第10章 时间序列
10.1 日期和时间数据类型及工具
import pandas as pd
import numpy as np
%matplotlib inline
%matplotlib notebook
import matplotlib.pyplot as plt
from pandas import *
from datetime import datetime
from datetime import datetime
now=datetime.now()
now
# datetime.datetime(2020, 10, 20, 14, 1, 54, 933015)
now.year,now.month,now.day
# (2020, 10, 20)
delta = datetime(2011,1,7)-datetime(2008,6,24,8,15)
delta
# datetime.timedelta(days=926, seconds=56700)
delta.days
# 926
delta.seconds
# 56700
from datetime import timedelta
start = datetime(2011,1,7)
start + timedelta(12)
# datetime.datetime(2011, 1, 19, 0, 0)
字符串和datetime的相互转换
stamp = datetime(2011,1,3)
str(stamp)
# '2011-01-03 00:00:00'
stamp.strftime('%Y-%m-%d')
# '2011-01-03'
value = '2011-01-03'
datetime.strptime(value,'%Y-%m-%d')
# datetime.datetime(2011, 1, 3, 0, 0)
datestrs = ['7/6/2011','8/6/2011']
[datetime.strptime(x,'%m/%d/%Y') for x in datestrs]
# [datetime.datetime(2011, 7, 6, 0, 0), datetime.datetime(2011, 8, 6, 0, 0)]
from dateutil.parser import parse
parse('2011-01-03')
# datetime.datetime(2011, 1, 3, 0, 0)
parse('Jan 31, 1997 10:45 PM')
# datetime.datetime(1997, 1, 31, 22, 45)
# 日出现在月之前
parse('6/12/2011',dayfirst=True)
# datetime.datetime(2011, 12, 6, 0, 0)
datestrs = ['7/6/2011','8/6/2011']
pd.to_datetime(datestrs)
# DatetimeIndex(['2011-07-06', '2011-08-06'], dtype='datetime64[ns]', freq=None)
# 处理缺失值
idx = pd.to_datetime(datestrs+[None])
pd.isnull(idx)
# array([False, False, True])
10.2 时间序列基础
from datetime import datetime
from pandas import Series
dates = [datetime(2011,1,2),datetime(2011,1,5),datetime(2011,1,7),
datetime(2011,1,8),datetime(2011,1,10),datetime(2011,1,12)]
ts = Series(np.random.randn(6),index=dates)
ts
#2011-01-02 -1.384879
#2011-01-05 0.199621
#2011-01-07 0.040222
#2011-01-08 -0.289395
#2011-01-10 -0.005374
#2011-01-12 0.552563
#dtype: float64
type(ts)
# pandas.core.series.Series
ts.index
# DatetimeIndex(['2011-01-02', '2011-01-05', '2011-01-07', '2011-01-08', '2011-01-10', '2011-01-12'],dtype='datetime64[ns]', freq=None)
# 自动按日期对齐
ts + ts[::2]
#2011-01-02 -2.769757
#2011-01-05 NaN
#2011-01-07 0.080444
#2011-01-08 NaN
#2011-01-10 -0.010748
#2011-01-12 NaN
ts.index.dtype
#dtype('<M8[ns]')
stamp = ts.index[0]
stamp
#Timestamp('2011-01-02 00:00:00')
索引、选取、子集构造
stamp = ts.index[2]
ts[stamp]
#0.040221833942954636
ts['1/10/2011']
#-0.005373868915115878
ts['20110110']
#-0.005373868915115878
longer_ts = Series(np.random.randn(1000),index=pd.date_range('1/1/2000',periods=1000))
longer_ts
#2000-01-01 -0.580951
#2000-01-02 0.223109
#2000-01-03 -0.187437
#2000-01-04 -1.516331
#2000-01-05 0.956707
# ...
#2002-09-22 -0.849338
#2002-09-23 -0.679533
#2002-09-24 -0.793814
#2002-09-25 -1.377390
#2002-09-26 -1.479914
#Freq: D, Length: 1000, dtype: float64
longer_ts['2001']
