Python Postprocess.compute_daily_change Examples

Example #1

File: GARCH.py Project: digitalOrca/Spyhop

 def prep_data(self):
     daily_price = self.preprocess.retrieve_open_close()
     daily_change = post.compute_daily_change(daily_price).fillna(0)
     mu = daily_change.mean()
     residual = daily_change.subtract(mu)
     return residual

Example #2

 def compute_correlation(self):
     daily_price = self.preprocess.retrieve_open_close()
     daily_change = post.compute_daily_change(daily_price)
     return daily_change.corr(method='pearson', min_periods=30)