{"id":1693,"date":"2024-12-07T07:30:00","date_gmt":"2024-12-06T23:30:00","guid":{"rendered":"https:\/\/blog.laoyulaoyu.top\/?p=1693"},"modified":"2024-11-12T14:38:54","modified_gmt":"2024-11-12T06:38:54","slug":"%e7%be%8e%e5%9b%bd%e5%a4%a7%e9%80%89%e5%90%8e%ef%bc%8c%e7%94%a8hmm%e6%a8%a1%e5%9e%8b%e5%81%9a%e7%89%b9%e6%96%af%e6%8b%89%e8%82%a1%e4%bb%b7%e6%b3%a2%e5%8a%a8%e8%a7%a3%e6%9e%90","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2024\/12\/07\/%e7%be%8e%e5%9b%bd%e5%a4%a7%e9%80%89%e5%90%8e%ef%bc%8c%e7%94%a8hmm%e6%a8%a1%e5%9e%8b%e5%81%9a%e7%89%b9%e6%96%af%e6%8b%89%e8%82%a1%e4%bb%b7%e6%b3%a2%e5%8a%a8%e8%a7%a3%e6%9e%90\/","title":{"rendered":"\u7f8e\u56fd\u5927\u9009\u540e\uff0c\u7528HMM\u6a21\u578b\u505a\u7279\u65af\u62c9\u80a1\u4ef7\u6ce2\u52a8\u89e3\u6790"},"content":{"rendered":"\n<p>\u4f5c\u8005\uff1a<a href=\"https:\/\/www.laoyulaoyu.com\/\" target=\"_blank\" rel=\"noreferrer noopener\">\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/11\/102301.png\" alt=\"\" class=\"wp-image-2905\"\/><\/figure>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<pre class=\"wp-block-verse\"><strong>\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u672c\u6587\u4e3b\u8981\u63a2\u8ba8<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">\u5982\u4f55\u5229\u7528\u9ad8\u65af\u9690\u9a6c\u5c14\u53ef\u592b\u6a21\u578b\uff08HMM\uff09\u9884\u6d4b\u80a1\u7968\u4ef7\u683c<\/mark>\uff0c\u6211\u4eec\u5c06\u5206\u6b65\u8fdb\u884c\u8bf4\u660e\uff1a\u5305\u62ec\u6570\u636e\u51c6\u5907\u3001\u7279\u5f81\u9009\u62e9\u3001\u8bad\u7ec3 HMM \u6a21\u578b\u3001\u6700\u540e\u901a\u8fc7\u5b9e\u9645\u6848\u4f8b\u5c55\u793a\u5982\u4f55\u4f7f\u7528Python\u4e2d\u7684<code>hmmlearn<\/code>\u5e93\u6765\u6784\u5efa\u548c\u8bad\u7ec3\u4e00\u4e2a\u9ad8\u65afHMM\uff0c\u5e76\u7528\u8be5\u6a21\u578b\u5bf92024\u5e74\u7279\u65af\u62c9\u80a1\u7968\u7684\u4ef7\u683c\u8d70\u52bf\u8fdb\u884c\u4e86\u89e3\u6790\u3002<\/pre>\n<\/blockquote>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u4e00\u3001\u4ec0\u4e48\u662f\u9690\u9a6c\u5c14\u53ef\u592b\u6a21\u578b\uff1f<\/strong><\/h3>\n\n\n\n<p><strong>\u9690\u9a6c\u5c14\u53ef\u592b\u6a21\u578b\uff08Hidden Markov Model\uff09<\/strong>\u662f\u4e00\u79cd\u7edf\u8ba1\u6a21\u578b\uff0c\u7528\u4e8e\u63cf\u8ff0\u4e00\u4e2a\u7531\u9a6c\u5c14\u53ef\u592b\u8fc7\u7a0b\u652f\u914d\u7684\u7cfb\u7edf\uff0c\u8be5\u8fc7\u7a0b\u5177\u6709\u9690\u85cf\uff08\u672a\u89c2\u5bdf\u5230\u7684\uff09\u72b6\u6001\u3002\u5176\u6838\u5fc3\u601d\u60f3\u662f<strong>\u901a\u8fc7\u89c2\u6d4b\u5230\u7684\u4e00\u7cfb\u5217\u6570\u636e\uff08\u89c2\u6d4b\u5e8f\u5217