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10 lines
454 B
Python
10 lines
454 B
Python
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from fracdiff.sklearn import FracdiffStat
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import pandas as pd
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import numpy as np
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def feature_fractional_differentiation(df: pd.DataFrame, period: int, is_log_return: bool) -> pd.Series:
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feature_selector = FracdiffStat(window = period)
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input_series = df["close"].to_numpy().reshape(-1, 1)
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feature_selector.fit(input_series)
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result = feature_selector.transform(input_series)
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return pd.Series(np.log(result.squeeze()), index = df.index)
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