Various tools for processing financial time series data in Julia.
Installation: at the Julia REPL, using Pkg; Pkg.add("FinanceTools")
View on JuliaHub, or Julia Packages.
Package contains various different tools to preprocess time series for machine learning and other uses. Notable functions are fracdiff which allows for fractional differencing and dollarbars which converts tick data into dollar bars.
This project is licensed under the MIT License, see LICENSE for more information.