Libraries for Online learning 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. 
 A: If you are willing to try Julia (or pyjulia for calling Julia from Python), there is OnlineStats.jl.  The StatLearn type for statistical learning may be of use to you.
A: Late answer, but...
Liblinear (standalone)
The authors recently released a new, faster version. A multi-threaded implementation is also available. LIBLINEAR is a linear classifier for data with millions of instances and features. It supports :


*

*L2-regularized classifiers 

*L2-loss linear SVM, L1-loss linear SVM, and logistic regression (LR)

*L1-regularized classifiers

*L2-loss linear SVM and logistic regression (LR)

*L2-regularized support vector regression

*L2-loss linear SVR and L1-loss linear SVR.


Sofia (R, standalone)
Google released Sofia, which is also callable from R through RSofia. It performs regressions, classification and ranking through:


*

*Pegasos SVM 

*Stochastic Gradient Descent (SGD) 

*SVM Passive-Aggressive

*Perceptron Perceptron with Margins 

*ROMMA  

*Logistic Regression (with Pegasos Projection)


There is an implementation of online kmeans, which is available in the source code, but not in the R package.
Online random forests (Python, standalone)
Some implementation of online random forests are available on git. To mention a few : here is a C standalone implementation and here is a python implementation. Note that the theory is at its early stages, new implementations may come latter.
A: The Weka library (implemented in Java) has support for online learning as well. The term Weka uses is "updateable classifier", that is, an algorithm that can learn from a single training instance, and it doesn't need the entire dataset to be available in memory.
Here's the list of classifiers supported, that are capable of online learning. 
