金融中的機器學習

Python 金融 Machine Learning

Nathan George

Data Science Professor

金融中的 Machine Learning

AMD 預測盈餘 source: https://www.zacks.com/stock/quote/AMD
JPM report: https://valuesimplex.com/articles/JPM.pdf

AMD 收盤價

波動度圖

理解資料

print(amd_df.head())

            Adj_Close  Adj_Volume
Date                             
1999-03-10      8.690   4871800.0
1999-03-11      8.500   3566600.0
1999-03-12      8.250   4126800.0
1999-03-15      8.155   3006400.0
1999-03-16      8.500   3511400.0

收盤與成交量圖

EDA 視覺化

amd_df['Adj_Close'].plot()
plt.show()

AMD 收盤價

# clears the plot area
plt.clf()
vol = amd_df['Adj_Volume']
vol.plot.hist(bins=50)
plt.show()

成交量直方圖

amd_df['10d_close_pct'] = amd_df['Adj_Close'].pct_change(10)

amd_df['10d_close_pct'].plot.hist(bins=50)
plt.show()

報酬率直方圖

amd_df['10d_future_close'] = amd_df['Adj_Close'].shift(-10)

amd_df['10d_future_close_pct'] = amd_df['10d_future_close'].pct_change(10)

shift 與 pct_change 資料

corr = amd_df.corr()
print(corr)

                      10d_future_close_pct  10d_future_close  10d_close_pct  \
10d_future_close_pct              1.000000          0.070742       0.030402   
10d_future_close                  0.070742          1.000000       0.082828   
10d_close_pct                     0.030402          0.082828       1.000000   
Adj_Close                        -0.083982          0.979345       0.073843   
Adj_Volume                       -0.024456         -0.122473       0.044537   

                      Adj_Close  Adj_Volume  
10d_future_close_pct  -0.083982   -0.024456  
10d_future_close       0.979345   -0.122473  
10d_close_pct          0.073843    0.044537  
Adj_Close              1.000000   -0.119437  
Adj_Volume            -0.119437    1.000000

原始價格的相關散佈圖

完整相關散佈圖

近期高相關散佈圖

來做些 EDA 吧！

Python 金融 Machine Learning