Module frac_diff 

Fractional differentiation (Prado) — stationary features with memory preservation.

Source: Marcos López de Prado, Advances in Financial Machine Learning (2018), Ch. 5. Weights (w_k) for order (d): (w_0=1), (w_k = -w_{k-1}\frac{d-k+1}{k}), truncated when (|w_k| < \text{threshold}).

Structs

FracDiff

Fixed-window fractional differencing on a scalar series.

Constants

FRAC_DIFF_METADATA

Functions

frac_diff_weights

Compute truncated binomial weights for fractional order d.