Python - 整个数据帧的 LogReturn

Question

我有一个如下所示的数据框:

    Date        AAPL    TSLA    NESN    FB      ROCH    TOT     VISA    JPM
    2/1/2019    157.92  310.12  80.17   135.68  30.79   52.79   132.92  99.31
    3/1/2019    142.19  300.36  82.21   131.74  31.48   52.91   128.13  97.11
    4/1/2019    148.26  317.69  83.59   137.95  31.80   54.46   133.65  100.69
    7/1/2019    147.93  334.96  82.71   138.05  31.52   54.36   136.06  100.76
    8/1/2019    150.75  335.35  82.97   142.53  32.35   54.19   136.80  100.57
    9/1/2019    153.31  338.53  83.74   144.23  32.38   55.38   138.41  100.40
    10/1/2019   153.80  344.97  84.39   144.20  32.60   54.96   138.67  100.39
    11/1/2019   152.29  347.26  84.51   143.80  32.41   53.89   138.06  99.91
    14/1/2019   150.00  334.40  84.43   145.39  32.33   54.30   137.10  100.94
    15/1/2019   153.07  344.43  84.69   148.95  32.49   53.81   137.34  101.68
    16/1/2019   154.94  346.05  84.01   147.54  32.44   53.60   137.34  102.50
    17/1/2019   155.86  347.31  84.52   148.30  32.42   53.76   137.28  102.92
    18/1/2019   156.82  302.26  84.63   150.04  32.61   54.56   138.50  104.59
    22/1/2019   153.30  298.92  84.17   147.57  32.21   53.48   138.05  102.94
    23/1/2019   153.92  287.59  84.65   144.30  32.48   52.95   137.01  102.68
    24/1/2019   152.70  291.51  85.13   145.83  32.07   53.34   137.70  102.74
    25/1/2019   157.76  297.04  84.54   149.01  32.06   54.21   138.67  103.39
    28/1/2019   156.30  296.38  85.30   147.47  32.13   53.59   135.99  103.88
    29/1/2019   154.68  297.46  86.75   144.19  32.27   54.07   135.00  104.17
    30/1/2019   165.25  308.77  87.06   150.42  32.28   54.17   137.60  104.41

我想获得另一个数据框，其日志返回 [ln(price(t)/price(t-1)] 应该如下所示:

Date        Ln_AAPL Ln_TSLA Ln_NESN Ln_FB   Ln_ROCH Ln_TOT  Ln_VISA Ln_JPM
2/1/2019    Nan     Nan     Nan     Nan     Nan     Nan     Nan     Nan
3/1/2019    -10.49% -3.20%  2.51%   -2.95%  2.22%   0.23%   -3.67%  -2.24%
4/1/2019    4.18%   5.61%   1.66%   4.61%   1.01%   2.89%   4.22%   3.62%
7/1/2019    -0.22%  5.29%   -1.06%  0.07%   -0.88%  -0.18%  1.79%   0.07%
8/1/2019    1.89%   0.12%   0.31%   3.19%   2.60%   -0.31%  0.54%   -0.19%
9/1/2019    1.68%   0.94%   0.92%   1.19%   0.09%   2.17%   1.17%   -0.17%
10/1/2019   0.32%   1.88%   0.77%   -0.02%  0.68%   -0.76%  0.19%   -0.01%
11/1/2019   -0.99%  0.66%   0.14%   -0.28%  -0.58%  -1.97%  -0.44%  -0.48%
14/1/2019   -1.52%  -3.77%  -0.09%  1.10%   -0.25%  0.76%   -0.70%  1.03%
15/1/2019   2.03%   2.96%   0.31%   2.42%   0.49%   -0.91%  0.17%   0.73%
16/1/2019   1.21%   0.47%   -0.81%  -0.95%  -0.15%  -0.39%  0.00%   0.80%
17/1/2019   0.59%   0.36%   0.61%   0.51%   -0.06%  0.30%   -0.04%  0.41%
18/1/2019   0.61%   -13.89% 0.13%   1.17%   0.58%   1.48%   0.88%   1.61%
22/1/2019   -2.27%  -1.11%  -0.55%  -1.66%  -1.23%  -2.00%  -0.33%  -1.59%
23/1/2019   0.40%   -3.86%  0.57%   -2.24%  0.83%   -1.00%  -0.76%  -0.25%
24/1/2019   -0.80%  1.35%   0.57%   1.05%   -1.27%  0.73%   0.50%   0.06%
25/1/2019   3.26%   1.88%   -0.70%  2.16%   -0.03%  1.62%   0.70%   0.63%
28/1/2019   -0.93%  -0.22%  0.89%   -1.04%  0.22%   -1.15%  -1.95%  0.47%
29/1/2019   -1.04%  0.36%   1.69%   -2.25%  0.43%   0.89%   -0.73%  0.28%
30/1/2019   6.61%   3.73%   0.36%   4.23%   0.03%   0.18%   1.91%   0.23%

