https://github.com/philipperemy/fractional-differentiation-time-series

As described in Advances of Machine Learning by Marcos Prado.
https://github.com/philipperemy/fractional-differentiation-time-series

calculus fractional-calculus mathematics

Last synced: 23 days ago
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As described in Advances of Machine Learning by Marcos Prado.

• Host: GitHub
• URL: https://github.com/philipperemy/fractional-differentiation-time-series
• Owner: philipperemy
• License: mit
• Created: 2018-09-26T01:24:14.000Z (over 6 years ago)
• Default Branch: master
• Last Pushed: 2022-11-17T04:59:49.000Z (about 2 years ago)
• Last Synced: 2024-12-11T04:12:38.646Z (about 1 month ago)
• Topics: calculus, fractional-calculus, mathematics
• Language: Python
• Homepage:
• Size: 2.83 MB
• Stars: 119
• Watchers: 7
• Forks: 47
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • Funding: .github/FUNDING.yml
  • License: LICENSE

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README

        
## 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.

```commandline

pip install fracdiff2

```

### API

As straightforward as possible.

```python

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](https://github.com/fracdiff/fracdiff). It is worth checking it out.