fractional-differentiation-time-series
fractional-differentiation-time-series copied to clipboard
Published
20 hours ago •
philipperemy
philipperemy
As described in Advances of Machine Learning by Marcos Prado.
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 [email protected]: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:
- 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
Metadata
120
Stars
46
Forks
Watchers
Owner
philipperemy
Metadata
As described in Advances of Machine Learning by Marcos Prado.