当时我只能为一个列执行此操作并附加它。我想知道是否有一种方法可以将它应用于整个 df 并直接创建一个新的。

df['AAPL_log'] = np.log(df['APPL']/df['AAPL'].shift(1))

谢谢你的帮助。

Answer 1

其他使用方式 diff :

new_df = np.log(df).diff()
print(new_df)

输出

               AAPL      TSLA      NESN        FB      ROCH       TOT  \
Date                                                                    
2/1/2019        NaN       NaN       NaN       NaN       NaN       NaN   
3/1/2019  -0.104924 -0.031978  0.025128 -0.029469  0.022162  0.002271   
4/1/2019   0.041803  0.056094  0.016647  0.046061  0.010114  0.028874   
7/1/2019  -0.002228  0.052935 -0.010583  0.000725 -0.008844 -0.001838   
8/1/2019   0.018884  0.001164  0.003139  0.031937  0.025992 -0.003132   
9/1/2019   0.016839  0.009438  0.009238  0.011857  0.000927  0.021722   
10/1/2019  0.003191  0.018845  0.007732 -0.000208  0.006771 -0.007613   
11/1/2019 -0.009866  0.006616  0.001421 -0.002778 -0.005845 -0.019661   
14/1/2019 -0.015151 -0.037736 -0.000947  0.010996 -0.002471  0.007579   
15/1/2019  0.020260  0.029553  0.003075  0.024191  0.004937 -0.009065   
16/1/2019  0.012143  0.004692 -0.008062 -0.009511 -0.001540 -0.003910   
17/1/2019  0.005920  0.003634  0.006052  0.005138 -0.000617  0.002981   
18/1/2019  0.006140 -0.138930  0.001301  0.011665  0.005843  0.014771   
22/1/2019 -0.022702 -0.011112 -0.005450 -0.016599 -0.012342 -0.019993   
23/1/2019  0.004036 -0.038640  0.005687 -0.022408  0.008348 -0.009960   
24/1/2019 -0.007958  0.013538  0.005654  0.010547 -0.012704  0.007338   
25/1/2019  0.032600  0.018792 -0.006955  0.021572 -0.000312  0.016179   
28/1/2019 -0.009298 -0.002224  0.008950 -0.010389  0.002181 -0.011503   
29/1/2019 -0.010419  0.003637  0.016856 -0.022493  0.004348  0.008917   
30/1/2019  0.066101  0.037317  0.003567  0.042300  0.000310  0.001848   

               VISA       JPM  
Date                           
2/1/2019        NaN       NaN  
3/1/2019  -0.036702 -0.022402  
4/1/2019   0.042179  0.036202  
7/1/2019   0.017872  0.000695  
8/1/2019   0.005424 -0.001887  
9/1/2019   0.011700 -0.001692  
10/1/2019  0.001877 -0.000100  
11/1/2019 -0.004409 -0.004793  
14/1/2019 -0.006978  0.010257  
15/1/2019  0.001749  0.007304  
16/1/2019  0.000000  0.008032  
17/1/2019 -0.000437  0.004089  
18/1/2019  0.008848  0.016096  
22/1/2019 -0.003254 -0.015902  
23/1/2019 -0.007562 -0.002529  
24/1/2019  0.005023  0.000584  
25/1/2019  0.007020  0.006307  
28/1/2019 -0.019516  0.004728  
29/1/2019 -0.007307  0.002788  
30/1/2019  0.019076  0.002301