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I am looking for packages (either in python, R, or a standalone package) to perform online learning to predict stock data.

I have found and read about Vowpal Wabbit (https://github.com/JohnLangford/vowpal_wabbit/wiki), which seems to be quite promising but I am wondering if there are any other packages out there.

Thanks in advance.

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    $\begingroup$ Dumb question, but do you mean online as in "non-batch mode", or as in "processed in the cloud"? $\endgroup$
    – Mike Ounsworth
    Sep 9, 2014 at 17:14
  • $\begingroup$ Hi Mike, I mean non-batch mode. So soon after a prediction is made we learn the true label and then use that in the training. So think in terms of predicting a stock price, in a few minutes we would learn the true value, and then use that value in our training. $\endgroup$
    – mike1886
    Sep 11, 2014 at 13:16
  • $\begingroup$ Not online learning, but take a look at this post, this may help you to get a start francescopochetti.com/stock-market-prediction-part-introduction $\endgroup$
    – Adriano Almeida
    Oct 9, 2014 at 10:22

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You could look at scikit-learn or Orange module in Python. Scikit-learn has a SGD classifier and regressor that could do a partial fit data in case of online learning. In R, take a look at caret package

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  • $\begingroup$ Thanks for your comments. I am very aware and use scikit and caret regularly but I am looking for more of a state of the art online learning package, and neither scikit or caret are these. I am looking for people who are actually using something and can give their experience with a given package. $\endgroup$
    – mike1886
    Sep 5, 2014 at 13:23
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    $\begingroup$ @mike1886: if you already know how to update your model using new data, what else do you want? What is "more of state of the art" in your understanding? Just more recent and sounding cooler? $\endgroup$
    – ffriend
    Oct 6, 2014 at 5:56
  • $\begingroup$ Agree---scikit's online learning modules are pretty 'state-of-the-art', whatever that means $\endgroup$
    – Ben Allison
    Oct 13, 2014 at 13:56
  • $\begingroup$ @Rahul in R is caret package supports any online learning algorithm? if yes, please suggest. $\endgroup$
    – Divyang Shah
    Jun 9, 2017 at 10:01
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There are a few other libraries for online or incremental machine learning.

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River - Online Machine Learning in Python (website) previously creme and scikit-multiflow.

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