📈Python for finance series

Feature Engineering

Fractionally Differentiated Features

Photo by Dave Gandy under the Public Domain Dedication License

Warning: There is no magical formula or Holy Grail here, though a new world might open the door for you.

Note 1: How to install mlfinlab package without error messages can be found here.

Note 2: If you are reading Advances in Financial Machine Learning by Marcos Prado. 7. Fractionally Differentiated Features is Chapter 5 about Fractionally Differentiated Features. 8. Data Labelling is Chapter 3 about The Triple-barrier Method. And 9. Meta-labeling is Chapter 3.6 on page 50.

📈Python For Finance Series

1. Identifying Outliers
2. Identifying Outliers — Part Two
3. Identifying Outliers — Part Three
4. Stylized Facts
5. Feature Engineering & Feature Selection
6. Data Transformation
7. Fractionally Differentiated Features
8. Data Labelling
9. Meta-labeling and Stacking

Introduction

Fractional differentiation (or Fractional derivative or Fractional calculus) is a great idea once you understood all the equations. But the first time…