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Machine Learning Tools useful for Financial Time Series

Project description


This package is designed to provide useful classes for machine learning in finance. There are many unique issues in financial machine learning and in time series data in general.

Pieces of the package

  1. PurgeEmbargoTimeSeriesSplit
  2. CreateQuarterPanelData
  3. PanelTimeSeriesSplit
  4. Fractional Differencing Features (under development)

Project details

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Files for ml-finance-tools, version 1.1.0
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