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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 '14 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 '14 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 '14 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 '14 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 '14 at 5:56
  • $\begingroup$ Agree---scikit's online learning modules are pretty 'state-of-the-art', whatever that means $\endgroup$ – Ben Allison Oct 13 '14 at 13:56
  • $\begingroup$ @Rahul in R is caret package supports any online learning algorithm? if yes, please suggest. $\endgroup$ – Divyang Shah Jun 9 '17 at 10:01
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There are a few other libraries for online or incremental machine learning.

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