2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

简单的基于LSTM的股市分析与预测（Python）
哥廷根数学学派 关注他
与现代信号处理，机器学习，深度学习，故障诊断那些事
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import pandas as pd
import numpy as np

import matplotlib.pyplot as plt

import seaborn as sns
sns.set_style('whitegrid')
plt.style.use("fivethirtyeight")
%matplotlib inline

# For reading stock data from yahoo

from pandas_datareader.data import DataReader
import yfinance as yf
from pandas_datareader import data as pdr

yf.pdr_override()

# For time stamps

from datetime import datetime

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

# The tech stocks we'll use for this analysis

tech_list = ['AAPL', 'GOOG', 'MSFT', 'AMZN']

# Set up End and Start times for data grab

tech_list = ['AAPL', 'GOOG', 'MSFT', 'AMZN']

end = datetime.now()
start = datetime(end.year - 1, end.month, end.day)

for stock in tech_list:

globals()[stock] = yf.download(stock, start, end)

company_list = [AAPL, GOOG, MSFT, AMZN]

company_name = ["APPLE", "GOOGLE", "MICROSOFT", "AMAZON"]

for company, com_name in zip(company_list, company_name):

company["company_name"] = com_name

df = pd.concat(company_list, axis=0)
df.tail(10)
[*********************100%%**********************] 1 of 1 completed
[*********************100%%**********************] 1 of 1 completed
[*********************100%%**********************] 1 of 1 completed
[*********************100%%**********************] 1 of 1 completed

# Summary Stats
AAPL.describe()

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

# General info
AAPL.info()
<class 'pandas.core.frame.DataFrame'>
DatetimeIndex: 252 entries, 2023-06-05 to 2024-06-04
Data columns (total 7 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 Open 252 non-null float64
1 High 252 non-null float64
2 Low 252 non-null float64
3 Close 252 non-null float64
4 Adj Close 252 non-null float64
5 Volume 252 non-null int64
6 company_name 252 non-null object
dtypes : float64(5), int64(1), object(1)
memory usage: 15.8+ KB
# Let's see a historical view of the closing price
plt.figure(figsize=(15, 10))
plt.subplots_adjust(top=1.25, bottom=1.2)

for i, company in enumerate(company_list, 1):

plt.subplot(2, 2, i)
company['Adj Close'].plot()
plt.ylabel('Adj Close')
plt.xlabel(None)
plt.title(f"Closing Price of {tech_list[i - 1]}")

plt.tight_layout()

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

# Now let's plot the total volume of stock being traded each day
plt.figure(figsize=(15, 10))
plt.subplots_adjust(top=1.25, bottom=1.2)

for i, company in enumerate(company_list, 1):

plt.subplot(2, 2, i)
company['Volume'].plot()
plt.ylabel('Volume')
plt.xlabel(None)
plt.title(f"Sales Volume for {tech_list[i - 1]}")

plt.tight_layout ()

ma_day = [10, 20, 50]

for ma in ma_day:

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎
for company in company_list:
column_name = f"MA for {ma} days"
company[column_name] = company['Adj Close'].rolling(ma).mean()

fig, axes = plt.subplots(nrows=2, ncols=2)

fig.set_figheight(10)
fig.set_figwidth(15)

AAPL[['Adj Close', 'MA for 10 days', 'MA for 20 days', 'MA for 50 days']].plot(
axes[0,0].set_title('APPLE')

GOOG[['Adj Close', 'MA for 10 days', 'MA for 20 days', 'MA for 50 days']].plot(
axes[0,1].set_title('GOOGLE')

MSFT[['Adj Close', 'MA for 10 days', 'MA for 20 days', 'MA for 50 days']].plot(
axes[1,0].set_title('MICROSOFT')

AMZN[['Adj Close', 'MA for 10 days', 'MA for 20 days', 'MA for 50 days']].plot(
axes[1,1].set_title('AMAZON')

fig.tight_layout()

