├── .gitignore ├── LICENSE ├── Makefile ├── README.md ├── data └── external │ └── dollar_bars.csv ├── docs ├── Makefile ├── commands.rst ├── conf.py ├── getting-started.rst ├── index.rst └── make.bat ├── models └── .gitkeep ├── notebooks ├── .gitkeep ├── 04. Sample Weights.ipynb ├── 05. Fractionally Differentiated Features.ipynb ├── 07. Cross Validation in Finance.ipynb ├── Labeling and MetaLabeling for Supervised Classification.ipynb ├── Tick, Volume, Dollar Volume Bars.ipynb ├── chapter_04_exercises_6_and_7.ipynb └── mlfinlab │ ├── corefns │ ├── __init__.py │ ├── core_functions.py │ └── financial_functions.py │ ├── fracdiff │ ├── __init__.py │ └── fracdiff.py │ └── util │ ├── __init__.py │ ├── multiprocess.py │ └── utils.py ├── references └── .gitkeep ├── reports ├── .gitkeep └── figures │ ├── .gitkeep │ ├── ma-crossover-metalabel-classification-report_Screenshot from 2018-06-12 10-24-40.png │ └── volume-bar-example-screenshot-2018.04.25-14-23-06.png ├── requirements.txt ├── setup.py ├── src ├── CONSTANTS.py ├── __init__.py ├── features │ ├── __init__.py │ ├── bars.py │ └── snippets.py └── utils │ ├── __init__.py │ └── utils.py ├── test_environment.py └── tox.ini /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/.gitignore -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/LICENSE -------------------------------------------------------------------------------- /Makefile: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/Makefile -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/README.md -------------------------------------------------------------------------------- /data/external/dollar_bars.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/data/external/dollar_bars.csv -------------------------------------------------------------------------------- /docs/Makefile: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/docs/Makefile -------------------------------------------------------------------------------- /docs/commands.rst: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/docs/commands.rst -------------------------------------------------------------------------------- /docs/conf.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/docs/conf.py -------------------------------------------------------------------------------- /docs/getting-started.rst: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/docs/getting-started.rst -------------------------------------------------------------------------------- /docs/index.rst: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/docs/index.rst -------------------------------------------------------------------------------- /docs/make.bat: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/BlackArbsCEO/Adv_Fin_ML_Exercises/HEAD/docs/make.bat -------------------------------------------------------------------------------- /models/.gitkeep: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /notebooks/.gitkeep: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /notebooks/04. 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