所以,我对 Python 和 Pandas(以及一般编程)非常陌生,但是在一个看似简单的函数上遇到了麻烦。因此,我使用通过 SQL 查询提取的数据创建了以下数据框(如果您需要查看 SQL 查询,请告诉我,我会粘贴它)
spydata = pd.DataFrame(row,columns=['date','ticker','close', 'iv1m', 'iv3m'])
tickerlist = unique(spydata[spydata['date'] == '2013-05-31'])
之后,我编写了一个函数来使用其中已保存的数据在数据框中创建一些新列:
def demean(arr):
arr['retlog'] = log(arr['close']/arr['close'].shift(1))
arr['10dvol'] = sqrt(252)*sqrt(pd.rolling_std(arr['ret'] , 10 ))
arr['60dvol'] = sqrt(252)*sqrt(pd.rolling_std(arr['ret'] , 10 ))
arr['90dvol'] = sqrt(252)*sqrt(pd.rolling_std(arr['ret'] , 10 ))
arr['1060rat'] = arr['10dvol']/arr['60dvol']
arr['1090rat'] = arr['10dvol']/arr['90dvol']
arr['60dis'] = (arr['1060rat'] - arr['1060rat'].mean())/arr['1060rat'].std()
arr['90dis'] = (arr['1090rat'] - arr['1090rat'].mean())/arr['1090rat'].std()
return arr
我遇到问题的唯一部分是函数的第一行:
arr['retlog'] = log(arr['close']/arr['close'].shift(1))
其中,当我使用此命令运行时,出现错误:
result = spydata.groupby(['ticker']).apply(demean)
错误:
---------------------------------------------------------------------------
AttributeError Traceback (most recent call last)
<ipython-input-196-4a66225e12ea> in <module>()
----> 1 result = spydata.groupby(['ticker']).apply(demean)
2 results2 = result[result.date == result.date.max()]
3
C:\Python27\lib\site-packages\pandas-0.11.0-py2.7-win32.egg\pandas\core\groupby.pyc in apply(self, func, *args, **kwargs)
323 func = _intercept_function(func)
324 f = lambda g: func(g, *args, **kwargs)
--> 325 return self._python_apply_general(f)
326
327 def _python_apply_general(self, f):
C:\Python27\lib\site-packages\pandas-0.11.0-py2.7-win32.egg\pandas\core\groupby.pyc in _python_apply_general(self, f)
326
327 def _python_apply_general(self, f):
--> 328 keys, values, mutated = self.grouper.apply(f, self.obj, self.axis)
329
330 return self._wrap_applied_output(keys, values,
C:\Python27\lib\site-packages\pandas-0.11.0-py2.7-win32.egg\pandas\core\groupby.pyc in apply(self, f, data, axis, keep_internal)
632 # group might be modified
633 group_axes = _get_axes(group)
--> 634 res = f(group)
635 if not _is_indexed_like(res, group_axes):
636 mutated = True
C:\Python27\lib\site-packages\pandas-0.11.0-py2.7-win32.egg\pandas\core\groupby.pyc in <lambda>(g)
322 """
323 func = _intercept_function(func)
--> 324 f = lambda g: func(g, *args, **kwargs)
325 return self._python_apply_general(f)
326
<ipython-input-195-47b6faa3f43c> in demean(arr)
1 def demean(arr):
----> 2 arr['retlog'] = log(arr['close']/arr['close'].shift(1))
3 arr['10dvol'] = sqrt(252)*sqrt(pd.rolling_std(arr['ret'] , 10 ))
4 arr['60dvol'] = sqrt(252)*sqrt(pd.rolling_std(arr['ret'] , 10 ))
5 arr['90dvol'] = sqrt(252)*sqrt(pd.rolling_std(arr['ret'] , 10 ))
AttributeError: log
我尝试将函数更改为 np.log 和 math.log,在这种情况下我收到错误
TypeError: only length-1 arrays can be converted to Python scalars
我已经尝试查找此内容,但没有发现任何直接适用的内容。有什么线索吗?