在 pandas 中滚动一阶导数和二阶导数

Question

I'm trying to create a function to find the rolling derivatives (first and second) in Pandas. I find that df.diff() is quite convenient.

I want to find the derivatives with the rolling window value = 40.

For the first derivative,

noise = np.random.normal(size=int(1e4))
noise=pd.DataFrame(noise)
first_derivative=noise.diff(periods=40)

Is it correct if I use this for the second derivative?

second_derivative=noise.diff(periods=40).diff()

I'm confused, but if I put periods=40 again in the second .diff() then it would be 40*40 rolling window (for the second derivative). Thank you!

Answer 1

Pandas is not a mathematical library, and its diff() operation just take discrete differences among elements, not derivatives.

In order to take derivatives, I would recommend you to use SymPy , a nice Python library for symbolic mathematics. Check documentation for further details.

Example:

from sympy import *

>> diff(cos(x), x)
-sin(x)