philipperemy/fractional-differentiation-time-series

As described in Advances of Machine Learning by Marcos Prado.

Fractional Differentiation on Time Series (original implementation)

As described in Advances of Machine Learning by Marcos Prado.

SP500 returns with fractional differentiation

This example reproduces the visual seen in the book of Marcos Prado.

Installation

Via PyPI.

pip install fracdiff2

API

As straightforward as possible.

from fracdiff2 import frac_diff_ffd
import numpy as np

x = np.random.uniform(size=(1000,))
frac_diff_ffd(x, d=0.5)

References

• https://www.wiley.com/en-us/Advances+in+Financial+Machine+Learning-p-9781119482086
• https://wwwf.imperial.ac.uk/~ejm/M3S8/Problems/hosking81.pdf
• https://en.wikipedia.org/wiki/Fractional_calculus

Note

This repository was written in 2018. It seems like a new faster library was created in 2022: fracdiff. It is worth checking it out.