# We'll use pct_change to find the percent change for each day
for company in company_list:
company['Daily Return'] = company['Adj Close'].pct_change()

# Then we'll plot the daily return percentage

fig, axes = plt.subplots(nrows=2, ncols=2)
fig.set_figheight(10)
fig.set_figwidth(15)

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎
AAPL['Daily Return'].plot(ax=axes[0,0], legend=True, linestyle='--', marker='o
axes[0,0].set_title('APPLE')

GOOG['Daily Return'].plot(ax=axes[0,1], legend=True, linestyle='--', marker='o

axes[0,1].set_title('GOOGLE')

MSFT['Daily Return'].plot(ax=axes[1,0], legend=True, linestyle='--', marker='o

axes[1,0].set_title('MICROSOFT')

AMZN['Daily Return'].plot(ax=axes[1,1], legend=True, linestyle='--', marker='o

axes[1,1].set_title('AMAZON')

fig.tight_layout()

plt.figure(figsize=(12, 9))

for i, company in enumerate(company_list, 1):

plt.subplot(2, 2, i)
company['Daily Return'].hist(bins=50)
plt.xlabel('Daily Return')
plt.ylabel('Counts')
plt.title(f'{company_name[i - 1]}')

plt.tight_layout()

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

# Grab all the closing prices for the tech stock list into one DataFrame

closing_df = pdr.get_data_yahoo(tech_list, start=start, end=end)['Adj Close']

# Make a new tech returns DataFrame

tech_rets = closing_df.pct_change()
tech_rets.head()

# Comparing Google to itself should show a perfectly linear relationship

sns.jointplot(x='GOOG', y='GOOG', data=tech_rets, kind='scatter', color='seagre

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

# We'll use joinplot to compare the daily returns of Google and Microsoft
sns.jointplot(x='GOOG', y='MSFT', data=tech_rets, kind='scatter')

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

# We can simply call pairplot on our DataFrame for an automatic visual analysis
# of all the comparisons

sns.pairplot(tech_rets, kind='reg')

# Set up our figure by naming it returns_fig, call PairPLot on the DataFrame

return_fig = sns.PairGrid(tech_rets.dropna())

# Using map_upper we can specify what the upper triangle will look like.
return_fig.map_upper(plt.scatter, color='purple')

# We can also define the lower triangle in the figure, inclufing the plot type
# or the color map (BluePurple)
return_fig.map_lower(sns.kdeplot, cmap='cool_d')

# Finally we'll define the diagonal as a series of histogram plots of the daily
return_fig.map_diag(plt.hist, bins=30)

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

# Set up our figure by naming it returns_fig, call PairPLot on the DataFrame

returns_fig = sns.PairGrid(closing_df)

# Using map_upper we can specify what the upper triangle will look like.
returns_fig.map_upper(plt.scatter,color='purple')

# We can also define the lower triangle in the figure, inclufing the plot type
returns_fig.map_lower(sns.kdeplot ,cmap='cool_d')

# Finally we'll define the diagonal as a series of histogram plots of the daily
returns_fig.map_diag(plt.hist,bins=30)

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

plt.figure(figsize=(12, 10))

plt.subplot(2, 2, 1)
sns.heatmap(tech_rets.corr(), annot=True, cmap='summer')
plt.title('Correlation of stock return')

plt.subplot(2, 2, 2)
sns.heatmap(closing_df.corr(), annot=True, cmap='summer')
plt.title('Correlation of stock closing price')

rets = tech_rets.dropna()

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎
area = np.pi * 20

plt.figure(figsize=(10, 8))
plt.scatter(rets.mean(), rets.std(), s=area)
plt.xlabel('Expected return')
plt.ylabel('Risk')

for label, x, y in zip(rets.columns, rets.mean(), rets.std()):

plt.annotate(label, xy=(x, y), xytext=(50, 50), textcoords='offset points',
arrowprops=dict(arrowstyle='-', color='blue', connectionstyle=

