plot_stock_market



In [1]:
%matplotlib inline

Visualizing the stock market structure

This example employs several unsupervised learning techniques to extract the stock market structure from variations in historical quotes.

The quantity that we use is the daily variation in quote price: quotes that are linked tend to cofluctuate during a day.

.. _stock_market:

Learning a graph structure

We use sparse inverse covariance estimation to find which quotes are correlated conditionally on the others. Specifically, sparse inverse covariance gives us a graph, that is a list of connection. For each symbol, the symbols that it is connected too are those useful to explain its fluctuations.

Clustering

We use clustering to group together quotes that behave similarly. Here, amongst the :ref:various clustering techniques <clustering> available in the scikit-learn, we use :ref:affinity_propagation as it does not enforce equal-size clusters, and it can choose automatically the number of clusters from the data.

Note that this gives us a different indication than the graph, as the graph reflects conditional relations between variables, while the clustering reflects marginal properties: variables clustered together can be considered as having a similar impact at the level of the full stock market.

Embedding in 2D space

For visualization purposes, we need to lay out the different symbols on a 2D canvas. For this we use :ref:manifold techniques to retrieve 2D embedding.

Visualization

The output of the 3 models are combined in a 2D graph where nodes represents the stocks and edges the:

  • cluster labels are used to define the color of the nodes
  • the sparse covariance model is used to display the strength of the edges
  • the 2D embedding is used to position the nodes in the plan

This example has a fair amount of visualization-related code, as visualization is crucial here to display the graph. One of the challenge is to position the labels minimizing overlap. For this we use an heuristic based on the direction of the nearest neighbor along each axis.


In [1]:
print(__doc__)

# Author: Gael Varoquaux gael.varoquaux@normalesup.org
# License: BSD 3 clause

import datetime

import numpy as np
import matplotlib.pyplot as plt
try:
    from matplotlib.finance import quotes_historical_yahoo_ochl
except ImportError:
    # quotes_historical_yahoo_ochl was named quotes_historical_yahoo before matplotlib 1.4
    from matplotlib.finance import quotes_historical_yahoo as quotes_historical_yahoo_ochl
from matplotlib.collections import LineCollection
from sklearn import cluster, covariance, manifold


Automatically created module for IPython interactive environment

Retrieve the data from Internet


In [7]:
# Choose a time period reasonably calm (not too long ago so that we get
# high-tech firms, and before the 2008 crash)
d1 = datetime.datetime(2003, 1, 1)
d2 = datetime.datetime(2008, 1, 1)

# kraft symbol has now changed from KFT to MDLZ in yahoo
symbol_dict = {
    'TOT': 'Total',
    'XOM': 'Exxon',
    'CVX': 'Chevron',
    'COP': 'ConocoPhillips',
    'VLO': 'Valero Energy',
    'MSFT': 'Microsoft',
    'IBM': 'IBM',
    'TWX': 'Time Warner',
    'CMCSA': 'Comcast',
    'CVC': 'Cablevision',
    'YHOO': 'Yahoo',
    'DELL': 'Dell',
    'HPQ': 'HP',
    'AMZN': 'Amazon',
    'TM': 'Toyota',
    'CAJ': 'Canon',
    'MTU': 'Mitsubishi',
    'SNE': 'Sony',
    'F': 'Ford',
    'HMC': 'Honda',
    'NAV': 'Navistar',
    'NOC': 'Northrop Grumman',
    'BA': 'Boeing',
    'KO': 'Coca Cola',
    'MMM': '3M',
    'MCD': 'Mc Donalds',
    'PEP': 'Pepsi',
    'MDLZ': 'Kraft Foods',
    'K': 'Kellogg',
    'UN': 'Unilever',
    'MAR': 'Marriott',
    'PG': 'Procter Gamble',
    'CL': 'Colgate-Palmolive',
    'GE': 'General Electrics',
    'WFC': 'Wells Fargo',
    'JPM': 'JPMorgan Chase',
    'AIG': 'AIG',
    'AXP': 'American express',
    'BAC': 'Bank of America',
    'GS': 'Goldman Sachs',
    'AAPL': 'Apple',
    'SAP': 'SAP',
    'CSCO': 'Cisco',
    'TXN': 'Texas instruments',
    'XRX': 'Xerox',
    'LMT': 'Lookheed Martin',
    'WMT': 'Wal-Mart',
    'WBA': 'Walgreen',
    'HD': 'Home Depot',
    'GSK': 'GlaxoSmithKline',
    'PFE': 'Pfizer',
    'SNY': 'Sanofi-Aventis',
    'NVS': 'Novartis',
    'KMB': 'Kimberly-Clark',
    'R': 'Ryder',
    'GD': 'General Dynamics',
    'RTN': 'Raytheon',
    'CVS': 'CVS',
    'CAT': 'Caterpillar',
    'DD': 'DuPont de Nemours'}