\uff09\uff0c\u6765\u63a8\u65ad\u51fa\u80cc\u540e\u7684\u72b6\u6001\u5e8f\u5217<\/strong>\u3002\u76ee\u524d\uff0c\u9690\u9a6c\u5c14\u53ef\u592b\u6a21\u578b\u5728\u81ea\u7136\u8bed\u8a00\u5904\u7406\u3001\u8bed\u97f3\u8bc6\u522b\u3001\u751f\u7269\u4fe1\u606f\u5b66\u7b49\u9886\u57df\u6709\u7740\u5e7f\u6cdb\u7684\u5e94\u7528\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/11\/image-58.png\" alt=\"\" class=\"wp-image-2914\"\/><\/figure>\n\n\n\n<p>\u800c\u5728\u80a1\u4ef7\u9884\u6d4b\u65b9\u9762\uff0c\u9690\u9a6c\u5c14\u53ef\u592b\u6a21\u578b\u5141\u8bb8\u6211\u4eec\u5bf9\u5f71\u54cd\u53ef\u89c2\u6d4b\u80a1\u4ef7\u8d70\u52bf\u7684\u6f5c\u5728\u5e02\u573a\u6761\u4ef6\u8fdb\u884c\u5efa\u6a21\u3002\u6bcf\u4e2a\u9690\u85cf\u72b6\u6001\u4ee3\u8868\u4e00\u79cd\u5e02\u573a\u673a\u5236\uff08\u5982\u725b\u5e02\u3001\u718a\u5e02\u6216\u4e2d\u6027\uff09\uff0c\u800c\u53ef\u89c2\u6d4b\u53d8\u91cf\u5219\u6765\u81ea\u5177\u4f53\u80a1\u7968\u7684\u80a1\u4ef7\u8d70\u52bf\u3002<\/p>\n\n\n<div class=\"wp-block-image\">\n<figure class=\"aligncenter size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/11\/image-52.png\" alt=\"\" class=\"wp-image-2907\"\/><\/figure>\n<\/div>\n\n\n<p id=\"0c99\">\u8be5\u6a21\u578b\u5728\u80a1\u4ef7\u9884\u6d4b\u9886\u57df\u7531\u4e09\u4e2a\u4e3b\u8981\u90e8\u5206\u7ec4\u6210\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>\u9690\u85cf\u72b6\u6001\uff1a<\/strong>\u8fd9\u4ee3\u8868\u4e86\u65e0\u6cd5\u89c2\u5bdf\u5230\u7684\u5e02\u573a\u72b6\u6001\uff08\u5982\u770b\u6da8\u3001\u770b\u8dcc\uff09\u3002<\/li>\n\n\n\n<li><strong>\u8fc7\u6e21\u6982\u7387\uff1a<\/strong>\u5e02\u573a\u5236\u5ea6\u4e4b\u95f4\u7684\u8f6c\u6362\u6982\u7387\u3002<\/li>\n\n\n\n<li><strong>\u6392\u653e\u6982\u7387\uff1a<\/strong>\u5728\u7279\u5b9a\u5e02\u573a\u5236\u5ea6\u4e0b\u89c2\u5bdf\u7279\u5b9a\u80a1\u7968\u4ef7\u683c\u53d8\u52a8\u7684\u6982\u7387\u3002<\/li>\n<\/ul>\n\n\n\n<p>\u7279\u65af\u62c9\u80a1\u7968\u662f\u5e02\u573a\u4e0a\u5907\u53d7\u6b22\u8fce\u4e14\u6ce2\u52a8\u8f83\u5927\u7684\u80a1\u7968\u4e4b\u4e00\uff0c\u56e0\u6b64\u6210\u4e3a\u9884\u6d4b\u6a21\u578b\u7684\u4e00\u4e2a\u6709\u8da3\u9009\u62e9\u3002\u6295\u8d44\u8005\u5e38\u5e38\u5bfb\u6c42\u9884\u6d4b\u80a1\u4ef7\u8d70\u52bf\u7684\u65b9\u6cd5\uff0c\u4ee5\u4fbf\u505a\u51fa\u660e\u667a\u7684\u51b3\u7b56\uff0c\u5c24\u5176\u662f\u5bf9\u4e8e\u50cf\u7279\u65af\u62c9\u8fd9\u6837\u9ad8\u52a8\u6001\u7684\u80a1\u7968\u3002\u9690\u9a6c\u5c14\u53ef\u592b\u6a21\u578b\uff08HMM\uff09\u63d0\u4f9b\u4e86\u4e00\u79cd\u6982\u7387\u65b9\u6cd5\uff0c\u53ef\u4ee5\u5bf9\u5177\u6709\u9690\u85cf\u72b6\u6001\u7684\u65f6\u95f4\u5e8f\u5217\u6570\u636e\u8fdb\u884c\u5efa\u6a21\uff0c\u901a\u8fc7\u8bc6\u522b\u6f5c\u5728\u7684\u5e02\u573a\u673a\u5236\u6216\u8d8b\u52bf\uff0c\u4f7f\u5176\u6210\u4e3a\u9884\u6d4b\u80a1\u4ef7\u8d8b\u52bf\u7684\u5408\u9002\u5de5\u5177\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u4e8c\u3001 