【资金流入流出预测】baseline 周期因子和LSTM

分别尝试了周期因子和LSTM两种方法

周期因子效果较好分数为135，但是LSTM分数仅为93（可能也是没有进行参数调价的后果，还有就是初次应用。。。）

import pandas as pd
import numpy as np

周期因子

1、取14年3月至9月的数据
2、按翌日进行加总然后除总平均值等到翌日因子 
3、统计每月中各天为各翌日的频率，用频率乘上翌日因子，除上各天出现的频率得到月份中每天的周期因子
4、对总数据按天取平均值，然后除以每天的周期因子得到base
5、求出9月份每天所在的翌日，匹配翌日因子，然后用其乘上base等到结果 

cols = ['total_purchase_amt','total_redeem_amt']

df = pd.read_csv('user_balance_table.csv')

取14年3月至9月的数据

def creat_data_1(data):
    data = df[['report_date','total_purchase_amt','total_redeem_amt']].groupby('report_date').sum()
    data.reset_index(inplace=True)
    data['date'] = pd.to_datetime(data['report_date'],format='%Y%m%d')
    data_1 = data[data['date'] >= pd.to_datetime('2014-3-1')]
    return data_1

def add_date(data_1):
    data_1['month'] = data_1['date'].dt.month
    data_1['day'] = data_1['date'].dt.day
    data_1['week'] = data_1['date'].dt.week
    data_1['weekday'] = data_1['date'].dt.weekday
    return data_1 

按翌日进行加总然后除总平均值等到翌日因子

def weekday_yinzi(data_1):
    mean_weekday = data_1[['weekday']+cols].groupby('weekday').mean()
    mean_weekday.columns = ['purchase_mean_weekday','redeem_mean_weekday']
    mean_weekday['purchase_mean_weekday'] /= np.mean(data_1['total_purchase_amt'])
    mean_weekday['redeem_mean_weekday'] /= np.mean(data_1['total_redeem_amt'])
    data_1 = pd.merge(data_1,mean_weekday, on='weekday', how='left')
    return data_1,mean_weekday

计每月中各天为各翌日的频率，用频率乘上翌日因子，除上各天出现的频率得到月份中每天的周期因子

def day_rat(data_1):
    weekday_count = data_1[['day','weekday','date']].groupby(['day','weekday'],as_index=False).count() 
    weekday_count  = pd.merge(weekday_count, mean_weekday, on='weekday')
    weekday_count['purchase_mean_weekday'] *= weekday_count['date']  
    weekday_count['redeem_mean_weekday'] *= weekday_count['date'] 
    day_rate = weekday_count.drop('weekday',axis=1).groupby('day',as_index=False).sum()
    day_rate = weekday_count.drop(['weekday'],axis=1).groupby('day',as_index=False).sum()
    day_rate['purchase_mean_weekday'] /= day_rate['date']
    day_rate['redeem_mean_weekday'] /= day_rate['date']
    return day_rate

对总数据按天取平均值，然后除以每天的周期因子得到base

def day_base():
    day_mean = data_1[['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['purchase_mean_weekday']
    day_pre['total_redeem_amt'] /= day_pre['redeem_mean_weekday']
    return day_pre

data_1 = creat_data_1(df)
data_1 = add_date(data_1)
data_1,mean_weekday = weekday_yinzi(data_1)

day_rate = day_rat(data_1)

day_pre = day_base()

求出9月份每天所在的翌日，匹配翌日因子，然后用其乘上base等到结果

pre_9 = day_pre[['total_purchase_amt','total_redeem_amt']].drop(index = 30)
pre_9['date'] = [i.date() for i in pd.date_range('2014-9-1','2014-9-30')]
pre_9['date'] = pd.to_datetime(pre_9['date'])
pre_9['weekday'] = pre_9['date'].dt.weekday
pre_9 = pre_9.merge(mean_weekday,on='weekday')
pre_9['total_purchase_amt'] *= pre_9['purchase_mean_weekday']
pre_9['total_redeem_amt'] *= pre_9['redeem_mean_weekday']
pre_9.sort_values(by='date')
pre_9.index = pre_9['date'].dt.strftime('%Y%m%d')
pre_9.iloc[:,:2].to_csv('result_base.csv',header=None)

LSTM求解的过程 ：

使用前50天预测后一天数据

import pandas as pd 
from sklearn.preprocessing import MinMaxScaler
import numpy as np

data = pd.read_csv('user_balance_table.csv')
data_1 = data.loc[:,['user_id','report_date','total_purchase_amt','total_redeem_amt']]
data_1 = data_1.groupby(by='report_date').sum()
data_1.reset_index(inplace=True)
data_1['date'] = pd.to_datetime(data_1['report_date'],format='%Y%m%d')
data = data_1[data_1['date'] >pd.to_datetime('2014-4-1')]

mm = MinMaxScaler()
data = mm.fit_transform(data.iloc[:,2:-1])

C:\ProgramData\Anaconda3\lib\site-packages\sklearn\preprocessing\data.py:334: DataConversionWarning: Data with input dtype int64 were all converted to float64 by MinMaxScaler.
  return self.partial_fit(X, y)

def create_data(amt):
    mid_time = 50
    d = []
    for i in range(len(amt)-mid_time):
        x = amt[i:51+i]
        d.append((x.tolist()))
    amt_np = pd.DataFrame(d).values
    amt_np = amt_np.reshape((102,51,1))
    X_train ,y_train = amt_np[:,:50],amt_np[:,-1]
    return X_train,y_train

amt = data[:,0]
X_train,y_train = create_data(amt)

---------------------------------------------------------------------------

ValueError                                Traceback (most recent call last)

<ipython-input-38-0ec22a5a2c78> in <module>
      1 amt = data[:,0]
----> 2 X_train,y_train = create_data(amt)


<ipython-input-15-10ca421a65bc> in create_data(amt)
      6         d.append((x.tolist()))
      7     amt_np = pd.DataFrame(d).values
----> 8     amt_np = amt_np.reshape((102,51,1))
      9     X_train ,y_train = amt_np[:,:50],amt_np[:,-1]
     10     return X_train,y_train


ValueError: cannot reshape array of size 0 into shape (102,51,1)

from keras.models import Sequential
from keras.layers import LSTM, TimeDistributed, Dense, Activation
from keras.optimizers import Adam

Using TensorFlow backend.

def create_model():
    model = Sequential()
    model.add(LSTM(units=256,input_shape=(None,1),return_sequences=True))
    model.add(LSTM(units=256))
    model.add(Dense(units=1))
    model.add(Activation('linear'))
    model.compile(loss='mse',optimizer='adam')
    return model

model = create_model()

model.fit(X_train, y_train, batch_size=20,epochs=100,validation_split=0.1)

WARNING:tensorflow:From C:\ProgramData\Anaconda3\lib\site-packages\keras\backend\tensorflow_backend.py:422: The name tf.global_variables is deprecated. Please use tf.compat.v1.global_variables instead.

Train on 91 samples, validate on 11 samples
Epoch 1/100
91/91 [==============================] - 3s 36ms/step - loss: 0.0927 - val_loss: 0.0359
Epoch 2/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0535 - val_loss: 0.0361
Epoch 3/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0550 - val_loss: 0.0367
Epoch 4/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0542 - val_loss: 0.0373
Epoch 5/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0514 - val_loss: 0.0364
Epoch 6/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0582 - val_loss: 0.0354
Epoch 7/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0557 - val_loss: 0.0386
Epoch 8/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0539 - val_loss: 0.0353
Epoch 9/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0510 - val_loss: 0.0362
Epoch 10/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0520 - val_loss: 0.0359
Epoch 11/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0503 - val_loss: 0.0342
Epoch 12/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0505 - val_loss: 0.0353
Epoch 13/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0508 - val_loss: 0.0336
Epoch 14/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0530 - val_loss: 0.0338
Epoch 15/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0495 - val_loss: 0.0376
Epoch 16/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0510 - val_loss: 0.0346
Epoch 17/100
91/91 [==============================] - 1s 15ms/step - loss: 0.0490 - val_loss: 0.0332
Epoch 18/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0496 - val_loss: 0.0343
Epoch 19/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0519 - val_loss: 0.0345
Epoch 20/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0524 - val_loss: 0.0328
Epoch 21/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0511 - val_loss: 0.0374
Epoch 22/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0493 - val_loss: 0.0323
Epoch 23/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0489 - val_loss: 0.0322
Epoch 24/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0478 - val_loss: 0.0348


