macrosynergy.learning#
Description#
The macrosynergy.learning subpackage contains functions and classes to assist the
creation of machine learning solutions with macro quantamental data.
Currently, the functionality is built around integrating the macrosynergy package and
associated JPMaQS data with the popular scikit-learn library, which provides a simple
interface for fitting common statistical machine learning models, as well as feature
selection methods, cross-validation classes and performance metrics.
The panel format of our quantamental dataframes renders many of the common classes and functions in scikit-learn either impossible or difficult to use, either conceptually or practically. We provide custom scikit-learn estimators, transformers, metrics, wrappers and classes to build a bridge between tradable economics and machine learning.