HMM \u6a21\u578b\u5728\u7279\u65af\u62c9\u80a1\u7968\u4e2d\u7684\u5e94\u7528<\/strong><\/h3>\n\n\n\n<p>\u5728\u672c\u6b21\u7814\u7a76\u4e2d\uff0c\u6211\u4eec\u8fd0\u7528\u9ad8\u65af\u9690\u9a6c\u5c14\u53ef\u592b\u6a21\u578b\uff0c\u5bf92024\u5e741\u6708\u81f311\u67088\u65e5\u7279\u65af\u62c9\u80a1\u4ef7\u7684\u6ce2\u52a8\u6a21\u5f0f\u8fdb\u884c\u4e86\u6df1\u5165\u6316\u6398\uff0c\u4ece\u800c\u53d1\u73b0\u9690\u85cf\u7684\u6ce2\u52a8\u72b6\u6001\u3002\u7279\u522b\u662f\u5728\u57c3\u9686\u00b7\u9a6c\u65af\u514b\u5728\u6fc0\u70c8\u7684\u7f8e\u56fd\u5927\u9009\u653f\u6cbb\u89d2\u9010\u4e2d\u660e\u786e\u7acb\u573a\uff0c\u8fd9\u65e0\u7591\u53ef\u80fd\u4f7f\u5f97\u7279\u65af\u62c9\u80a1\u7968\u6210\u4e3a\u5e02\u573a\u60c5\u7eea\u6ce2\u52a8\u7684\u53d7\u76ca\u8005\uff0c\u8fd9\u79cd\u5728\u5e74\u521d\u51e0\u4e4e\u4e0d\u53ef\u9884\u6d4b\u7684\u53d8\u91cf\uff0c\u4f1a\u8ba9\u6211\u4eec\u7684\u5c1d\u8bd5\u53d8\u5f97\u975e\u5e38\u6709\u610f\u601d\u3002<\/p>\n\n\n\n<p>\u4e3a\u4e86\u7cbe\u786e\u6355\u6349\u80a1\u4ef7\u7684\u6ce2\u52a8\u6027\uff0c\u6211\u4eec\u8ba1\u7b97\u6bcf\u65e5\u4ef7\u683c\u53d8\u5316\u4ee5\u6355\u6349\u6ce2\u52a8\uff0c\u800c\u4e0d\u53d7\u7edd\u5bf9\u4ef7\u683c\u6c34\u5e73\u7684\u5f71\u54cd\uff0c\u8fd9\u6837\u7684\u6570\u636e\u5904\u7406\u4e3aHMM\u6a21\u578b\u63d0\u4f9b\u4e86\u7edd\u4f73\u7684\u8f93\u5165\u6570\u636e\u3002\u57fa\u4e8e\u5047\u8bbe\u7279\u65af\u62c9\u80a1\u4ef7\u8d70\u52bf\u80fd\u591f\u81ea\u7136\u5730\u88ab\u5212\u5206\u4e3a\u51e0\u79cd\u4e0d\u540c\u7684\u6ce2\u52a8\u673a\u5236\uff0c\u6211\u4eec\u5c06\u6a21\u578b\u8bbe\u5b9a\u4e3a\u62e5\u6709\u4e09\u4e2a\u9690\u85cf\u72b6\u6001\uff0c\u4ee5\u63cf\u7ed8\u8fd9\u4e9b\u6f5c\u5728\u7684\u6ce2\u52a8\u6a21\u5f0f\u3002\u4ee3\u7801\u5982\u4e0b\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>import numpy as np\nimport pandas as pd\nimport matplotlib.pyplot as plt\nimport matplotlib.dates as mdates\nfrom hmmlearn import hmm\nimport yfinance as yf\n\n# Load historical Tesla data\ndf = yf.download('TSLA', start=\"2024-01-01\", end=\"2024-11-08\")\n# Calculate daily price changes\ndf&#91;'price_change'] = df&#91;'Close'].diff().fillna(0)\n\n# Prepare the data for the HMM\nX = df&#91;&#91;'price_change']].values\n\n# Build a Gaussian HMM \nmodel = hmm.GaussianHMM(n_components=10, covariance_type=\"diag\", n_iter=1000)\nmodel.fit(X)\n\n# Predict the hidden states (volatility regimes)\nhidden_states = model.predict(X)\n\n# Plot the results\nplt.figure(figsize=(15, 6))\nplt.plot(df.index, df&#91;'Close'], label='Tesla Close Price')\nfor i in range(3):\n    mask = (hidden_states == i)\n    plt.scatter(df.index&#91;mask], df&#91;'Close']&#91;mask], label=f'State {i}', s=10)\n\n# Set the x-axis to display months\nplt.gca().xaxis.set_major_locator(mdates.MonthLocator())\nplt.gca().xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m'))\nplt.xticks(rotation=45)\n\nplt.legend()\nplt.title('Tesla Close Price vs HMM States')\nplt.grid(True)\nplt.tight_layout()\nplt.show()<\/code><\/pre>\n\n\n\n<p>\u8f93\u51fa\u7ed3\u679c\u5982\u4e0b\u56fe\uff1a<\/p>\n\n\n<div class=\"wp-block-image\">\n<figure class=\"aligncenter size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/11\/image-53.png\" alt=\"\" class=\"wp-image-2908\"\/><\/figure>\n<\/div>\n\n\n<p>\u5728\u6839\u636e\u4e0d\u540c\u7684\u9690\u85cf\u72b6\u6001\u5bf9\u80a1\u4ef7\u8fdb\u884c\u7ec6\u5206\u540e\uff0c\u6211\u4eec\u5c1d\u8bd5\u4f7f\u7528\u5404\u79cd\u72b6\u6001\u6765\u9884\u6d4b\u80a1\u4ef7\uff0c\u4ee5\u786e\u5b9a\u54ea\u79cd\u72b6\u6001\u80fd\u7d27\u8ddf\u5b9e\u9645\u8d8b\u52bf\u3002\u8fdb\u884c\u4ee3\u7801\u8f93\u51fa\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>import numpy as np\nimport pandas as pd\nimport matplotlib.pyplot as plt\nfrom hmmlearn import hmm\nimport yfinance as yf\nfrom sklearn.preprocessing import StandardScaler\nimport matplotlib.dates as mdates\n\n# Step 1: Fetch Reliance stock data from yfinance\nsymbol = \"TSLA\"\ndata = yf.download(symbol, start=\"2024-01-01\", end=\"2024-11-08\")\ndata&#91;'price_change'] = data&#91;'Close'].diff().fillna(0)\n\n# Step 2: Standardize the price change data to avoid large values\nscaler = StandardScaler()\nX_scaled = scaler.fit_transform(data&#91;&#91;'price_change']])\n\n# Step 3: Helper function to train GHMM and predict\ndef run_ghmm(X, n_hidden_states):\n    model = hmm.GaussianHMM(n_components=n_hidden_states, covariance_type=\"diag\", n_iter=100)\n    model.fit(X)\n\n    # Predict the hidden states\n    hidden_states = model.predict(X)\n\n    # Generate predicted changes based on the hidden states\n    predicted_changes = model.sample(len(X))&#91;0]\n\n    # Rescale the predicted changes back to the original scale\n    predicted_changes_rescaled = scaler.inverse_transform(predicted_changes)\n\n    # Calculate the predicted prices by applying the predicted changes to the initial price\n    