December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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How to conduct inference with statsmodels
We will illustrate how to use logistic regression with statsmodels based on a simple built-in dataset containing quarterly US macro data from 1959 – 2009 (see the notebook logistic_regression_macro_data.ipynb for detail).
The variables and their transformations are listed in the following table:
|
Variable |
Description |
Transformation |
|
realgdp |
Real gross domestic product |
Annual Growth Rate |
|
realcons |
Real personal consumption expenditures |
Annual Growth Rate |
|
realinv |
Real gross private domestic investment |
Annual Growth Rate |
|
realgovt |
Real federal expenditures and gross investment |
Annual Growth Rate |
|
realdpi |
Real private disposable income |
Annual Growth Rate |
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