/fractional-differentiation-time-series

As described in Advances of Machine Learning by Marcos Prado

Primary LanguagePython

Fractional Differentiation on Time Series

As described in Advances of Machine Learning by Marcos Prado

SP500 returns

F(X) = X and its (frac) derivatives/antiderivates

The animation shows the derivative operator oscillating between the antiderivative (α=−1: y = ​1⁄2⋅x2) and the derivative (α = +1: y = 1) of the simple function y = x continuously.

Get Started

git clone git@github.com:philipperemy/fractional-differentiation-time-series.git && cd fractional-differentiation-time-series
virtualenv -p python3 venv
source venv/bin/activate
pip install . --upgrade
python frac_diff_sp500.py

References: