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Mark Aron Szulyovszky
17 lines
667 B
Python
17 lines
667 B
Python
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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from feature_extractors.utils import apply_log_if_necessary_series
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def feature_fractional_differentiation(df: pd.DataFrame, period: int) -> pd.Series:
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frac_diff = FracdiffStat(window=period)
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input_series = df["close"].to_numpy().reshape(-1, 1)
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result = frac_diff.fit_transform(input_series)
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return pd.Series(result.squeeze(), index=df.index)
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def feature_fractional_differentiation_log(df: pd.DataFrame, period: int) -> pd.Series:
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series = feature_fractional_differentiation(df, period, is_log_return)
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return apply_log_if_necessary_series(series, "fracdiff")
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