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Creation of specialized data structures and labels tailored for financial machine learning models.
Distinct from Financial Data Engineering: Focuses specifically on the ML-ready structuring and labeling of data, not just general fetching or cleaning.
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mlfinlab is a Python machine learning library for finance designed for building and validating models used in quantitative trading and portfolio management. It provides a financial data engineering toolkit and a quantitative strategy backtesting framework to transform raw market data into predictive signals and target classes. The library includes a synthetic financial data generator to create artificial datasets that mimic the statistical properties of real assets for stress testing. It also provides specialized tools for financial time series labeling and sampling to prevent data leakage in
Provides utilities for creating specialized data structures and labels from time series to prepare them for machine learning models.