#2001-01-01 -2.528386
#2001-01-02 0.728009
#2001-01-03 -0.402413
#2001-01-04 -1.144869
#2001-01-05 -1.615072
# ...
#2001-12-27 -0.124626
#2001-12-28 -0.643222
#2001-12-29 0.372283
#2001-12-30 0.935801
#2001-12-31 0.832507
#Freq: D, Length: 365, dtype: float64
longer_ts['2001-05']
#2001-05-01 2.308811
#2001-05-02 -0.948999
#略
# 对日期进行切片的方式只对规则Series有效
ts[datetime(2011,1,7):]
#2011-01-07 0.040222
#2011-01-08 -0.289395
#2011-01-10 -0.005374
#2011-01-12 0.552563
#dtype: float64
ts['1/6/2011':'1/11/2011']
#2011-01-07 0.040222
#2011-01-08 -0.289395
#2011-01-10 -0.005374
#dtype: float64
ts.truncate(after='1/9/2011')
#2011-01-02 -1.384879
#2011-01-05 0.199621
#2011-01-07 0.040222
#2011-01-08 -0.289395
#dtype: float64
dates = pd.date_range('1/1/2000',periods=100,freq='W-WED')
long_df = DataFrame(np.random.randn(100,4),index = dates,columns=['Colorado','Texas','New York','Ohio'])
long_df.loc['5-2000']
.
带有重复索引的时间序列
dates = pd.DatetimeIndex(['1/1/2000','1/2/2000','1/2/2000',
'1/2/2000','1/3/2000'])
dup_ts = Series(np.arange(5),index=dates)
dup_ts
#2000-01-01 0
#2000-01-02 1
#2000-01-02 2
#2000-01-02 3
#2000-01-03 4
#dtype: int32
dup_ts.index.is_unique
#False
dup_ts['1/3/2000']
#4
dup_ts['1/2/2000']
#2000-01-02 1
#2000-01-02 2
#2000-01-02 3
#dtype: int32
10.3 日期的范围、频率以及移动
ts
#2011-01-02 -1.384879
#2011-01-05 0.199621
#2011-01-07 0.040222
#2011-01-08 -0.289395
#2011-01-10 -0.005374
#2011-01-12 0.552563
#dtype: float64
# resample()需添加.asfreq()才可显示
ts.resample('D').asfreq()
#2011-01-02 -1.384879
#2011-01-03 NaN
#2011-01-04 NaN
#2011-01-05 0.199621
#2011-01-06 NaN
#2011-01-07 0.040222
#2011-01-08 -0.289395
#2011-01-09 NaN
#2011-01-10 -0.005374
#2011-01-11 NaN
#2011-01-12 0.552563
#Freq: D, dtype: float64
生成日期范围
index = pd.date_range('4/1/2012','6/1/2012')
index
# start
pd.date_range(start='4/1/2012',periods=20)
#DatetimeIndex(['2012-04-01', '2012-04-02', '2012-04-03', '2012-04-04',
# '2012-04-05', '2012-04-06', '2012-04-07', '2012-04-08',
# '2012-04-09', '2012-04-10', '2012-04-11', '2012-04-12',
# '2012-04-13', '2012-04-14', '2012-04-15', '2012-04-16',
# '2012-04-17', '2012-04-18', '2012-04-19', '2012-04-20'],
# dtype='datetime64[ns]', freq='D')
# end
pd.date_range(end='6/1/2012',periods=20)
#DatetimeIndex(['2012-05-13', '2012-05-14', '2012-05-15', '2012-05-16',
# '2012-05-17', '2012-05-18', '2012-05-19', '2012-05-20',
# '2012-05-21', '2012-05-22', '2012-05-23', '2012-05-24',
# '2012-05-25', '2012-05-26', '2012-05-27', '2012-05-28',
# '2012-05-29', '2012-05-30', '2012-05-31', '2012-06-01'],
# dtype='datetime64[ns]', freq='D')
# freq='BM'
pd.date_range('1/1/2000','12/1/2000',freq='BM')
#DatetimeIndex(['2000-01-31', '2000-02-29', '2000-03-31', '2000-04-28',
# '2000-05-31', '2000-06-30', '2000-07-31', '2000-08-31',
# '2000-09-29', '2000-10-31', '2000-11-30'],
# dtype='datetime64[ns]', freq='BM')
# 时间信息
pd.date_range('5/2/2012 12:56:31', periods=5)
#DatetimeIndex(['2012-05-02 12:56:31', '2012-05-03 12:56:31',
