Search icon CANCEL
Subscription
0
Cart icon
Your Cart (0 item)
Close icon
You have no products in your basket yet
Save more on your purchases now! discount-offer-chevron-icon
Savings automatically calculated. No voucher code required.
Arrow left icon
Explore Products
Best Sellers
New Releases
Books
Videos
Audiobooks
Learning Hub
Conferences
Free Learning
Arrow right icon
Arrow up icon
GO TO TOP
Mastering Pandas for Finance

You're reading from   Mastering Pandas for Finance Master pandas, an open source Python Data Analysis Library, for financial data analysis

Arrow left icon
Product type Paperback
Published in May 2015
Publisher Packt
ISBN-13 9781783985104
Length 298 pages
Edition 1st Edition
Languages
Tools
Arrow right icon
Author (1):
Arrow left icon
Michael Heydt Michael Heydt
Author Profile Icon Michael Heydt
Michael Heydt
Arrow right icon
View More author details
Toc

Table of Contents (11) Chapters Close

Preface 1. Getting Started with pandas Using Wakari.io FREE CHAPTER 2. Introducing the Series and DataFrame 3. Reshaping, Reorganizing, and Aggregating 4. Time-series 5. Time-series Stock Data 6. Trading Using Google Trends 7. Algorithmic Trading 8. Working with Options 9. Portfolios and Risk Index

Shifting and lagging time-series data


A common operation on time-series data is to shift or "lag" the values back and forward in time, such as to calculate percentage change from sample to sample. The pandas method for this is .shift(), which will shift the values in the index by a specified number of units of the index's period.

To demonstrate shifting and lagging, we will use the adjusted close values for MSFT. As a refresher, the following command shows the first 10 items in that time-series:

In [29]:
   msftAC[:5]

Out[29]:
   Date
   2012-01-03    24.42183
   2012-01-04    24.99657
   2012-01-05    25.25201
   2012-01-06    25.64429
   2012-01-09    25.30675
   Name: Adj Close, dtype: float64

The following command shifts the adjusted closing prices forward by 1 day:

In [30]:
   shifted_forward = msftAC.shift(1)
   shifted_forward[:5]

Out[30]:
   Date
   2012-01-03         NaN
   2012-01-04    24.42183
   2012-01-05    24.99657
   2012-01-06    25.25201
   2012-01-09    25.64429
   Name...
lock icon The rest of the chapter is locked
Register for a free Packt account to unlock a world of extra content!
A free Packt account unlocks extra newsletters, articles, discounted offers, and much more. Start advancing your knowledge today.
Unlock this book and the full library FREE for 7 days
Get unlimited access to 7000+ expert-authored eBooks and videos courses covering every tech area you can think of
Renews at $19.99/month. Cancel anytime