Book Image

NumPy: Beginner's Guide

By : Ivan Idris
Book Image

NumPy: Beginner's Guide

By: Ivan Idris

Overview of this book

Table of Contents (21 chapters)
NumPy Beginner's Guide Third Edition
Credits
About the Author
About the Reviewers
www.PacktPub.com
Preface
NumPy Functions' References
Index

Time for action – analyzing stock returns


Perform the following steps to analyze stock returns:

  1. First, let's calculate simple returns. NumPy has the diff() function that returns an array that is built up of the difference between two consecutive array elements. This is sort of like differentiation in calculus (the derivative of price with respect to time). To get the returns, we also have to divide by the value of the previous day. We must be careful though. The array returned by diff() is one element shorter than the close prices array. After careful deliberation, we get the following code:

    returns = np.diff( arr ) / arr[ : -1]

    Notice that we don't use the last value in the divisor. The standard deviation is equal to the square root of variance. Compute the standard deviation using the std() function:

    print("Standard deviation =", np.std(returns))

    This results in the following output:

    Standard deviation = 0.0129221344368
    
  2. The log return or logarithmic return is even easier to calculate. Use the...