# '2012-05-04 12:56:31', '2012-05-05 12:56:31',
# '2012-05-06 12:56:31'],
# dtype='datetime64[ns]', freq='D')
# 规范化的时间信息
pd.date_range('5/2/2012 12:56:31', periods=5, normalize=True)
#DatetimeIndex(['2012-05-02', '2012-05-03', '2012-05-04', '2012-05-05',
# '2012-05-06'],
# dtype='datetime64[ns]', freq='D')
频率和日期偏移量
from pandas.tseries.offsets import Hour,Minute
hour = Hour()
hour
#<Hour>
four_hours = Hour(4)
four_hours
#<4 * Hours>
pd.date_range('1/1/2000','1/3/2000 23:59',freq='4h')
#DatetimeIndex(['2000-01-01 00:00:00', '2000-01-01 04:00:00',
# '2000-01-01 08:00:00', '2000-01-01 12:00:00',
# '2000-01-01 16:00:00', '2000-01-01 20:00:00',
# '2000-01-02 00:00:00', '2000-01-02 04:00:00',
# '2000-01-02 08:00:00', '2000-01-02 12:00:00',
# '2000-01-02 16:00:00', '2000-01-02 20:00:00',
# '2000-01-03 00:00:00', '2000-01-03 04:00:00',
# '2000-01-03 08:00:00', '2000-01-03 12:00:00',
# '2000-01-03 16:00:00', '2000-01-03 20:00:00'],
# dtype='datetime64[ns]', freq='4H')
# 偏移量对象可用加法连接
Hour(2) + Minute(30)
#<150 * Minutes>
pd.date_range('1/1/2000',periods=10,freq='1h30min')
#DatetimeIndex(['2000-01-01 00:00:00', '2000-01-01 01:30:00',
# '2000-01-01 03:00:00', '2000-01-01 04:30:00',
# '2000-01-01 06:00:00', '2000-01-01 07:30:00',
# '2000-01-01 09:00:00', '2000-01-01 10:30:00',
# '2000-01-01 12:00:00', '2000-01-01 13:30:00'],
# dtype='datetime64[ns]', freq='90T')
WOM日期
rng = pd.date_range('1/1/2012','9/1/2012',freq='WOM-3FRI')
rng
#DatetimeIndex(['2012-01-20', '2012-02-17', '2012-03-16', '2012-04-20',
# '2012-05-18', '2012-06-15', '2012-07-20', '2012-08-17'],
# dtype='datetime64[ns]', freq='WOM-3FRI')
list(rng)
#[Timestamp('2012-01-20 00:00:00', freq='WOM-3FRI'),
# Timestamp('2012-02-17 00:00:00', freq='WOM-3FRI'),
# Timestamp('2012-03-16 00:00:00', freq='WOM-3FRI'),
# Timestamp('2012-04-20 00:00:00', freq='WOM-3FRI'),
# Timestamp('2012-05-18 00:00:00', freq='WOM-3FRI'),
# Timestamp('2012-06-15 00:00:00', freq='WOM-3FRI'),
# Timestamp('2012-07-20 00:00:00', freq='WOM-3FRI'),
# Timestamp('2012-08-17 00:00:00', freq='WOM-3FRI')]
# 移动（超前和滞后）数据
ts = Series(np.random.randn(4),index=pd.date_range('1/1/2000',periods=4,freq='M'))
ts
#2000-01-31 0.395257
#2000-02-29 -0.354256
#2000-03-31 -0.086645
#2000-04-30 1.718306
#Freq: M, dtype: float64
ts.shift(2)
#2000-01-31 NaN
#2000-02-29 NaN
#2000-03-31 0.395257
#2000-04-30 -0.354256
#Freq: M, dtype: float64
ts.shift(-2)
#2000-01-31 -0.086645
#2000-02-29 1.718306
#2000-03-31 NaN
#2000-04-30 NaN
#Freq: M, dtype: float64
# 百分比变化
ts/ts.shift(1)-1
#2000-01-31 NaN
#2000-02-29 -1.896268
#2000-03-31 -0.755417
#2000-04-30 -20.831574
#Freq: M, dtype: float64
ts.shift(2,freq='M')
#2000-03-31 0.395257
#2000-04-30 -0.354256
#2000-05-31 -0.086645
#2000-06-30 1.718306
#Freq: M, dtype: float64
ts.shift(3,freq='D')
#2000-02-03 0.395257
#2000-03-03 -0.354256
#2000-04-03 -0.086645
#2000-05-03 1.718306
#dtype: float64
ts.shift(1,freq='3D')
#2000-02-03 0.395257
#2000-03-03 -0.354256
#2000-04-03 -0.086645
#2000-05-03 1.718306
#dtype: float64
