Previous topic


Next topic


Rolling models

Some tools/objects to roll a model, currently this object work only with neural network models with PyTorch package. You can find in fynance.neural_network some other rolling neural network working with Keras (Tensorflow or Theano). And you can also find in fynance.algorithms.allocation a function to roll some portfolio allocation algorithms.

fynance.models.rolling._RollingBasis(X, y[, …]) Base object to roll a neural network model.
fynance.models.rolling.RollMultiLayerPerceptron(X, y) Rolling version of the vanilla neural network model.