.. DO NOT EDIT.
.. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY.
.. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE:
.. "auto_examples/applications/plot_stock_market.py"
.. LINE NUMBERS ARE GIVEN BELOW.
.. only:: html
.. note::
:class: sphx-glr-download-link-note
:ref:`Go to the end <sphx_glr_download_auto_examples_applications_plot_stock_market.py>`
to download the full example code or to run this example in your browser via JupyterLite or Binder
.. rst-class:: sphx-glr-example-title
.. _sphx_glr_auto_examples_applications_plot_stock_market.py:
=======================================
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 fluctuate in relation to each other during a day.
.. GENERATED FROM PYTHON SOURCE LINES 12-16
.. code-block:: Python
# Author: Gael Varoquaux gael.varoquaux@normalesup.org
# License: BSD 3 clause
.. GENERATED FROM PYTHON SOURCE LINES 17-25
Retrieve the data from Internet
-------------------------------
The data is from 2003 - 2008. This is reasonably calm: (not too long ago so
that we get high-tech firms, and before the 2008 crash). This kind of
historical data can be obtained from APIs like the
`data.nasdaq.com <https://data.nasdaq.com/>`_ and
`alphavantage.co <https://www.alphavantage.co/>`_.
.. GENERATED FROM PYTHON SOURCE LINES 25-109
.. code-block:: Python
import sys
import numpy as np
import pandas as pd
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",
"SNE": "Sony",
"F": "Ford",
"HMC": "Honda",
"NAV": "Navistar",
"NOC": "Northrop Grumman",
"BA": "Boeing",
"KO": "Coca Cola",
"MMM": "3M",
"MCD": "McDonald's",
"PEP": "Pepsi",
"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",
"WMT": "Wal-Mart",
"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(sorted(symbol_dict.items())).T
quotes = []
for symbol in symbols:
print("Fetching quote history for %r" % symbol, file=sys.stderr)
url = (
"https://raw.githubusercontent.com/scikit-learn/examples-data/"
"master/financial-data/{}.csv"
)
quotes.append(pd.read_csv(url.format(symbol)))
close_prices = np.vstack([q["close"] for q in quotes])
open_prices = np.vstack([q["open"] for q in quotes])
# The daily variations of the quotes are what carry the most information
variation = close_prices - open_prices
.. rst-class:: sphx-glr-script-out
.. code-block:: none
Fetching quote history for 'AAPL'
Fetching quote history for 'AIG'
Fetching quote history for 'AMZN'
Fetching quote history for 'AXP'
Fetching quote history for 'BA'
Fetching quote history for 'BAC'
Fetching quote history for 'CAJ'
Fetching quote history for 'CAT'
Fetching quote history for 'CL'
Fetching quote history for 'CMCSA'
Fetching quote history for 'COP'
Fetching quote history for 'CSCO'
Fetching quote history for 'CVC'
Fetching quote history for 'CVS'
Fetching quote history for 'CVX'
Fetching quote history for 'DD'
Fetching quote history for 'DELL'
Fetching quote history for 'F'
Fetching quote history for 'GD'
Fetching quote history for 'GE'
Fetching quote history for 'GS'
Fetching quote history for 'GSK'
Fetching quote history for 'HD'
Fetching quote history for 'HMC'
Fetching quote history for 'HPQ'
Fetching quote history for 'IBM'
Fetching quote history for 'JPM'
Fetching quote history for 'K'
Fetching quote history for 'KMB'
Fetching quote history for 'KO'
Fetching quote history for 'MAR'
Fetching quote history for 'MCD'
Fetching quote history for 'MMM'
Fetching quote history for 'MSFT'
Fetching quote history for 'NAV'
Fetching quote history for 'NOC'
Fetching quote history for 'NVS'
Fetching quote history for 'PEP'
Fetching quote history for 'PFE'
Fetching quote history for 'PG'
Fetching quote history for 'R'
Fetching quote history for 'RTN'
Fetching quote history for 'SAP'
Fetching quote history for 'SNE'
Fetching quote history for 'SNY'
Fetching quote history for 'TM'
Fetching quote history for 'TOT'
Fetching quote history for 'TWX'
Fetching quote history for 'TXN'
Fetching quote history for 'UN'
Fetching quote history for 'VLO'
Fetching quote history for 'WFC'
Fetching quote history for 'WMT'
Fetching quote history for 'XOM'
Fetching quote history for 'XRX'
Fetching quote history for 'YHOO'
.. GENERATED FROM PYTHON SOURCE LINES 110-120
.. _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 connections. For each
symbol, the symbols that it is connected to are those useful to explain
its fluctuations.