ts.shift(1,freq='90T')
#2000-01-31 01:30:00 0.395257
#2000-02-29 01:30:00 -0.354256
#2000-03-31 01:30:00 -0.086645
#2000-04-30 01:30:00 1.718306
#Freq: M, dtype: float64
通过偏移量对日期进行位移
from pandas.tseries.offsets import Day,MonthEnd
now = datetime(2011,11,17)
now + 3*Day()
#Timestamp('2011-11-20 00:00:00')
now + MonthEnd()
#Timestamp('2011-11-30 00:00:00')
now + MonthEnd(2)
#Timestamp('2011-12-31 00:00:00')
# rollforward, rollback
offset = MonthEnd()
offset.rollforward(now)
#Timestamp('2011-11-30 00:00:00')
offset.rollback(now)
#Timestamp('2011-10-31 00:00:00')
# 结合groupby
ts = Series(np.random.randn(20),index=pd.date_range('1/15/2000',periods=20,freq='4d'))
ts.groupby(offset.rollforward).mean()
#2000-01-31 0.246598
#2000-02-29 -0.040072
#2000-03-31 -0.180165
#dtype: float64
# resample
ts.resample('M').mean()
#2000-01-31 0.246598
#2000-02-29 -0.040072
#2000-03-31 -0.180165
#Freq: M, dtype: float64
10.4 时区处理
import pytz
# 查看时区名
pytz.common_timezones[-5:]
#['US/Eastern', 'US/Hawaii', 'US/Mountain', 'US/Pacific', 'UTC']
tz = pytz.timezone('US/Eastern')
tz
#<DstTzInfo 'US/Eastern' LMT-1 day, 19:04:00 STD>
本地化和转换
rng = pd.date_range('3/9/2012 9:30',periods=6,freq='D')
ts = Series(np.random.randn(len(rng)),index=rng)
ts
#2012-03-09 09:30:00 -1.072802
#2012-03-10 09:30:00 -1.197278
#2012-03-11 09:30:00 0.267459
#2012-03-12 09:30:00 0.934976
#2012-03-13 09:30:00 -0.250807
#2012-03-14 09:30:00 0.515788
#Freq: D, dtype: float64
print(ts.index.tz)
#None
# tz
pd.date_range('3/9/2012 09:30', periods=10, freq='D',tz='UTC')
#DatetimeIndex(['2012-03-09 09:30:00+00:00', '2012-03-10 09:30:00+00:00',
# '2012-03-11 09:30:00+00:00', '2012-03-12 09:30:00+00:00',
# '2012-03-13 09:30:00+00:00', '2012-03-14 09:30:00+00:00',
# '2012-03-15 09:30:00+00:00', '2012-03-16 09:30:00+00:00',
# '2012-03-17 09:30:00+00:00', '2012-03-18 09:30:00+00:00'],
# dtype='datetime64[ns, UTC]', freq='D')
# 从单纯到本地化用tz_locolize方法
ts_utc = ts.tz_localize('UTC')
ts_utc
#2012-03-09 09:30:00+00:00 -1.072802
#2012-03-10 09:30:00+00:00 -1.197278
#2012-03-11 09:30:00+00:00 0.267459
#2012-03-12 09:30:00+00:00 0.934976
#2012-03-13 09:30:00+00:00 -0.250807
#2012-03-14 09:30:00+00:00 0.515788
#Freq: D, dtype: float64
# 被本地化后到某个特定时区，就可以tz_convert方法
ts_utc.tz_convert('US/Eastern')
#2012-03-09 04:30:00-05:00 -1.072802
#2012-03-10 04:30:00-05:00 -1.197278
#2012-03-11 05:30:00-04:00 0.267459
#2012-03-12 05:30:00-04:00 0.934976
#2012-03-13 05:30:00-04:00 -0.250807
#2012-03-14 05:30:00-04:00 0.515788
#Freq: D, dtype: float64
# 先转化为eastern，然后转换为UTC
ts_eastern = ts.tz_localize('US/Eastern')
ts_eastern.tz_convert('UTC')
#2012-03-09 14:30:00+00:00 -1.072802
#2012-03-10 14:30:00+00:00 -1.197278
#2012-03-11 13:30:00+00:00 0.267459
#2012-03-12 13:30:00+00:00 0.934976
#2012-03-13 13:30:00+00:00 -0.250807
#2012-03-14 13:30:00+00:00 0.515788
#Freq: D, dtype: float64
ts_eastern.tz_convert('Europe/Berlin')
#2012-03-09 15:30:00+01:00 -1.072802
#2012-03-10 15:30:00+01:00 -1.197278
#2012-03-11 14:30:00+01:00 0.267459