Epoch 96/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0238 - val_loss: 0.0164
Epoch 97/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0233 - val_loss: 0.0218
Epoch 98/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0245 - val_loss: 0.0183
Epoch 99/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0239 - val_loss: 0.0173
Epoch 100/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0217 - val_loss: 0.0172





<keras.callbacks.callbacks.History at 0x2469b951208>

import matplotlib.pyplot as plt
%matplotlib inline
plt.plot(model.predict(X_train))
plt.plot(y_train)

[<matplotlib.lines.Line2D at 0x246badad400>]

X_test = X_train[-1:,]
for i in range (30):
    pre = model.predict(data)
    X_test = np.append(data,pre).reshape(1,-1,1)[:,-50:]

pre = data[:,-30:]

result = pd.DataFrame(pre.reshape(-1,1))

amt = data[:,1]
X_train,y_train = create_data(amt)

model.fit(X_train, y_train, batch_size=20,epochs=100,validation_split=0.1)

Train on 91 samples, validate on 11 samples
Epoch 1/100
91/91 [==============================] - 1s 15ms/step - loss: 0.0420 - val_loss: 0.0217
Epoch 2/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0333 - val_loss: 0.0275
Epoch 3/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0326 - val_loss: 0.0266
Epoch 4/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0300 - val_loss: 0.0250
Epoch 5/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0294 - val_loss: 0.0213
Epoch 6/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0256 - val_loss: 0.0267
Epoch 7/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0312 - val_loss: 0.0229
Epoch 8/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0271 - val_loss: 0.0246
Epoch 9/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0275 - val_loss: 0.0232
Epoch 10/100
91/91 [==============================] - 1s 13ms/step - loss: 0.0283 - val_loss: 0.0187

Epoch 90/100
91/91 [==============================] - 1s 15ms/step - loss: 0.0130 - val_loss: 0.0339
Epoch 91/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0145 - val_loss: 0.0317
Epoch 92/100
91/91 [==============================] - 2s 17ms/step - loss: 0.0112 - val_loss: 0.0383
Epoch 93/100
91/91 [==============================] - 2s 17ms/step - loss: 0.0120 - val_loss: 0.0357
Epoch 94/100
91/91 [==============================] - 1s 16ms/step - loss: 0.0119 - val_loss: 0.0333
Epoch 95/100
91/91 [==============================] - 1s 15ms/step - loss: 0.0129 - val_loss: 0.0350
Epoch 96/100
91/91 [==============================] - 1s 16ms/step - loss: 0.0112 - val_loss: 0.0350
Epoch 97/100
91/91 [==============================] - 1s 15ms/step - loss: 0.0120 - val_loss: 0.0323
Epoch 98/100
91/91 [==============================] - 1s 15ms/step - loss: 0.0111 - val_loss: 0.0334
Epoch 99/100
91/91 [==============================] - 1s 16ms/step - loss: 0.0133 - val_loss: 0.0308
Epoch 100/100
91/91 [==============================] - 1s 14ms/step - loss: 0.0108 - val_loss: 0.0327





<keras.callbacks.callbacks.History at 0x246c082e240>

import matplotlib.pyplot as plt
%matplotlib inline
plt.plot(model.predict(X_train))
plt.plot(y_train)

[<matplotlib.lines.Line2D at 0x246a0ec0630>]

X_test = X_train[-1:,]
for i in range (30):
    pre = model.predict(X_test)
    X_test = np.append(X_test,pre).reshape(1,-1,1)[:,-50:]

pre = X_test[:,-30:]

result['1'] = pre.reshape(-1,1)

pd.DataFrame(mm.inverse_transform(result)).to_csv('result.csv')