How to use fracdiff - 1 common examples
To help you get started, we’ve selected a few fracdiff examples, based on popular ways it is used in public projects.
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philipperemy / fractional-differentiation-time-series / frac_diff_sp500.py View on Github 
import matplotlib.pyplot as plt
import numpy as np
import os
import pandas as pd
from fracdiff import frac_diff_ffd
from utils import plot_multi
if __name__ == '__main__':
close = pd.read_csv(os.path.join('doc', 'sp500.csv'), index_col=0, parse_dates=True)[['Close']]
close = close['1993':]
fracs = frac_diff_ffd(close.apply(np.log), d=0.4, thres=1e-5)
a = pd.DataFrame(data=np.transpose([np.array(fracs), close['Close'].values]),
columns=['Fractional differentiation FFD', 'SP500'])
# burn the first 1500 days where the weights are not defined.
plot_multi(a[1500:])
plt.show()