#2012-03-12 14:30:00+01:00 0.934976
#2012-03-13 14:30:00+01:00 -0.250807
#2012-03-14 14:30:00+01:00 0.515788
#Freq: D, dtype: float64
# tz_localize和tz_convert也是DatetimeIndex的实例方法
ts.index.tz_localize('Asia/Shanghai')
#DatetimeIndex(['2012-03-09 09:30:00+08:00', '2012-03-10 09:30:00+08:00',
# '2012-03-11 09:30:00+08:00', '2012-03-12 09:30:00+08:00',
# '2012-03-13 09:30:00+08:00', '2012-03-14 09:30:00+08:00'],
# dtype='datetime64[ns, Asia/Shanghai]', freq='D')
操作时区意识型Timestamp对象（Timestamp不知道有啥用）
stamp = pd.Timestamp('2011-03-12 04:00')
stamp_utc = stamp.tz_localize('utc')
stamp_utc
#Timestamp('2011-03-12 04:00:00+0000', tz='UTC')
stamp_utc.tz_convert('US/Eastern')
#Timestamp('2011-03-11 23:00:00-0500', tz='US/Eastern')
stamp_moscow = pd.Timestamp('2011-03-12 04:00',tz='Europe/Moscow')
stamp_moscow
#Timestamp('2011-03-12 04:00:00+0300', tz='Europe/Moscow')
stamp_utc.value
#1299902400000000000
stamp_utc.tz_convert('US/Eastern').value
#1299902400000000000
from pandas.tseries.offsets import Hour
stamp = pd.Timestamp('2012-03-12 01:30',tz='US/Eastern')
stamp
#Timestamp('2012-03-12 01:30:00-0400', tz='US/Eastern')
stamp + Hour()
#Timestamp('2012-03-12 02:30:00-0400', tz='US/Eastern')
不同时区之间的运算
# 如果两个时区的进行运算，就会以UTC储存
rng = pd.date_range('3/7/2012 9:30',periods=10,freq='B')
ts = Series(np.random.randn(len(rng)),index=rng)
ts
#2012-03-07 09:30:00 0.653830
#2012-03-08 09:30:00 -0.407845
#2012-03-09 09:30:00 -0.441909
#2012-03-12 09:30:00 -1.445735
#2012-03-13 09:30:00 0.644754
#2012-03-14 09:30:00 1.409599
#2012-03-15 09:30:00 1.809272
#2012-03-16 09:30:00 1.103140
#2012-03-19 09:30:00 -2.898467
#2012-03-20 09:30:00 -1.114189
#Freq: B, dtype: float64
ts1 = ts[:7].tz_localize('Europe/London')
ts2 = ts1[2:].tz_convert('Europe/Moscow')
result = ts1 + ts2
result.index
#DatetimeIndex(['2012-03-07 09:30:00+00:00', '2012-03-08 09:30:00+00:00',
# '2012-03-09 09:30:00+00:00', '2012-03-12 09:30:00+00:00',
# '2012-03-13 09:30:00+00:00', '2012-03-14 09:30:00+00:00',
# '2012-03-15 09:30:00+00:00'],
# dtype='datetime64[ns, UTC]', freq='B')
10.5 日期及其算术运算
p = pd.Period(2007,freq='A-DEC')
p
#Period('2007', 'A-DEC')
p+5
#Period('2012', 'A-DEC')
p-2
#Period('2005', 'A-DEC')
pd.Period('2014',freq='A-DEC')-p
#<7 * YearEnds: month=12>
rng = pd.period_range('1/1/2000','6/30/2000',freq='M')
rng
#PeriodIndex(['2000-01', '2000-02', '2000-03', '2000-04', '2000-05', '2000-06'], dtype='period[M]', freq='M')
Series(np.random.randn(6),index=rng)
#2000-01 -0.118072
#2000-02 0.106372
#2000-03 -1.561449
#2000-04 -0.049358
#2000-05 0.346884
#2000-06 -1.028937
#Freq: M, dtype: float64
values = ['2001Q3','2002Q2','2003Q1']
index = pd.PeriodIndex(values,freq='Q-DEC')
index
#PeriodIndex(['2001Q3', '2002Q2', '2003Q1'], dtype='period[Q-DEC]', freq='Q-DEC')
日期的频率转换
# asfreq()转换成别的频率
p = pd.Period('2007',freq='A-DEC')
p.asfreq('M',how='start')
#Period('2007-01', 'M')
p.asfreq('M',how='end')
#Period('2007-12', 'M')
p = pd.Period('2007',freq='A-JUN')
p.asfreq('M','start')
