1 Star 0 Fork 0

yutiansut / finance_ml

加入 Gitee
与超过 1200万 开发者一起发现、参与优秀开源项目,私有仓库也完全免费 :)
免费加入
克隆/下载
贡献代码
同步代码
取消
提示: 由于 Git 不支持空文件夾,创建文件夹后会生成空的 .keep 文件
Loading...
README
MIT

finance_ml

Python implementations of Machine Learning helper functions for Quantiative Finance based on books, Advances in Financial Machine Learning and Machine Learning for Asset Managers , written by Marcos Lopez de Prado.

Installation

Excute the following command

python setup.py install

or

Simply add your/path/to/finace_ml to your PYTHONPATH.

Implementation

The following functions are implemented:

  • Labeling
  • Multiporcessing
  • Sampling
  • Feature Selection
  • Asset Allcation
  • Breakout Detection

Examples

Some of example notebooks are found under the folder MLAssetManagers.

multiprocessing

Parallel computing using multiprocessing library. Here is the example of applying function to each element with parallelization.

import pandas as pd
import numpy as np

def apply_func(x):
    return x ** 2

def func(df, timestamps, f):
    df_ = df.loc[timestamps]
    for idx, x in df_.items():
        df_.loc[idx] = f(x)
    return df_
    
df = pd.Series(np.random.randn(10000))
from finance_ml.multiprocessing import mp_pandas_obj

results = mp_pandas_obj(func, pd_obj=('timestamps', df.index),
                        num_threads=24, df=df, f=apply_func)
print(results.head())

Output:

0    0.449278
1    1.411846
2    0.157630
3    4.949410
4    0.601459

For more detail, please refer to example notebook!

MIT License Copyright (c) 2018 Tomoaki Fujii Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

简介

Advances in Financial Machine Learning 展开 收起
Jupyter Notebook 等 2 种语言
MIT
取消

发行版

暂无发行版

贡献者

全部

近期动态

加载更多
不能加载更多了
1
https://gitee.com/yutiansut/finance_ml.git
git@gitee.com:yutiansut/finance_ml.git
yutiansut
finance_ml
finance_ml
master

搜索帮助

14c37bed 8189591 565d56ea 8189591