Python中的EWMA波动-避免循环 [英] EWMA Volatility in Python - Avoiding loops
问题描述
我有一个像这样的时间序列(一片):
I have a time series that looks like this (a slice):
Date 3 7 10
2015-02-13 0.00021 -0.00078927 0.00407473
2015-02-16 0.0 -0.00343163 0.0
2015-02-17 0.0 0.0049406 0.00159753
2015-02-18 0.00117 -0.00123565 -0.00031423
2015-02-19 0.00091 -0.00253578 -0.00106207
2015-02-20 0.00086 0.00113476 0.00612649
2015-02-23 -0.0011 -0.00403307 -0.00030327
2015-02-24 -0.00179 0.00043229 0.00275874
2015-02-25 0.00035 0.00186069 -0.00076578
2015-02-26 -0.00032 -0.01435613 -0.00147597
2015-02-27 -0.00288 -0.0001786 -0.00295631
为了计算EWMA波动率,我实现了以下功能:
For calculating the EWMA Volatility, I implemented the following functions:
def CalculateEWMAVol (ReturnSeries, Lambda):
SampleSize = len(ReturnSeries)
Average = ReturnSeries.mean()
e = np.arange(SampleSize-1,-1,-1)
r = np.repeat(Lambda,SampleSize)
vecLambda = np.power(r,e)
sxxewm = (np.power(ReturnSeries-Average,2)*vecLambda).sum()
Vart = sxxewm/vecLambda.sum()
EWMAVol = math.sqrt(Vart)
return (EWMAVol)
def CalculateVol (R, Lambda):
Vol = pd.Series(index=R.columns)
for facId in R.columns:
Vol[facId] = CalculateEWMAVol(R[facId], Lambda)
return (Vol)
该函数正常工作,但是由于for循环,在较大的时间序列中,该过程变慢.
The function works properly, but with a large time series the process gets slow because of the for loop.
是否有另一种方法可以在整个系列中调用此函数?
Is there another approach to calling this function over the series?
推荐答案
我猜您真正要问的是避免使用循环,但是pandas apply()并不能解决此问题,因为您仍在循环您的每一列数据框.我花了很长时间探讨了这个主题,在用尽所有选项之后,我最终将MatLab矩阵计算转换为Python代码,并且它以矩阵形式完美地完成了衰减计算.下面的代码,假设df_tmp是每个价格指数具有多个列的时间序列.
I guess what you really asked is to avoid using loop, but the pandas apply() does not solve this problem, because you still loop around each column in your dataframe. I explored this topic a while ago, after exhausting my options, I end up converting a MatLab matrix calculation to Python code and it does the vol with decay calculation perfectly in matrix form. Code in the following, assuming df_tmp is the time series that has multiple columns for each price index.
decay_factor = 0.94
decay_f = np.arange(df_tmp.shape[0], 0, -1)
decay_f = decay_factor ** decay_f
decay_sum = sum(decay_f)
w = decay_f / decay_sum
avg_weight = np.ones(df_tmp.shape[0]) / df_tmp.shape[0]
T, N = df_tmp.shape
temp = df_tmp - df_tmp * np.tile(avg_weight, (4422, 1)).T
temp = np.dot(temp.T, temp * np.tile(w, (4422, 1)).T)
temp = 0.5 * (temp + temp.T)
R = np.diag(temp)
sigma = np.sqrt(R)
R = temp / np.sqrt(np.dot(R, R.T))
sigma是波动率,R是corr矩阵,而temp是协方差矩阵.
sigma is volatility, R is corr matrix and temp is covariance matrix.
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