#Period('2006-07', 'M')
p.asfreq('M','end')
#Period('2007-06', 'M')
# 将高频率转换为低频率时，超时期是由子时期所属的位置决定的。
p = pd.Period('2007-08','M')
p.asfreq('A-JUN')
#Period('2008', 'A-JUN')
rng = pd.period_range('2006','2009',freq='A-DEC')
ts = Series(np.random.randn(len(rng)),index=rng)
ts
#2006 0.040841
#2007 -0.975856
#2008 0.620745
#2009 -0.709267
#Freq: A-DEC, dtype: float64
ts.asfreq('M',how='start')
#2006-01 0.040841
#2007-01 -0.975856
#2008-01 0.620745
#2009-01 -0.709267
#Freq: M, dtype: float64
ts.asfreq('B',how='end')
#2006-12-29 0.040841
#2007-12-31 -0.975856
#2008-12-31 0.620745
#2009-12-31 -0.709267
#Freq: B, dtype: float64
按季度计算的日期频率
# 以一月结束的季度
p = pd.Period('2012Q4',freq='Q-JAN')
p
#Period('2012Q4', 'Q-JAN')
p.asfreq('D','start')
#Period('2011-11-01', 'D')
p.asfreq('D','end')
#Period('2012-01-31', 'D')
# 该季度倒数第二个工作日下午4点
p4pm = (p.asfreq('B','e')-1).asfreq('T','s')+16*60
p4pm
#Period('2012-01-30 16:00', 'T')
p4pm.to_timestamp()
#Timestamp('2012-01-30 16:00:00')
rng = pd.period_range('2011Q3','2012Q4',freq='Q-JAN')
ts = Series(np.arange(len(rng)),index=rng)
ts
#2011Q3 0
#2011Q4 1
#2012Q1 2
#2012Q2 3
#2012Q3 4
#2012Q4 5
#Freq: Q-JAN, dtype: int32
new_rng = (rng.asfreq('B','e')-1).asfreq('T','s')+16*60
ts.index = new_rng.to_timestamp()
ts
#2010-10-28 16:00:00 0
#2011-01-28 16:00:00 1
#2011-04-28 16:00:00 2
#2011-07-28 16:00:00 3
#2011-10-28 16:00:00 4
#2012-01-30 16:00:00 5
#dtype: int32
将Timestamp转换为Period
rng = pd.date_range('1/1/2000',periods=3,freq='M')
ts = Series(np.random.randn(3),index=rng)
pts = ts.to_period()
ts
#2000-01-31 -0.563680
#2000-02-29 1.817687
#2000-03-31 1.871528
#Freq: M, dtype: float64
pts
#2000-01 -0.563680
#2000-02 1.817687
#2000-03 1.871528
#Freq: M, dtype: float64
rng = pd.date_range('1/29/2000',periods=6,freq='D')
ts2 = Series(np.random.randn(6),index=rng)
ts2.to_period('M')
#2000-01 0.775353
#2000-01 0.063094
#2000-01 1.326944
#2000-02 1.279147
#2000-02 -0.055798
#2000-02 0.677052
#Freq: M, dtype: float64
pts = ts.to_period()
pts
#2000-01 -0.563680
#2000-02 1.817687
#2000-03 1.871528
#Freq: M, dtype: float64
pts.to_timestamp(how='end')
#2000-01-31 23:59:59.999999999 -0.563680
#2000-02-29 23:59:59.999999999 1.817687
#2000-03-31 23:59:59.999999999 1.871528
#Freq: M, dtype: float64
通过数组创建PeriodIndex
data = pd.read_csv('data\macrodata\macrodata.csv')
data.info()
#<class 'pandas.core.frame.DataFrame'>
#RangeIndex: 203 entries, 0 to 202
#Data columns (total 14 columns):
# # Column Non-Null Count Dtype
#--- ------ -------------- -----
# 0 year 203 non-null float64
# 1 quarter 203 non-null float64
# 2 realgdp 203 non-null float64
# 3 realcons 203 non-null float64
# 4 realinv 203 non-null float64
# 5 realgovt 203 non-null float64
# 6 realdpi 203 non-null float64
# 7 cpi 203 non-null float64
# 8 m1 203 non-null float64
# 9 tbilrate 203 non-null float64
# 10 unemp 203 non-null float64
# 11 pop 203 non-null float64
# 12 infl 203 non-null float64
# 13 realint 203 non-null float64
#dtypes: float64(14)