.. GENERATED FROM PYTHON SOURCE LINES 120-132
.. code-block:: Python
from sklearn import covariance
alphas = np.logspace(-1.5, 1, num=10)
edge_model = covariance.GraphicalLassoCV(alphas=alphas)
# standardize the time series: using correlations rather than covariance
# former is more efficient for structure recovery
X = variation.copy().T
X /= X.std(axis=0)
edge_model.fit(X)
.. raw:: html
<div class="output_subarea output_html rendered_html output_result">
<style>#sk-container-id-26 {
/* Definition of color scheme common for light and dark mode */
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--sklearn-color-unfitted-level-1: #f6e4d2;
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/* Definition of color scheme for fitted estimators */
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/* Redefinition of color scheme for dark theme */
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but bootstrap.min.css set `[hidden] { display: none !important; }`
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See: https://github.com/scikit-learn/scikit-learn/issues/21755 */
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- Pipeline and ColumnTransformer use this feature and define the default style
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</style><div id="sk-container-id-26" class="sk-top-container"><div class="sk-text-repr-fallback"><pre>GraphicalLassoCV(alphas=array([ 0.03162278, 0.05994843, 0.11364637, 0.21544347, 0.40842387,
0.77426368, 1.46779927, 2.7825594 , 5.27499706, 10. ]))</pre><b>In a Jupyter environment, please rerun this cell to show the HTML representation or trust the notebook. <br />On GitHub, the HTML representation is unable to render, please try loading this page with nbviewer.org.</b></div><div class="sk-container" hidden><div class="sk-item"><div class="sk-estimator fitted sk-toggleable"><input class="sk-toggleable__control sk-hidden--visually" id="sk-estimator-id-105" type="checkbox" checked><label for="sk-estimator-id-105" class="sk-toggleable__label fitted sk-toggleable__label-arrow fitted"> GraphicalLassoCV<a class="sk-estimator-doc-link fitted" rel="noreferrer" target="_blank" href="https://scikit-learn.org/1.4/modules/generated/sklearn.covariance.GraphicalLassoCV.html">?<span>Documentation for GraphicalLassoCV</span></a><span class="sk-estimator-doc-link fitted">i<span>Fitted</span></span></label><div class="sk-toggleable__content fitted"><pre>GraphicalLassoCV(alphas=array([ 0.03162278, 0.05994843, 0.11364637, 0.21544347, 0.40842387,
0.77426368, 1.46779927, 2.7825594 , 5.27499706, 10. ]))</pre></div> </div></div></div></div>
</div>
<br />
<br />
.. GENERATED FROM PYTHON SOURCE LINES 133-147
Clustering using affinity propagation
-------------------------------------
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.
.. GENERATED FROM PYTHON SOURCE LINES 147-156
.. code-block:: Python
from sklearn import cluster
_, labels = cluster.affinity_propagation(edge_model.covariance_, random_state=0)
n_labels = labels.max()
for i in range(n_labels + 1):
print(f"Cluster {i + 1}: {', '.join(names[labels == i])}")
.. rst-class:: sphx-glr-script-out
.. code-block:: none
Cluster 1: Apple, Amazon, Yahoo
Cluster 2: Comcast, Cablevision, Time Warner
Cluster 3: ConocoPhillips, Chevron, Total, Valero Energy, Exxon
Cluster 4: Cisco, Dell, HP, IBM, Microsoft, SAP, Texas Instruments
Cluster 5: Boeing, General Dynamics, Northrop Grumman, Raytheon
Cluster 6: AIG, American express, Bank of America, Caterpillar, CVS, DuPont de Nemours, Ford, General Electrics, Goldman Sachs, Home Depot, JPMorgan Chase, Marriott, McDonald's, 3M, Ryder, Wells Fargo, Wal-Mart
Cluster 7: GlaxoSmithKline, Novartis, Pfizer, Sanofi-Aventis, Unilever
Cluster 8: Kellogg, Coca Cola, Pepsi
Cluster 9: Colgate-Palmolive, Kimberly-Clark, Procter Gamble
Cluster 10: Canon, Honda, Navistar, Sony, Toyota, Xerox
.. GENERATED FROM PYTHON SOURCE LINES 157-166
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.
