January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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How it works...
Normally, we could use the resample method of a pandas DataFrame. Supposing we wanted to calculate the average monthly return, we could run df.log_rtn.resample('M').mean().
For the resample method, we can use any built-in aggregate functions of pandas, such as mean, sum, min, and max. However, our case is a bit more complex, so we defined a helper function called realized_volatility, and replicated the behavior of resample by using a combination of groupby, Grouper, and apply.
We presented the most basic visualization of the results (please refer to the next recipe for information about visualizing time series).
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