Pierre GM gmail.com> writes:
>
> On Tuesday 30 October 2007 13:31:41 John Hunter wrote:
> > In financial time series, it is very common to keep track of things
> > like a trailing N day max, trailing N day average, etc.
>
> John,
> Have you ever tried the timeseries package in the scipy SVN ?
On Tue, Oct 30, 2007 at 12:31:41PM -0500, John Hunter wrote:
> In financial time series, it is very common to keep track of things
> like a trailing N day max, trailing N day average, etc. Generally,
> for a 1D array x, I'd like to be able to efficiently compute a new
> len(x) vector where y[i] =
On Tuesday 30 October 2007 13:55, Pierre GM wrote:
> On Tuesday 30 October 2007 13:31:41 John Hunter wrote:
> > In financial time series, it is very common to keep track of things
> > like a trailing N day max, trailing N day average, etc.
>
> John,
> Have you ever tried the timeseries package in t
On Tuesday 30 October 2007 13:31:41 John Hunter wrote:
> In financial time series, it is very common to keep track of things
> like a trailing N day max, trailing N day average, etc.
John,
Have you ever tried the timeseries package in the scipy SVN ? We (Matt Knox
and I) tried to address some of
In financial time series, it is very common to keep track of things
like a trailing N day max, trailing N day average, etc. Generally,
for a 1D array x, I'd like to be able to efficiently compute a new
len(x) vector where y[i] = func(x[i-N:]) and I need to be able to
handle edge effects (eg where
