Section 16, Unit

AI & Machine learning
1

Dear friends, how did you conclude that the frac diff series of MSFT preserves more memory than the diff only? 



Is there a mathematical/quantitative way to "show" that, or obtain evidence about that? 



Many thanks

Alex

2

Hi Alex,



We are looking into this. Will get back to you as soon as possible. Thanks!

3

Please refer to Advances in Financial Machine Learning (AFML) by Lopez de Prado (LdP) section 5.4.1 for a mathematical demonstration.



Best,

Ernie