We use a dense eigen_solver to achieve reproducibility (arpack is initiated
with the random vectors that we don't control). In addition, we use a large
number of neighbors to capture the large-scale structure.
.. GENERATED FROM PYTHON SOURCE LINES 166-178
.. code-block:: Python
# Finding a low-dimension embedding for visualization: find the best position of
# the nodes (the stocks) on a 2D plane
from sklearn import manifold
node_position_model = manifold.LocallyLinearEmbedding(
n_components=2, eigen_solver="dense", n_neighbors=6
)
embedding = node_position_model.fit_transform(X.T).T
.. GENERATED FROM PYTHON SOURCE LINES 179-194
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.
.. GENERATED FROM PYTHON SOURCE LINES 194-275
.. code-block:: Python
import matplotlib.pyplot as plt
from matplotlib.collections import LineCollection
plt.figure(1, facecolor="w", figsize=(10, 8))
plt.clf()
ax = plt.axes([0.0, 0.0, 1.0, 1.0])
plt.axis("off")
# Plot the graph of 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.nipy_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, 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 + 0.002
else:
horizontalalignment = "right"
x = x - 0.002
if this_dy > 0:
verticalalignment = "bottom"
y = y + 0.002
else:
verticalalignment = "top"
y = y - 0.002
plt.text(
x,
y,
name,
size=10,
horizontalalignment=horizontalalignment,
verticalalignment=verticalalignment,
bbox=dict(
facecolor="w",
edgecolor=plt.cm.nipy_spectral(label / float(n_labels)),
alpha=0.6,
),
)
plt.xlim(
embedding[0].min() - 0.15 * np.ptp(embedding[0]),
embedding[0].max() + 0.10 * np.ptp(embedding[0]),
)
plt.ylim(
embedding[1].min() - 0.03 * np.ptp(embedding[1]),
embedding[1].max() + 0.03 * np.ptp(embedding[1]),
)
plt.show()
.. image-sg:: /auto_examples/applications/images/sphx_glr_plot_stock_market_001.png
:alt: plot stock market
:srcset: /auto_examples/applications/images/sphx_glr_plot_stock_market_001.png
:class: sphx-glr-single-img
.. rst-class:: sphx-glr-timing
**Total running time of the script:** (0 minutes 2.544 seconds)
.. _sphx_glr_download_auto_examples_applications_plot_stock_market.py:
.. only:: html
.. container:: sphx-glr-footer sphx-glr-footer-example
.. container:: binder-badge
.. image:: images/binder_badge_logo.svg
:target: https://mybinder.org/v2/gh/scikit-learn/scikit-learn/1.4.X?urlpath=lab/tree/notebooks/auto_examples/applications/plot_stock_market.ipynb
:alt: Launch binder
:width: 150 px
.. container:: lite-badge
.. image:: images/jupyterlite_badge_logo.svg
:target: ../../lite/lab/?path=auto_examples/applications/plot_stock_market.ipynb
:alt: Launch JupyterLite
:width: 150 px
.. container:: sphx-glr-download sphx-glr-download-jupyter
:download:`Download Jupyter notebook: plot_stock_market.ipynb <plot_stock_market.ipynb>`
.. container:: sphx-glr-download sphx-glr-download-python
:download:`Download Python source code: plot_stock_market.py <plot_stock_market.py>`
.. include:: plot_stock_market.recommendations
.. only:: html
.. rst-class:: sphx-glr-signature
`Gallery generated by Sphinx-Gallery <https://sphinx-gallery.github.io>`_