【算法竞赛学习】资金流入流出预测-挑战Baseline_时间序列规则

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

竞赛中使用的数据主要包含四个部分，分别为用户基本信息数据、用户申购赎回数据、收益率表和银行间拆借利率表。https://tianchi.aliyun.com/competition/entrance/231573/information

时间序列规则

import pandas as pd
import sklearn as skr
import numpy as np
import datetime
import matplotlib.pyplot as plt
import seaborn as sns
from dateutil.relativedelta import relativedelta

# Load the balance data
def load_data(path: str = 'user_balance_table.csv')->pd.DataFrame:
    data_balance = pd.read_csv(path)
    data_balance = add_timestamp(data_balance)
    return data_balance.reset_index(drop=True)
    

# add tiemstamp to dataset
def add_timestamp(data: pd.DataFrame, time_index: str = 'report_date')->pd.DataFrame:
    data_balance = data.copy()
    data_balance['date'] = pd.to_datetime(data_balance[time_index], format= "%Y%m%d")
    data_balance['day'] = data_balance['date'].dt.day
    data_balance['month'] = data_balance['date'].dt.month
    data_balance['year'] = data_balance['date'].dt.year
    data_balance['week'] = data_balance['date'].dt.week
    data_balance['weekday'] = data_balance['date'].dt.weekday
    return data_balance.reset_index(drop=True)

# total amount
def get_total_balance(data: pd.DataFrame, date: str = '2014-03-31')->pd.DataFrame:
    df_tmp = data.copy()
    df_tmp = df_tmp.groupby(['date'])['total_purchase_amt','total_redeem_amt'].sum()
    df_tmp.reset_index(inplace=True)
    return df_tmp[(df_tmp['date']>= date)].reset_index(drop=True)

# Generate the test data
def generate_test_data(data: pd.DataFrame)->pd.DataFrame:
    total_balance = data.copy()
    start = datetime.datetime(2014,9,1)
    testdata = []
    while start != datetime.datetime(2014,10,15):
        temp = [start, np.nan, np.nan]
        testdata.append(temp)
        start += datetime.timedelta(days = 1)
    testdata = pd.DataFrame(testdata)
    testdata.columns = total_balance.columns

    total_balance = pd.concat([total_balance, testdata], axis = 0)
    total_balance = total_balance.reset_index(drop=True)
    return total_balance.reset_index(drop=True)

# Load user's information
def load_user_information(path: str = 'user_profile_table.csv')->pd.DataFrame:
    return pd.read_csv(path)

# 载入数据

balance_data = load_data('Data/user_balance_table.csv')
balance_data = add_timestamp(balance_data)
total_balance = get_total_balance(balance_data, date = '2014-03-01')
total_balance = generate_test_data(total_balance)
total_balance = add_timestamp(total_balance, 'date')

# 创建数据的深层拷贝

data = total_balance.copy()

# 定义生成时间序列规则预测结果的方法

def generate_base(df: pd.DataFrame, month_index: int)->pd.DataFrame:
    # 选中固定时间段的数据集
    total_balance = df.copy()
    total_balance = total_balance[['date','total_purchase_amt','total_redeem_amt']]
    total_balance = total_balance[(total_balance['date'].dt.date >= datetime.date(2014,3,1)) & (total_balance['date'].dt.date < datetime.date(2014, month_index, 1))]

    # 加入时间戳
    total_balance['weekday'] = total_balance['date'].dt.weekday
    total_balance['day'] = total_balance['date'].dt.day
    total_balance['week'] = total_balance['date'].dt.week
    total_balance['month'] = total_balance['date'].dt.month
    
    # 统计翌日因子
    mean_of_each_weekday = total_balance[['weekday']+['total_purchase_amt','total_redeem_amt']].groupby('weekday',as_index=False).mean()
    for name in ['total_purchase_amt','total_redeem_amt']:
        mean_of_each_weekday = mean_of_each_weekday.rename(columns={name: name+'_weekdaymean'})
    mean_of_each_weekday['total_purchase_amt_weekdaymean'] /= np.mean(total_balance['total_purchase_amt'])
    mean_of_each_weekday['total_redeem_amt_weekdaymean'] /= np.mean(total_balance['total_redeem_amt'])

    # 合并统计结果到原数据集
    total_balance = pd.merge(total_balance, mean_of_each_weekday, on='weekday', how='left')

    # 分别统计翌日在(1~31)号出现的频次
    weekday_count = total_balance[['day','weekday','date']].groupby(['day','weekday'],as_index=False).count()
    weekday_count = pd.merge(weekday_count, mean_of_each_weekday, on='weekday')

    # 依据频次对翌日因子进行加权，获得日期因子
    weekday_count['total_purchase_amt_weekdaymean'] *= weekday_count['date']   / len(np.unique(total_balance['month']))
    weekday_count['total_redeem_amt_weekdaymean'] *= weekday_count['date']  / len(np.unique(total_balance['month']))
    day_rate = weekday_count.drop(['weekday','date'],axis=1).groupby('day',as_index=False).sum()

    # 将训练集中所有日期的均值剔除日期残差得到base
    day_mean = total_balance[['day'] + ['total_purchase_amt','total_redeem_amt']].groupby('day',as_index=False).mean()
    day_pre = pd.merge(day_mean, day_rate, on='day', how='left')
    day_pre['total_purchase_amt'] /= day_pre['total_purchase_amt_weekdaymean']
    day_pre['total_redeem_amt'] /= day_pre['total_redeem_amt_weekdaymean']

    # 生成测试集数据
    for index, row in day_pre.iterrows():
        if month_index in (2,4,6,9) and row['day'] == 31:
            break
        day_pre.loc[index, 'date'] = datetime.datetime(2014, month_index, int(row['day']))

    # 基于base与翌日因子获得最后的预测结果
    day_pre['weekday'] = day_pre.date.dt.weekday
    day_pre = day_pre[['date','weekday']+['total_purchase_amt','total_redeem_amt']]
    day_pre = pd.merge(day_pre, mean_of_each_weekday,on='weekday')
    day_pre['total_purchase_amt'] *= day_pre['total_purchase_amt_weekdaymean']
    day_pre['total_redeem_amt'] *= day_pre['total_redeem_amt_weekdaymean']

    day_pre = day_pre.sort_values('date')[['date']+['total_purchase_amt','total_redeem_amt']]
    return day_pre

# 生成预测结果（以及残差）

base_list = []
for i in range(4, 10):
    base_list.append(generate_base(data, i).reset_index(drop=True))

base = pd.concat(base_list).reset_index(drop=True)
for i in ['total_purchase_amt','total_redeem_amt']:
    base = base.rename(columns={i: i+'_base'})

data = pd.merge(data.reset_index(drop=True), base.reset_index(drop=True), on='date', how='left').reset_index(drop=True)

data['purchase_residual'] = data['total_purchase_amt'] / data['total_purchase_amt_base']

data['redeem_residual'] = data['total_redeem_amt'] / data['total_redeem_amt_base']

# 对结果表重命名

data = data[['date','purchase_residual','redeem_residual','total_purchase_amt_base', 'total_redeem_amt_base']]
for i in data.columns:
    if i == 'date':
        data[i] = data[i].astype(str)
        data[i] = data[i].str.replace('-','')
data.columns = [['date'] + ['total_purchase_amt','total_redeem_amt'] + ['total_purchase_predicted_by_cycle','total_redeem_predicted_by_cycle'] ]

# 保存预测结果到本地

data.to_csv('Data/base.csv',index=False)