Date Twap 0 2013-10-01 123.8187 1 2013-10-02 124.62557999999999 2 2013-10-03 110.758455 3 2013-10-04 113.2481625 4 2013-10-05 119.98882750000001 5 2013-10-06 121.10016250000001 6 2013-10-07 121.218495 7 2013-10-08 122.454705 8 2013-10-09 123.61454 9 2013-10-10 125.46166249999999 10 2013-10-11 125.4478275 11 2013-10-12 125.09333 12 2013-10-13 126.1209575 13 2013-10-14 130.7805775 14 2013-10-15 133.6325575 15 2013-10-16 138.130205 16 2013-10-17 140.57558 17 2013-10-18 140.68141250000002 18 2013-10-19 147.66287 19 2013-10-20 158.1210375 20 2013-10-21 162.220495 21 2013-10-22 170.8828675 22 2013-10-23 182.96707750000002 23 2013-10-24 194.289745 24 2013-10-25 185.277995 25 2013-10-26 175.5104125 26 2013-10-27 176.9478725 27 2013-10-28 182.0395825 28 2013-10-29 189.65937 29 2013-10-30 195.04937 30 2013-10-31 196.262995 31 2013-11-01 196.918245 32 2013-11-02 197.89224750000002 33 2013-11-03 199.8566625 34 2013-11-04 205.5794575 35 2013-11-05 217.89729 36 2013-11-06 235.860705 37 2013-11-07 254.05082749999997 38 2013-11-08 277.9382 39 2013-11-09 315.68937 40 2013-11-10 312.36775 41 2013-11-11 293.71074500000003 42 2013-11-12 321.64056 43 2013-11-13 347.718685 44 2013-11-14 380.0384975 45 2013-11-15 402.89374999999995 46 2013-11-16 410.94737250000003 47 2013-11-17 427.670185 48 2013-11-18 474.050745 49 2013-11-19 619.415935 50 2013-11-20 584.2309325 51 2013-11-21 528.8384325 52 2013-11-22 633.0808724999999 53 2013-11-23 720.7646225 54 2013-11-24 758.8703725 55 2013-11-25 752.5100575 56 2013-11-26 772.9409975 57 2013-11-27 843.5803125 58 2013-11-28 915.7935625 59 2013-11-29 1000.1489 60 2013-11-30 1102.253675 61 2013-12-01 1127.42 62 2013-12-02 1000.675655 63 2013-12-03 1007.0671624999999 64 2013-12-04 1053.5350274999998 65 2013-12-05 1107.1964725 66 2013-12-06 1039.6750299999999 67 2013-12-07 864.8679325 68 2013-12-08 708.4128499999999 69 2013-12-09 765.0535 70 2013-12-10 879.3037400000001 71 2013-12-11 947.4553675 72 2013-12-12 910.3923375 73 2013-12-13 885.056975 74 2013-12-14 898.4179125 75 2013-12-15 871.095485 76 2013-12-16 855.9061925 77 2013-12-17 758.7809275 78 2013-12-18 678.12831 79 2013-12-19 571.078495 80 2013-12-20 625.6539124999999 81 2013-12-21 668.4366125 82 2013-12-22 619.480035 83 2013-12-23 627.3999 84 2013-12-24 659.2937299999999 85 2013-12-25 663.205455 86 2013-12-26 683.3997850000001 87 2013-12-27 734.7544125 88 2013-12-28 747.228785 89 2013-12-29 727.71843 90 2013-12-30 736.0334125 91 2013-12-31 751.1306775 92 2014-01-01 754.6834125 93 2014-01-02 765.5737025000001 94 2014-01-03 791.9052525000001 95 2014-01-04 813.8303324999999 96 2014-01-05 841.7824925 97 2014-01-06 918.7571275 98 2014-01-07 967.7621549999999 99 2014-01-08 894.2876549999999 100 2014-01-09 856.2382775 101 2014-01-10 850.7965899999999 102 2014-01-11 869.8508075 103 2014-01-12 906.5073674999999 104 2014-01-13 892.106 105 2014-01-14 857.8113925000001 106 2014-01-15 856.7985974999999 107 2014-01-16 867.3681675 108 2014-01-17 859.29376 109 2014-01-18 835.4024975 110 2014-01-19 839.4864524999999 111 2014-01-20 860.06041 112 2014-01-21 873.8656225 113 2014-01-22 871.3352 114 2014-01-23 866.7214099999999 115 2014-01-24 851.0422475 116 2014-01-25 830.4061375 117 2014-01-26 850.66715 118 2014-01-27 874.0466025000001 What I have tried: <pre>p = data[['Date','Twap']] a=np.array([]) def volatility(x): for i in range(30-1): np.append(a,np.log(x['Twap'][i+1]/x['Twap'][i])) p.rolling(window = 30).apply(volatility)
var
This content, along with any associated source code and files, is licensed under The Code Project Open License (CPOL)