This is a package for Julia that provides various functions for processing financial time series data.
View on JuliaHub, or Julia Packages.
Package contains various different tools to preprocess time series for machine learning and other uses.
DataFrames.DataFrame split_adjust( DataFrames.DataFrame df )
Adjusts dataframes containing stock prices and volume if prices are unadjusted after potential stock merges/splits.
The source code for this function is in FinanceTools.jl.
DataFrames.DataFrame df
To be filled out.
DataFrames.DataFrame df
To be filled out.
julia> split_adjust()
# This results in...
fracdiff( Core.AbstractArray data, Core.Number d, Core.Number cutoff = 1e-3 )
Calculates the fractional difference of a time series
The source code for this function is in fracdiff.jl.
Core.AbstractArray data
Vector containing series to be differenced.Core.Number d
Order of diffentiation, can be any positive real number.Core.Number cutoff
Cutoff value for the binomial weights. Defaults to1e-3
This function returns a vector with the same shape as input, efter being differenced.
julia> fracdiff([0.:10.;], 0.5)
# This results in...
11-element Vector{Float64}:
-4.1236855200362954e-16
1.0000000000000002
1.5
1.8750000000000002
2.1874999999999996
2.4609375
2.707031249999998
2.9326171874999987
3.1420898437499987
3.3384704589843737
3.523941040039061
fracdiff!( Core.AbstractArray data, Core.Number d, Core.Number cutoff = 1e-3 )
In-place version of the "fracdiff" function.
The source code for this function is in fracdiff.jl.
Core.AbstractArray data
To be filled out.Core.Number d
To be filled out.Core.Number cutoff
To be filled out. Defaults to1e-3
?
This function does not return a value.
julia> fracdiff!()
# This results in...
This project is licensed under the MIT License, see LICENSE for more information.