symbols, names = np.array(list(symbol_dict.items())).T

quotes = [quotes_historical_yahoo_ochl(symbol, d1, d2, asobject=True)
          for symbol in symbols]
print(quotes)
open = np.array([q.open for q in quotes]).astype(np.float)
close = np.array([q.close for q in quotes]).astype(np.float)

# The daily variations of the quotes are what carry most information
variation = close - open


[rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 31.36402804210637, 32.266053, 32.31455044991248, 31.360795611609678, 2986100.0, 32.266053),
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 ...,
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 ...,
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          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')]), rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 21.765081906269796, 22.101006, 22.247973490848832, 21.681100882837242, 1977200.0, 22.101006),
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 ...,
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 ...,
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 ...,
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 (datetime.date(2003, 1, 3), 2003, 1, 3, 731218.0, 16.254806307248405, 16.20068, 16.45101484760273, 16.20068, 7808000.0, 16.20068),
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 ...,
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          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')]), rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 24.43811102163224, 24.738167, 24.858191125019278, 24.43811102163224, 565700.0, 24.738167),
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 ...,
 (datetime.date(2007, 12, 27), 2007, 12, 27, 733037.0, 39.21593868380651, 39.065244, 39.302047266385884, 38.97195958260844, 1009600.0, 39.065244),
 (datetime.date(2007, 12, 28), 2007, 12, 28, 733038.0, 39.54602565353003, 39.345103, 39.54602565353003, 39.18723391939878, 1052300.0, 39.345103),
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          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')]), rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 6.394037478465656, 6.600764, 6.727702508538737, 6.375903146760566, 23026300.0, 6.600764),
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 ...,
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          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')]), rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 40.04883201390444, 40.996394, 41.073743749351706, 40.02949796070265, 169300.0, 40.996394),
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 ...,
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          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')]), rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 29.628009049156823, 30.317358999999996, 30.387703013753246, 29.628009049156823, 3522600.0, 30.317359),
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 ...,
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 ...,
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 ...,
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 ...,
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 ...,
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          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')]), rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 19.462467816539483, 19.949417, 20.0323021437489, 19.452106655538724, 1033400.0, 19.949417),
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 ...,
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 (datetime.date(2007, 12, 31), 2007, 12, 31, 733041.0, 31.27342868671222, 31.051587, 31.692461819854373, 30.90985582119182, 934000.0, 31.051587)], 
          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')]), rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 24.001995070779365, 24.642049, 24.671140145358965, 24.001995070779365, 2122500.0, 24.642049),
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 ...,
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 (datetime.date(2003, 1, 3), 2003, 1, 3, 731218.0, 24.82698585992075, 24.876568999999996, 24.9899018916097, 24.628654362099624, 7803400.0, 24.876569),
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 ...,
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          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')]), rec.array([ (datetime.date(2003, 1, 2), 2003, 1, 2, 731217.0, 25.376376826198626, 25.685137, 26.0131951671138, 24.893938572184144, 6977600.0, 25.685137),
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 ...,
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 (datetime.date(2007, 12, 31), 2007, 12, 31, 733041.0, 32.88181870401253, 32.822179, 33.18002318824439, 32.74265873196449, 4855000.0, 32.822179)], 
          dtype=[('date', 'O'), ('year', '<i2'), ('month', 'i1'), ('day', 'i1'), ('d', '<f8'), ('open', '<f8'), ('close', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('aclose', '<f8')])]

Learn a graphical structure from the correlations


In [3]:
edge_model = covariance.GraphLassoCV()

# standardize the time series: using correlations rather than covariance
# is more efficient for structure recovery
X = variation.copy().T
X /= X.std(axis=0)
edge_model.fit(X)


Out[3]:
GraphLassoCV(alphas=4, assume_centered=False, cv=None, enet_tol=0.0001,
       max_iter=100, mode='cd', n_jobs=1, n_refinements=4, tol=0.0001,
       verbose=False)

Quote More precisely if one uses assume_centered=False, then the test set is supposed to have the same mean vector as the training set. If not so, both should be centered by the user, and assume_centered=True should be used.

Jethro: It means that here the test case should habe same mean vector as the training set.

