- rolling apply
求过去滚动m日的排名
def rank(x):
x1 = x.rank()
end = x1[-1]
return end
mtrM = pct.rolling(m).apply(lambda y:rank(y))
- 两者滚动相关性
turnrate.rolling(10).corr(close_price)
求过去滚动m日的排名
def rank(x):
x1 = x.rank()
end = x1[-1]
return end
mtrM = pct.rolling(m).apply(lambda y:rank(y))
turnrate.rolling(10).corr(close_price)