Book Image

NumPy Cookbook

Book Image

NumPy Cookbook

Overview of this book

Today's world of science and technology is all about speed and flexibility. When it comes to scientific computing, NumPy is on the top of the list. NumPy will give you both speed and high productivity. "NumPy Cookbook" will teach you all about NumPy, a leading scientific computing library. NumPy replaces a lot of the functionality of Matlab and Mathematica, but in contrast to those products, it is free and open source. "Numpy Cookbook" will teach you to write readable, efficient, and fast code that is as close to the language of Mathematics as much as possible with the cutting edge open source NumPy software library. You will learn about installing and using NumPy and related concepts. At the end of the book, we will explore related scientific computing projects. This book will give you a solid foundation in NumPy arrays and universal functions. You will also learn about plotting with Matplotlib and the related SciPy project through examples. "NumPy Cookbook" will help you to be productive with NumPy and write clean and fast code.
Table of Contents (17 chapters)
NumPy Cookbook
Credits
About the Author
About the Reviewers
www.PacktPub.com
Preface
Index

Resampling time series data


In this tutorial, we will learn how to resample time series with Pandas.

How to do it...

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.

  1. Creating a date-time index.

    Before we can create a Pandas DataFrame, we need to create a DatetimeIndex method to pass to the DataFrame constructor. Create the index from the downloaded quotes data as follows:

    dt_idx = pandas.DatetimeIndex(quotes.date)
  2. 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])
  3. Resample.

    Resample the time series to monthly frequency, by computing the mean:

    resampled = df.resample('M', how=numpy.mean)
    print resampled 

    The resampled time series, as shown in the following, has one value for each month:

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