Cluster using affinity propagation


In [4]:
_, labels = cluster.affinity_propagation(edge_model.covariance_)
n_labels = labels.max()

for i in range(n_labels + 1):
    print('Cluster %i: %s' % ((i + 1), ', '.join(names[labels == i])))


Cluster 1: Northrop Grumman, Raytheon, General Dynamics, Lookheed Martin, Boeing
Cluster 2: SAP, Cisco, 3M, Texas instruments, Microsoft, Dell, HP, IBM
Cluster 3: Chevron, ConocoPhillips, Valero Energy, Total, Exxon
Cluster 4: Kraft Foods
Cluster 5: DuPont de Nemours, Ford, American express, Ryder, JPMorgan Chase, General Electrics, Pfizer, AIG, Mc Donalds, Goldman Sachs, Wells Fargo, Wal-Mart, Home Depot, Bank of America
Cluster 6: Marriott, Caterpillar, Honda, Unilever, Toyota, Mitsubishi, Canon, Navistar, Xerox, Sony
Cluster 7: Apple, Amazon, Yahoo
Cluster 8: Comcast, Cablevision, Time Warner
Cluster 9: Kimberly-Clark, Colgate-Palmolive, Procter Gamble
Cluster 10: Sanofi-Aventis, Novartis, GlaxoSmithKline
Cluster 11: Coca Cola, Kellogg, Pepsi
Cluster 12: CVS, Walgreen

Find a low-dimension embedding for visualization: find the best position of the nodes (the stocks) on a 2D plane


In [5]:
# We use a dense eigen_solver to achieve reproducibility (arpack is
# initiated with random vectors that we don't control). In addition, we
# use a large number of neighbors to capture the large-scale structure.
node_position_model = manifold.LocallyLinearEmbedding(
    n_components=2, eigen_solver='dense', n_neighbors=6)

embedding = node_position_model.fit_transform(X.T).T

Visualization


In [6]:
plt.figure(1, facecolor='w', figsize=(10, 8))
plt.clf()
ax = plt.axes([0., 0., 1., 1.])
plt.axis('off')

# Display a graph of the partial correlations
partial_correlations = edge_model.precision_.copy()
d = 1 / np.sqrt(np.diag(partial_correlations))
partial_correlations *= d
partial_correlations *= d[:, np.newaxis]
non_zero = (np.abs(np.triu(partial_correlations, k=1)) > 0.02)

# Plot the nodes using the coordinates of our embedding
plt.scatter(embedding[0], embedding[1], s=100 * d ** 2, c=labels,
            cmap=plt.cm.spectral)

# Plot the edges
start_idx, end_idx = np.where(non_zero)
#a sequence of (*line0*, *line1*, *line2*), where::
#            linen = (x0, y0), (x1, y1), ... (xm, ym)
segments = [[embedding[:, start], embedding[:, stop]]
            for start, stop in zip(start_idx, end_idx)]
values = np.abs(partial_correlations[non_zero])
lc = LineCollection(segments,
                    zorder=0, cmap=plt.cm.hot_r,
                    norm=plt.Normalize(0, .7 * values.max()))
lc.set_array(values)
lc.set_linewidths(15 * values)
ax.add_collection(lc)

# Add a label to each node. The challenge here is that we want to
# position the labels to avoid overlap with other labels
for index, (name, label, (x, y)) in enumerate(
        zip(names, labels, embedding.T)):

    dx = x - embedding[0]
    dx[index] = 1
    dy = y - embedding[1]
    dy[index] = 1
    this_dx = dx[np.argmin(np.abs(dy))]
    this_dy = dy[np.argmin(np.abs(dx))]
    if this_dx > 0:
        horizontalalignment = 'left'
        x = x + .002
    else:
        horizontalalignment = 'right'
        x = x - .002
    if this_dy > 0:
        verticalalignment = 'bottom'
        y = y + .002
    else:
        verticalalignment = 'top'
        y = y - .002
    plt.text(x, y, name, size=10,
             horizontalalignment=horizontalalignment,
             verticalalignment=verticalalignment,
             bbox=dict(facecolor='w',
                       edgecolor=plt.cm.spectral(label / float(n_labels)),
                       alpha=.6))

plt.xlim(embedding[0].min() - .15 * embedding[0].ptp(),
         embedding[0].max() + .10 * embedding[0].ptp(),)
plt.ylim(embedding[1].min() - .03 * embedding[1].ptp(),
         embedding[1].max() + .03 * embedding[1].ptp())

plt.show()