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Classification

The document presents an analysis of the Smarket dataset, focusing on stock market predictions using logistic regression. It includes statistical summaries, correlation analysis, and model fitting results, indicating the relationship between various lagged stock prices and market direction. The model's predictive accuracy is evaluated, showing a mean accuracy of approximately 52.16% for the entire dataset and 17.46% for the year 2005 specifically.

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hubertkuo418
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© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
2 views

Classification

The document presents an analysis of the Smarket dataset, focusing on stock market predictions using logistic regression. It includes statistical summaries, correlation analysis, and model fitting results, indicating the relationship between various lagged stock prices and market direction. The model's predictive accuracy is evaluated, showing a mean accuracy of approximately 52.16% for the entire dataset and 17.46% for the year 2005 specifically.

Uploaded by

hubertkuo418
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Classification I

2024-10-09
library(ISLR2)

names(Smarket)

## [1] "Year" "Lag1" "Lag2" "Lag3" "Lag4" "Lag


5"
## [7] "Volume" "Today" "Direction"

summary(Smarket)

## Year Lag1 Lag2 Lag3

## Min. :2001 Min. :-4.922000 Min. :-4.922000 Min. :-4.9


22000
## 1st Qu.:2002 1st Qu.:-0.639500 1st Qu.:-0.639500 1st Qu.:-0.6
40000
## Median :2003 Median : 0.039000 Median : 0.039000 Median : 0.0
38500
## Mean :2003 Mean : 0.003834 Mean : 0.003919 Mean : 0.0
01716
## 3rd Qu.:2004 3rd Qu.: 0.596750 3rd Qu.: 0.596750 3rd Qu.: 0.5
96750
## Max. :2005 Max. : 5.733000 Max. : 5.733000 Max. : 5.7
33000
## Lag4 Lag5 Volume Today

## Min. :-4.922000 Min. :-4.92200 Min. :0.3561 Min. :-4.


922000
## 1st Qu.:-0.640000 1st Qu.:-0.64000 1st Qu.:1.2574 1st Qu.:-0.
639500
## Median : 0.038500 Median : 0.03850 Median :1.4229 Median : 0.
038500
## Mean : 0.001636 Mean : 0.00561 Mean :1.4783 Mean : 0.
003138
## 3rd Qu.: 0.596750 3rd Qu.: 0.59700 3rd Qu.:1.6417 3rd Qu.: 0.
596750
## Max. : 5.733000 Max. : 5.73300 Max. :3.1525 Max. : 5.
733000
## Direction
## Down:602
## Up :648
##
##
##
##

pairs(Smarket)

cor(Smarket[, -9])

## Year Lag1 Lag2 Lag3 Lag


4
## Year 1.00000000 0.029699649 0.030596422 0.033194581 0.03568871
8
## Lag1 0.02969965 1.000000000 -0.026294328 -0.010803402 -0.00298591
1
## Lag2 0.03059642 -0.026294328 1.000000000 -0.025896670 -0.01085353
3
## Lag3 0.03319458 -0.010803402 -0.025896670 1.000000000 -0.02405103
6
## Lag4 0.03568872 -0.002985911 -0.010853533 -0.024051036 1.00000000
0
## Lag5 0.02978799 -0.005674606 -0.003557949 -0.018808338 -0.02708364
1
## Volume 0.53900647 0.040909908 -0.043383215 -0.041823686 -0.04841424
6
## Today 0.03009523 -0.026155045 -0.010250033 -0.002447647 -0.00689952
7
## Lag5 Volume Today
## Year 0.029787995 0.53900647 0.030095229
## Lag1 -0.005674606 0.04090991 -0.026155045
## Lag2 -0.003557949 -0.04338321 -0.010250033
## Lag3 -0.018808338 -0.04182369 -0.002447647
## Lag4 -0.027083641 -0.04841425 -0.006899527
## Lag5 1.000000000 -0.02200231 -0.034860083
## Volume -0.022002315 1.00000000 0.014591823
## Today -0.034860083 0.01459182 1.000000000

attach(Smarket)
plot(Volume)

glm.fit=glm(Direction~Lag1+Lag2+Lag3+Lag4+Lag5+Volume, data=Smarket, fa
mily=binomial)

summary(glm.fit)

##
## Call:
## glm(formula = Direction ~ Lag1 + Lag2 + Lag3 + Lag4 + Lag5 +
## Volume, family = binomial, data = Smarket)
##
## Coefficients:
## Estimate Std. Error z value Pr(>|z|)
## (Intercept) -0.126000 0.240736 -0.523 0.601
## Lag1 -0.073074 0.050167 -1.457 0.145
## Lag2 -0.042301 0.050086 -0.845 0.398
## Lag3 0.011085 0.049939 0.222 0.824
## Lag4 0.009359 0.049974 0.187 0.851
## Lag5 0.010313 0.049511 0.208 0.835
## Volume 0.135441 0.158360 0.855 0.392
##
## (Dispersion parameter for binomial family taken to be 1)
##
## Null deviance: 1731.2 on 1249 degrees of freedom
## Residual deviance: 1727.6 on 1243 degrees of freedom
## AIC: 1741.6
##
## Number of Fisher Scoring iterations: 3

coef(glm.fit)

## (Intercept) Lag1 Lag2 Lag3 Lag4


Lag5
## -0.126000257 -0.073073746 -0.042301344 0.011085108 0.009358938 0.
010313068
## Volume
## 0.135440659

summary(glm.fit)$coef

## Estimate Std. Error z value Pr(>|z|)


## (Intercept) -0.126000257 0.24073574 -0.5233966 0.6006983
## Lag1 -0.073073746 0.05016739 -1.4565986 0.1452272
## Lag2 -0.042301344 0.05008605 -0.8445733 0.3983491
## Lag3 0.011085108 0.04993854 0.2219750 0.8243333
## Lag4 0.009358938 0.04997413 0.1872757 0.8514445
## Lag5 0.010313068 0.04951146 0.2082966 0.8349974
## Volume 0.135440659 0.15835970 0.8552723 0.3924004

glm.probs=predict(glm.fit, type="response")
glm.probs[1:10]

## 1 2 3 4 5 6
7 8
## 0.5070841 0.4814679 0.4811388 0.5152224 0.5107812 0.5069565 0.492650
9 0.5092292
## 9 10
## 0.5176135 0.4888378

contrasts(Direction)

## Up
## Down 0
## Up 1

glm.pred=rep("Down", 1250)
glm.pred[glm.probs > .5]="Up"
table(glm.pred, Direction)
## Direction
## glm.pred Down Up
## Down 145 141
## Up 457 507

(507+145)/1250

## [1] 0.5216

mean(glm.pred==Direction)

## [1] 0.5216

train=(Year<2005)
Smarket.2005=Smarket[!train, ]
dim(Smarket.2005)

## [1] 252 9

Direction.2005=Direction[!train]
glm.fit=glm(Direction~Lag1+Lag2+Lag3+Lag4+Lag5+Volume, data=Smarket,
family=binomial, subset=train)
glm.probs=predict(glm.fit, Smarket.2005, type="response")
glm.pred=rep("Down ", 252)
glm.pred[glm.probs>.5]="Up"
table(glm.pred, Direction.2005)

## Direction.2005
## glm.pred Down Up
## Down 77 97
## Up 34 44

mean(glm.pred==Direction.2005)

## [1] 0.1746032

mean(glm.pred!=Direction.2005)

## [1] 0.8253968

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