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fractional differentiation for engineering stationary features from financial time series - #11851

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mjvakili wants to merge 5 commits into
TheAlgorithms:masterfrom
mjvakili:feature-fracdiff
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fractional differentiation for engineering stationary features from financial time series#11851
mjvakili wants to merge 5 commits into
TheAlgorithms:masterfrom
mjvakili:feature-fracdiff

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@mjvakili

@mjvakili mjvakili commented Oct 7, 2024

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Describe your change:

  • Add an algorithm?
  • Fix a bug or typo in an existing algorithm?
  • Add or change doctests? -- Note: Please avoid changing both code and tests in a single pull request.
  • Documentation change?

Checklist:

  • I have read CONTRIBUTING.md.
  • This pull request is all my own work -- I have not plagiarized.
  • I know that pull requests will not be merged if they fail the automated tests.
  • This PR only changes one algorithm file. To ease review, please open separate PRs for separate algorithms.
  • All new Python files are placed inside an existing directory.
  • All filenames are in all lowercase characters with no spaces or dashes.
  • All functions and variable names follow Python naming conventions.
  • All function parameters and return values are annotated with Python type hints.
  • All functions have doctests that pass the automated testing.
  • All new algorithms include at least one URL that points to Wikipedia or another similar explanation.
  • If this pull request resolves one or more open issues then the description above includes the issue number(s) with a closing keyword: "Fixes #ISSUE-NUMBER".

priya-sundaram-dev
priya-sundaram-dev reviewed Sep 5, 2026
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@priya-sundaram-dev priya-sundaram-dev left a comment

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Nice, well-documented contribution @mjvakili — type hints, doctests and references are all here, which is great. Two small suggestions:

  1. fracdiff_fixedwindow calls calculate_weights(degree=degree, length=len(price_series)) but only ever uses the first window_size weights, so it computes len(price_series) - window_size weights that are thrown away. Using length=window_size keeps it O(window_size) per point.
  2. The fracdiff_fixedwindow docstring Parameters section documents price_series and degree but omits window_size — please add it. A quick ValueError/note for window_size > len(price_series) (currently silently returns all-nan) would also help callers.

Otherwise this looks solid.

@priya-sundaram-dev priya-sundaram-dev mentioned this pull request Sep 5, 2026
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@cclauss cclauss mentioned this pull request Sep 13, 2026
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@mjvakili @priya-sundaram-dev