Fractional Differentiation

[ngriffiths13]

Would there be any interest in adding fraction differencing as a function to the library? This is talked about in M. L. Prado, "Advances in Financial Machine Learning". I have an implementation already in polars I could clean up and make a PR for if there is any interest.

You can also see this repo for a numpy example

[topher-lo]

Absolutely. Big fan of this technique. Would you have a recipe for the inverse operation?

[ngriffiths13]

I don't believe you can calculate the inverse because it requires a dot product.

[abstractqqq]

@ngriffiths13 Is your implementation pure Polars expressions? Or it requires NumPy/SciPy under the hood?

[ngriffiths13]

@abstractqqq i use numpy to calculate the weights before doing anything to the frame. But everything that happens to the frame is pure polars. Could remove numpy completely pretty easily if needed.

[ngriffiths13]

@topher-lo I actually have been implementing most of the functions in the book referenced above. If any other ones interest you I would be happy to contribute more of them. (If you aren't familiar with the book I can put together a list)

[topher-lo]

Let's do it. I'm super excited to see this in action.

[topher-lo]

If you haven't already, please join our discord! We can then add you to the (very active) private contributors channel and take it from there.