#memory usage: 22.3 KB
data.year
#0 1959.0
#1 1959.0
#2 1959.0
#3 1959.0
#4 1960.0
# ...
#198 2008.0
#199 2008.0
#200 2009.0
#201 2009.0
#202 2009.0
#Name: year, Length: 203, dtype: float64
data.quarter
#0 1.0
#1 2.0
#2 3.0
#3 4.0
#4 1.0
# ...
#198 3.0
#199 4.0
#200 1.0
#201 2.0
#202 3.0
#Name: quarter, Length: 203, dtype: float64
# 合成PeriodIndex
index = pd.PeriodIndex(year=data.year,quarter=data.quarter,freq='Q-DEC')
index
#PeriodIndex(['1959Q1', '1959Q2', '1959Q3', '1959Q4', '1960Q1', '1960Q2',
# '1960Q3', '1960Q4', '1961Q1', '1961Q2',
# ...
# '2007Q2', '2007Q3', '2007Q4', '2008Q1', '2008Q2', '2008Q3',
# '2008Q4', '2009Q1', '2009Q2', '2009Q3'],
# dtype='period[Q-DEC]', length=203, freq='Q-DEC')
data.index = index
data.infl
#1959Q1 0.00
#1959Q2 2.34
#1959Q3 2.74
#1959Q4 0.27
#1960Q1 2.31
# ...
#2008Q3 -3.16
#2008Q4 -8.79
#2009Q1 0.94
#2009Q2 3.37
#2009Q3 3.56
#Freq: Q-DEC, Name: infl, Length: 203, dtype: float64
10.6 重采样及频率转换
# resample方法是频率转换工作的主力函数
rng = pd.date_range('1/1/2000',periods=100,freq='D')
ts = Series(np.random.randn(len(rng)),index=rng)
ts.resample('M').mean()
#2000-01-31 0.339656
#2000-02-29 -0.189941
#2000-03-31 -0.088845
#2000-04-30 -0.049463
#Freq: M, dtype: float64
ts.resample('M',kind='period').mean()
#2000-01 0.339656
#2000-02 -0.189941
#2000-03 -0.088845
#2000-04 -0.049463
#Freq: M, dtype: float64
降采样
rng = pd.date_range('1/1/2000',periods=12,freq='T')
ts = Series(np.arange(12),index=rng)
ts
#2000-01-01 00:00:00 0
#2000-01-01 00:01:00 1
#2000-01-01 00:02:00 2
#2000-01-01 00:03:00 3
#2000-01-01 00:04:00 4
#2000-01-01 00:05:00 5
#2000-01-01 00:06:00 6
#2000-01-01 00:07:00 7
#2000-01-01 00:08:00 8
#2000-01-01 00:09:00 9
#2000-01-01 00:10:00 10
#2000-01-01 00:11:00 11
#Freq: T, dtype: int32
ts.resample('5min').sum()
#2000-01-01 00:00:00 10
#2000-01-01 00:05:00 35
#2000-01-01 00:10:00 21
#Freq: 5T, dtype: int32
ts.resample('5min',closed='left').sum()
#2000-01-01 00:00:00 10
#2000-01-01 00:05:00 35
#2000-01-01 00:10:00 21
#Freq: 5T, dtype: int32
ts.resample('5min',closed='left',label='left').sum()
#2000-01-01 00:00:00 10
#2000-01-01 00:05:00 35
#2000-01-01 00:10:00 21
#Freq: 5T, dtype: int32
ts.resample('5min',loffset='-1s').sum()
#1999-12-31 23:59:59 10
#2000-01-01 00:04:59 35
#2000-01-01 00:09:59 21
#Freq: 5T, dtype: int32
OHLC重采样
#ts.resample('5min',how='ohlc')
ts.resample('5min').ohlc()
通过groupby进行重采样
rng = pd.date_range('1/1/2000',periods=100,freq='D')
ts = Series(np.arange(100), index=rng)
ts.groupby(lambda x:x.month).mean()
#1 15
#2 45
#3 75
#4 95
#dtype: int32
ts.groupby(lambda x:x.weekday).mean()
#0 47.5
#1 48.5
#2 49.5
#3 50.5
#4 51.5
#5 49.0
#6 50.0
#dtype: float64
升采样和插值
frame = DataFrame(np.random.randn(2,4),
index=pd.date_range('1/1/2000',periods=2,freq='W-WED'),
columns=['Colorado','Texas','New York','Ohio'])
frame
.
df_daily = frame.resample('D')
df_daily.asfreq()
.