predicted_prices = &#91;data&#91;'Close'].iloc&#91;0]]  # Start with the first actual price\n    for change in predicted_changes_rescaled:\n        predicted_prices.append(predicted_prices&#91;-1] + change&#91;0])\n\n    return hidden_states, predicted_prices&#91;:-1], model\n\n# Step 4: Plotting function to visualize actual vs predicted prices\n\ndef plot_predictions(n_hidden_states, predicted_prices):\n    plt.figure(figsize=(12, 6))\n    plt.plot(data.index, data&#91;'Close'], label='Actual Prices', color='blue')\n    plt.plot(data.index, predicted_prices, label=f'Predicted Prices (Hidden States={n_hidden_states})', color='red')\n    plt.title(f'Tesla Stock Prediction with {n_hidden_states} Hidden States')\n    plt.xlabel('Date')\n    plt.ylabel('Price (USD)')\n    \n    # Set the x-axis to display months\n    plt.gca().xaxis.set_major_locator(mdates.MonthLocator())\n    plt.gca().xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m'))\n    plt.xticks(rotation=45)  # Rotate for readability\n    \n    plt.legend()\n    plt.grid(True)\n    plt.tight_layout()  \n    plt.show()\n\n\n# Step 5: Run the GHMM with different numbers of hidden states (3, 4, 5, 6)\nfor n_states in &#91;3, 4, 5, 6]:\n    hidden_states, predicted_prices, model = run_ghmm(X_scaled, n_states)\n    plot_predictions(n_states, predicted_prices)<\/code><\/pre>\n\n\n\n<p>\u9690\u85cf\u72b6\u6001 3 \u7684\u7ed3\u679c\uff1a<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/11\/image-54.png\" alt=\"\" class=\"wp-image-2909\"\/><\/figure>\n\n\n\n<p>\u9690\u85cf\u72b6\u6001 4 \u7684\u7ed3\u679c\uff1a<\/p>\n\n\n<div class=\"wp-block-image\">\n<figure class=\"aligncenter size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/11\/image-55.png\" alt=\"\" class=\"wp-image-2910\"\/><\/figure>\n<\/div>\n\n\n<p>\u9690\u85cf\u72b6\u6001 5 \u7684\u7ed3\u679c\uff1a<\/p>\n\n\n<div class=\"wp-block-image\">\n<figure class=\"aligncenter size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/11\/image-56.png\" alt=\"\" class=\"wp-image-2911\"\/><\/figure>\n<\/div>\n\n\n<p>\u9690\u85cf\u72b6\u6001 6 \u7684\u7ed3\u679c\uff1a<\/p>\n\n\n<div class=\"wp-block-image\">\n<figure class=\"aligncenter size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/11\/image-57.png\" alt=\"\" class=\"wp-image-2912\"\/><\/figure>\n<\/div>\n\n\n<p>\u6839\u636e\u7ed3\u679c\u5e76\u7ed3\u5408\u7279\u65af\u62c9\u80a1\u7968\u7684\u5b9e\u9645\u8d70\u52bf\u5206\u6790\uff0c\u9690\u85cf\u72b6\u6001 6 \u4f3c\u4e4e\u6a21\u62df\u51fa\u4e86\u4ece 1 \u6708\u5230 7 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