In this tutorial, we will learn how to resample time series with Pandas.
We will download the daily price time series data for AAPL, and resample it to monthly data by computing the mean. We will accomplish this by creating a Pandas DataFrame, and calling its
resample method.
Creating a date-time index.
Before we can create a Pandas
DataFrame, we need to create aDatetimeIndexmethod to pass to theDataFrameconstructor. Create the index from the downloaded quotes data as follows:dt_idx = pandas.DatetimeIndex(quotes.date)
Creating the data frame.
Once we have the date-time index, we can use it together with the close prices to create a data frame:
df = pandas.DataFrame(quotes.close, index=dt_idx, columns=[symbol])
Resample.
Resample the time series to monthly frequency, by computing the mean:
resampled = df.resample('M', how=numpy.mean) print resampledThe resampled time series, as shown in the following, has one value for each month:
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