philipperemy / Fractional Differentiation Time Series
Licence: mit
As described in Advances of Machine Learning by Marcos Prado.
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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
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