Closed C4i0kun closed 2 months ago
have you tested it? does it work well now?
Yes! With this current normalization method, the convolutional neural networks are not overffiting like before (as can be seen in the updated example). It looks like the old normalization method was pretty bad.
merged. thanks for your valuable codes.
Hello,
This pull request adds a useful sklearn-like scaler that allows the user to apply a StandardScaler or MinMaxScaler to a dataframe with multiple groups. So consider the following dataframe:
By using the groupby scaler like below:
You can easily normalize the time series of each ticker individually, as if different scalers were applied to each one of them. A few unit tests were added to confirm that the
fit()
,transform()
andfit_transform()
functions are working as intended.This pull request also adds a new parameter to GPM architecture so that the user can choose the number of graph convolutional layers to implement.