# 填充
#frame.resample('D',fill_method='ffill')
frame.resample('D').ffill()
.
# 限定填充数量
#frame.resample('D',fill_method='ffill',limit=2)
frame.resample('D').ffill(limit=2)
.
#frame.resample('W-THU',fill_method='ffill')
frame.resample('W-THU').ffill()
.
通过时期进行重采样
frame = DataFrame(np.random.randn(24,4),
index=pd.period_range('1-2000','12-2001',freq='M'),
columns=['Colorado','Texas','New York','Ohio'])
frame[:5]
.
#annual_frame = frame.resample('A-DEC',how='mean')
annual_frame = frame.resample('A-DEC').mean()
annual_frame
.
#annual_frame.resample('Q-DEC',fill_method='ffill')
annual_frame.resample('Q-DEC').ffill()
.
#annual_frame.resample('Q-DEC',fill_method='ffill',convention='start')
annual_frame.resample('Q-DEC',convention='start').ffill()
.
#annual_frame.resample('Q-MAR',fill_method='ffill')
annual_frame.resample('Q-MAR').ffill()
10.7 时间序列绘图
close_px_all = pd.read_csv('data\stock_px\stock_px_2.csv',parse_dates=True,index_col=0)
close_px = close_px_all[['AAPL','MSFT','XOM']]
# close_px = close_px.resample('B',fill_method='ffill')
close_px = close_px.resample('B').ffill()
close_px.info()
#<class 'pandas.core.frame.DataFrame'>
#DatetimeIndex: 2292 entries, 2003-01-02 to 2011-10-14
#Freq: B
#Data columns (total 3 columns):
# # Column Non-Null Count Dtype
#--- ------ -------------- -----
# 0 AAPL 2292 non-null float64
# 1 MSFT 2292 non-null float64
# 2 XOM 2292 non-null float64
#dtypes: float64(3)
close_px['AAPL'].plot()
.
close_px.loc['2009'].plot()
.
close_px['AAPL'].loc['01-2011':'03-2011'].plot()
.
# 转化为季度型频率
#appl_q = close_px['AAPL'].resample('Q-DEC',fill_method='ffill')
appl_q = close_px['AAPL'].resample('Q-DEC').ffill()
appl_q.loc['2009':'2011'].plot()
.
10.8 移动窗口函数
# rolling_mean NG
close_px.AAPL.plot()
pd.Series.rolling(close_px.AAPL,window=250).mean().plot()
appl_std250 = pd.Series.rolling(close_px.AAPL, 250,min_periods=10).std()
appl_std250[5:12]
#2003-01-09 NaN
#2003-01-10 NaN
#2003-01-13 NaN
#2003-01-14 NaN
#2003-01-15 0.077496
#2003-01-16 0.074760
#2003-01-17 0.112368
#Freq: B, Name: AAPL, dtype: float64
# 拓展窗口平均expanding window mean
expanding_mean = lambda x: pd.Series.rolling(x, len(x), min_periods=1)
# 对所有列应用rolling_mean
pd.DataFrame.rolling(close_px,60).mean().plot(logy=True)
.
指数加权函数
# 指数加权统计会赋予近期的观察值更大的权数
fig,axes = plt.subplots(nrows=2,ncols=1,sharex=True,sharey=True,figsize=(12,7))
aapl_px = close_px.AAPL['2005':'2009']
ma60 = aapl_px.rolling(60,min_periods=50).mean()
ewma60 = aapl_px.ewm(span=60).mean()
aapl_px.plot(style='k-',ax=axes[0])
ma60.plot(style='k--',ax=axes[0])
aapl_px.plot(style='k-',ax=axes[1])
ewma60.plot(style='k--',ax=axes[1])
axes[0].set_title('Simple MA')
axes[1].set_title('Exponentially-weighted MA')
二元移动窗口函数
# 两个时间序列上执行
spx_px = close_px_all['SPX']
spx_rets = spx_px / spx_px.shift(1)-1
returns = close_px.pct_change()
#corr = pd.DataFrame.rolling_corr(returns.AAPL,spx_rets,125,min_periods=100)
corr = returns.AAPL.rolling(125,min_periods=100).corr(spx_rets)
corr.plot()
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