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