集准确率： 0.791323859387
训练集精准率： 0.737288135593
测试集精准率： 0.622950819672
训练集召回率： 0.32747804266
测试集召回率： 0.351851851852
训练集F1-score： 0.453518679409
测试集F1-score： 0.449704142012
训练集AUC： 0.807375460649
测试集AUC： 0.789623779752





[0.79632981121957758, 0.78962377975211129]

tree = DecisionTreeClassifier(random_state=2018)
tree.fit(x_train_standard, y_train)
y_train_predict = tree.predict(x_train_standard)
y_test_predict = tree.predict(x_test_standard)
y_train_proba = tree.predict_proba(x_train_standard)[:, 1]
y_test_proba = tree.predict_proba(x_test_standard)[:, 1]
test_auc = get_scores(y_train, y_test, y_train_predict, y_test_predict, y_train_proba, y_test_proba)
auc.append(test_auc)
auc

训练集准确率： 1.0
测试集准确率： 0.70531039641
训练集精准率： 1.0
测试集精准率： 0.404371584699
训练集召回率： 1.0
测试集召回率： 0.456790123457
训练集F1-score： 1.0
测试集F1-score： 0.428985507246
训练集AUC： 1.0
测试集AUC： 0.620793877128





[0.79632981121957758,
 0.78962377975211129,
 0.62079387712819767,
 0.62079387712819767]

# 随机森林
rf = RandomForestClassifier(n_estimators=100, oob_score=True, random_state=2018)
rf.fit(x_train_standard, y_train)
y_train_predict = rf.predict(x_train_standard)
y_test_predict = rf.predict(x_test_standard)
y_train_proba = rf.predict_proba(x_train_standard)[:, 1]
y_test_proba = rf.predict_proba(x_test_standard)[:, 1]
test_auc = get_scores(y_train, y_test, y_train_predict, y_test_predict, y_train_proba, y_test_proba)
auc.append(test_auc)
auc

训练集准确率： 1.0
测试集准确率： 0.799551234106
训练集精准率： 1.0
测试集精准率： 0.712121212121
训练集召回率： 1.0
测试集召回率： 0.29012345679
训练集F1-score： 1.0
测试集F1-score： 0.412280701754
训练集AUC： 1.0
测试集AUC： 0.7818071856





[0.79632981121957758,
 0.78962377975211129,
 0.62079387712819767,
 0.62079387712819767,
 0.78180718559955142]

# XGboost
xgb = XGBClassifier(random_state=2018)
xgb.fit(x_train_standard, y_train)
y_train_predict = xgb.predict(x_train_standard)
y_test_predict = xgb.predict(x_test_standard)
y_train_proba = xgb.predict_proba(x_train_standard)[:, 1]
y_test_proba = xgb.predict_proba(x_test_standard)[:, 1]
test_auc = get_scores(y_train, y_test, y_train_predict, y_test_predict, y_train_proba, y_test_proba)
auc.append(test_auc)
auc

训练集准确率： 0.846375881976
测试集准确率： 0.806282722513
训练集精准率： 0.842672413793
测试集精准率： 0.707006369427
训练集召回率： 0.490589711418
测试集召回率： 0.342592592593
训练集F1-score： 0.620142743854
测试集F1-score： 0.461538461538
训练集AUC： 0.909125506734
测试集AUC： 0.812420021206





[0.79632981121957758,
 0.78962377975211129,
 0.62079387712819767,
 0.62079387712819767,
 0.78180718559955142,
 0.81242002120580592]