Hi Everyone,

We have released the latest update to the MlFinLab package which now includes the following implementations: Useful Financial Features:

* Structural Breaks

* Market Microstructural Features

* Entropy Features

Other:

* ONC Clustering Algorithm

* Improved Feature importance

* Add time data structure

* Add Z-score filters

We are just about finished with the textbook Advances in Financial Machine Learning and have started to implement a few papers from the Journal of Financial Data Science.

Namely:

1. Codependence module based on information theory.

2. Feature Importance: Model Fingerprint

If you have a couple of papers or tools that you would love to see open-sourced please do leave a link in the comments section and we can review them. There are 3 textbooks coming out in 2020 on FinML which we are waiting patiently for.