Skip to content

Instantly share code, notes, and snippets.

@quantra-go-algo

quantra-go-algo/gist:f13d7a95198b3e4d05b03d0fa3d9b298

Created August 11, 2023 21:02
Show Gist options
  • Save quantra-go-algo/f13d7a95198b3e4d05b03d0fa3d9b298 to your computer and use it in GitHub Desktop.
Save quantra-go-algo/f13d7a95198b3e4d05b03d0fa3d9b298 to your computer and use it in GitHub Desktop.
Download ZIP
Raw
gistfile1.txt
# Estimate ARFIMA residuals with optimal d
arfima_residuals = fracDiff_FFD(np.log(data['Close']),d)
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment