WebMar 23, 2024 · def rolling_mean_pad (a, W=3): hW = (W-1)//2 # half window size for padding a = np.asarray (a) # convert to array k = np.ones (W) # kernel for convolution # Mask of … WebMar 13, 2024 · 以下是一个简单的 Python 代码，用于计算滚动波动率： ```python import pandas as pd import numpy as np def rolling_volatility(data, window): returns = np.log(data / data.shift(1)) volatility = returns.rolling(window).std() * np.sqrt(252) return volatility # 示例数据 data = pd.DataFrame({'price': [10, 12, 11, 13, 15, 14, 16, 18, 17, 19]}) window = 3 # 计 …
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WebEssentially, using numpy's stride tricks you can first create a view of an array with striding such that computing a statistic of the function along the last axis is equivalent to performing the rolling statistic. I've modified the original code so that the output shape is the same as the input shape by padding add the start of the last axis. WebJul 20, 2024 · There is no way to apply an arbitrary, possibly pure Python function and expect it to work and be fast. Instead, we need to be able to produce an algorithm that can leverage one or multiple compiled and vectorized operations to manipulate the rolled array. More often than not, it requires some math besides NumPy’s tools. discovery rakete
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WebI am attempting to perform a rolling forecast of the volatility of a given stock 30 days into the future (i.e. forecast time t+1, then use this forecast when forecasting t+2, and so on...) … Web以下是一个简单的 Python 代码，用于计算滚动波动率： ```python import pandas as pd import numpy as np def rolling_volatility(data, window): returns = np.log(data / data.shift(1)) volatility = returns.rolling(window).std() * np.sqrt(252) return volatility # 示例数据 data = pd.DataFrame({'price': [10, 12, 11, 13, 15, 14, 16, 18, 17, 19]}) window = 3 # 计算滚动波动率 ... WebIt looks like you are looking for Series.rolling. You can apply the std calculations to the resulting object: roller = Ser.rolling(w) volList = roller.std(ddof=0) If you don't plan on using the rolling window object again, you can write a one-liner: volList = … discovery questions to ask in sales