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log-alpha
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94 lines (76 loc) · 8.76 KB
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Model:Ridge
fit intercept=False
Normalize=False
max_iter=10000000
***** New Run *****
Execution time: 12.2045850754s
Regressions days:10
Alpha: 0.001
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.204938581387978, -4.0643104384944309, -3.8831317802687408, -3.9863474469748326, -4.1659099011521903, -3.9860082467421307, -3.3739885751929251, -4.3973877707612701, -4.4794265576347243, -3.8802223100437914, -3.8343294064106885, -3.9555403699196177, -4.3223552174749784, -4.5776568536603008, -4.1778217647079146, -4.3448458725397359, -4.5616350059144679]
Error: 0.096014461832
***** New Run *****
Execution time: 12.3319630623s
Regressions days:10
Alpha: 0.005
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2056696788131376, -4.0652447540705907, -3.8838127501821873, -3.9871215080165712, -4.1664521981892904, -3.9867707513458299, -3.3746824639765691, -4.3981744194934436, -4.4803262496589014, -3.8810696382158767, -3.8351669132098323, -3.956490536509591, -4.3232883377277176, -4.5788951013328187, -4.1790760861786111, -4.345753651628911, -4.5626011468108345]
Error: 0.0959501828751
***** New Run *****
Execution time: 12.2042160034s
Regressions days:10
Alpha: 0.01
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2058314625119237, -4.0654510583772208, -3.8839630127440614, -3.9872932699645389, -4.1665764452109215, -3.986939938255091, -3.3748376026842379, -4.3983483928168425, -4.480525836106608, -3.8812579209154592, -3.8353515337798854, -3.9567014364274655, -4.3234941395512578, -4.5791694432591612, -4.1793551755063163, -4.3459547472839404, -4.5628156904365085]
Error: 0.0959361736312
***** New Run *****
Execution time: 12.1734018326s
Regressions days:10
Alpha: 0.05
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2059888443691307, -4.0656472424936965, -3.8841089397717496, -3.9874622814149916, -4.1667023057859751, -3.9871065419031311, -3.3749988705833402, -4.3985184101941286, -4.480716414403787, -3.881440548201752, -3.8355304362781908, -3.9569043524438712, -4.3236880980100523, -4.5794290405524407, -4.1796201645065594, -4.3461472697040335, -4.5630198047352053]
Error: 0.0959227160494
***** New Run *****
Execution time: 12.1796190739s
Regressions days:10
Alpha: 0.1
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2060153576601351, -4.065676129760277, -3.884133285980397, -3.9874934377460818, -4.1667274045503291, -3.9871373759665403, -3.375039105740484, -4.3985489455271818, -4.4807448661994158, -3.8814708925395323, -3.8355604759574362, -3.9569365480584793, -4.3237144675273385, -4.5794669495138578, -4.1796594005892302, -4.3461768182422702, -4.5630499647735991]
Error: 0.0959204950552
***** New Run *****
Execution time: 12.2567451s
Regressions days:10
Alpha: 0.5
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2060484914968583, -4.0656952318467461, -3.8841616731177453, -3.987557349103227, -4.1667740031398779, -3.9872010728127094, -3.37519603471209, -4.3986117752425002, -4.4807624444800354, -3.8815101013678515, -3.8356037982480302, -3.9569719069984899, -4.3237135484839939, -4.5795065123640057, -4.179700651751034, -4.3462028338022662, -4.5630737454145045]
Error: 0.0959171238898
***** New Run *****
Execution time: 12.123265028s
Regressions days:10
Alpha: 1.0
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2060553741141717, -4.065683356864696, -3.8841650338690243, -3.9876026771686384, -4.1667977562769707, -3.9872464375973138, -3.3753614627549382, -4.3986583812100974, -4.4807474466172437, -3.8815213460519891, -3.8356220091050446, -3.9569767796894268, -4.3236766391492054, -4.5795173869440902, -4.1797108964049556, -4.3461985655658282, -4.5630677811352731]
Error: 0.095915391065
***** New Run *****
Execution time: 12.1395170689s
Regressions days:10
Alpha: 5.0
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2060601679358491, -4.0655481285576869, -3.8841475746207319, -3.9879109893010973, -4.1669335694680054, -3.987555291893333, -3.3766208016465562, -4.3989825238062892, -4.4805826799960027, -3.8815577838690771, -3.8357163711560629, -3.9569656808628046, -4.3233420848916744, -4.5795649392331619, -4.1797479694030439, -4.3461164183664724, -4.5629774832509824]
Error: 0.0959047588409
***** New Run *****
Execution time: 12.2830841541s
Regressions days:10
Alpha: 10.0
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2060569584715743, -4.0653842071208768, -3.8841227495165676, -3.988273182451616, -4.1670968052488906, -3.9879181822133702, -3.3781343133330202, -4.3993642806543285, -4.4803788878277064, -3.8815921084831313, -3.8358212118289536, -3.9569484588425086, -4.3229315811746449, -4.5796208022609912, -4.1797889379867943, -4.3460067753093581, -4.5628605843188526]
Error: 0.0958920249225