借助 Transformer 实现美股价格的预测（Python干货）

作者：老余捞鱼

原创不易，转载请标明出处及原作者。

写在前面的话：

          Transformer 是一种在自然语言处理等领域广泛应用的深度学习架构，与传统的循环神经网络（RNN）相比，Transformer 可以并行处理输入序列的各个位置，大大提高了计算效率。而且通过多层的深度堆叠，能够学习到更复杂和抽象的特征表示。本文将利用Python代码来实现美股价格的预测模拟。

话不多说，代码如下：

import numpy as np
import pandas as pd
import os, datetime
import tensorflow as tf
from tensorflow.keras.models import *
from tensorflow.keras.layers import *
print('Tensorflow version: {}'.format(tf.__version__))

import matplotlib.pyplot as plt
plt.style.use('seaborn')

import warnings
warnings.filterwarnings('ignore')

physical_devices = tf.config.list_physical_devices()
print('Physical devices: {}'.format(physical_devices))

# Filter out the CPUs and keep only the GPUs
gpus = [device for device in physical_devices if 'GPU' in device.device_type]

# If GPUs are available, set memory growth to True
if len(gpus) > 0:
    tf.config.experimental.set_visible_devices(gpus[0], 'GPU')
    tf.config.experimental.set_memory_growth(gpus[0], True)
    print('GPU memory growth: True')

Tensorflow version: 2.9.1
Physical devices: [PhysicalDevice(name=’/physical_device:CPU:0′, device_type=’CPU’)]

      Hyperparameters

• batch_size = 32
  seq_len = 128
  
  d_k = 256
  d_v = 256
  n_heads = 12
  ff_dim = 256

  Load IBM data

  IBM_path = 'IBM.csv'
  
  df = pd.read_csv(IBM_path, delimiter=',', usecols=['Date', 'Open', 'High', 'Low', 'Close', 'Volume'])
  
  # Replace 0 to avoid dividing by 0 later on
  df['Volume'].replace(to_replace=0, method='ffill', inplace=True) 
  df.sort_values('Date', inplace=True)
  df.tail()
   df.head()

  

  

  # print the shape of the dataset
  print('Shape of the dataframe: {}'.format(df.shape))
  Shape of the dataframe: (14588, 6)

  Plot daily IBM closing prices and volume

  fig = plt.figure(figsize=(15,10))
  st = fig.suptitle("IBM Close Price and Volume", fontsize=20)
  st.set_y(0.92)
  
  ax1 = fig.add_subplot(211)
  ax1.plot(df['Close'], label='IBM Close Price')
  ax1.set_xticks(range(0, df.shape[0], 1464))
  ax1.set_xticklabels(df['Date'].loc[::1464])
  ax1.set_ylabel('Close Price', fontsize=18)
  ax1.legend(loc="upper left", fontsize=12)
  
  ax2 = fig.add_subplot(212)
  ax2.plot(df['Volume'], label='IBM Volume')
  ax2.set_xticks(range(0, df.shape[0], 1464))
  ax2.set_xticklabels(df['Date'].loc[::1464])
  ax2.set_ylabel('Volume', fontsize=18)
  ax2.legend(loc="upper left", fontsize=12)

  

  Calculate normalized percentage change of all columns

  '''Calculate percentage change'''
  
  df['Open'] = df['Open'].pct_change() # Create arithmetic returns column
  df['High'] = df['High'].pct_change() # Create arithmetic returns column
  df['Low'] = df['Low'].pct_change() # Create arithmetic returns column
  df['Close'] = df['Close'].pct_change() # Create arithmetic returns column
  df['Volume'] = df['Volume'].pct_change()
  
  df.dropna(how='any', axis=0, inplace=True) # Drop all rows with NaN values
  
  ###############################################################################
  '''Create indexes to split dataset'''
  
  times = sorted(df.index.values)
  last_10pct = sorted(df.index.values)[-int(0.1*len(times))] # Last 10% of series
  last_20pct = sorted(df.index.values)[-int(0.2*len(times))] # Last 20% of series
  
  ###############################################################################
  '''Normalize price columns'''
  #
  min_return = min(df[(df.index < last_20pct)][['Open', 'High', 'Low', 'Close']].min(axis=0))
  max_return = max(df[(df.index < last_20pct)][['Open', 'High', 'Low', 'Close']].max(axis=0))
  
  # Min-max normalize price columns (0-1 range)
  df['Open'] = (df['Open'] - min_return) / (max_return - min_return)
  df['High'] = (df['High'] - min_return) / (max_return - min_return)
  df['Low'] = (df['Low'] - min_return) / (max_return - min_return)
  df['Close'] = (df['Close'] - min_return) / (max_return - min_return)
  
  ###############################################################################
  '''Normalize volume column'''
  
  min_volume = df[(df.index < last_20pct)]['V