# Get the stock quote

df = pdr.get_data_yahoo('AAPL', start='2012-01-01', end=datetime.now())
# Show teh data
df

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

plt.figure(figsize=(16,6))
plt.title('Close Price History')
plt.plot(df['Close'])
plt.xlabel('Date', fontsize=18)
plt.ylabel('Close Price USD ($)', fontsize=18)
plt.show()

# Create a new dataframe with only the 'Close column

data = df.filter(['Close'])
# Convert the dataframe to a numpy array
dataset = data.values
# Get the number of rows to train the model on
training_data_len = int(np.ceil( len(dataset) * .95 ))

training_data_len
2969
# Scale the data
from sklearn.preprocessing import MinMaxScaler

scaler = MinMaxScaler(feature_range=(0,1))
scaled_data = scaler.fit_transform(dataset)

scaled_data

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎
array([[0.00401431],
[0.00444289],
[0.00533302],
...,
[0.96818027],
[0.97784564],
[0.98387293]])
# Create the training data set
# Create the scaled training data set
train_data = scaled_data[0:int(training_data_len), :]
# Split the data into x_train and y_train data sets
x_train = []
y_train = []

for i in range(60, len(train_data)):

x_train.append(train_data[i-60:i, 0])
y_train.append(train_data[i, 0])
if i<= 61:
print(x_train)
print(y_train)
print()

# Convert the x_train and y_train to numpy arrays

x_train, y_train = np.array(x_train), np.array(y_train)

# Reshape the data

x_train = np.reshape(x_train, (x_train.shape[0], x_train.shape[1], 1))
# x_train.shape
from keras.models import Sequential
from keras.layers import Dense, LSTM

# Build the LSTM model

model = Sequential()
model.add(LSTM(128, return_sequences=True, input_shape = (x_train.shape[1], 1)
model.add(LSTM(64, return_sequences=False))
model.add(Dense(25))
model.add(Dense(1))

# Compile the model

model.compile(optimizer='adam', loss='mean_squared_error')

# Train the model

model.fit(x_train, y_train, batch_size=1, epochs=1)
# Create the testing data set
# Create a new array containing scaled values from index 1543 to 2002
test_data = scaled_data[training_data_len - 60: , :]
# Create the data sets x_test and y_test
x_test = []
y_test = dataset[training_data_len:, :]
for i in range(60, len(test_data)):
x_test.append(test_data[i-60:i, 0])

# Convert the data to a numpy array

x_test = np.array(x_test)

# Reshape the data

x_test = np.reshape(x_test, (x_test.shape[0], x_test.shape[1], 1 ))

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

# Get the models predicted price values

predictions = model.predict(x_test)
predictions = scaler.inverse_transform(predictions)

# Get the root mean squared error (RMSE)

rmse = np.sqrt(np.mean(((predictions - y_test) ** 2)))
rmse
10.469761767631676
# Plot the data
train = data[:training_data_len]
valid = data[training_data_len:]
valid['Predictions'] = predictions
# Visualize the data
plt.figure(figsize=(16,6))
plt.title('Model')
plt.xlabel('Date', fontsize=18)
plt.ylabel('Close Price USD ($)', fontsize=18)
plt.plot(train['Close'])
plt.plot(valid[['Close', 'Predictions']])
plt.legend(['Train', 'Val', 'Predictions'], loc='lower right')
plt.show()

# Show the valid and predicted prices

valid

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2025/1/19 03:08 简单的基于LSTM的股市分析与预测（Python） - 知乎

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担任《Mechanical System and Signal Processing》等审稿专家，擅长领域：现代信号处理，机

器学习，深度学习，数字孪生 ，时间序列分析，设备缺陷检测、设备异常检测、设备智能故障诊
断与健康管理PHM等。
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LSTM 股市分析 金融时间序列分析

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