{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 第3章 pandasでデータを処理しよう\n",
    "\n",
    "### 3-9: 時系列データの処理"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>TOEI ANIMATION</th>\n",
       "      <th>IG Port</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2015-01-01</th>\n",
       "      <td>3356.86</td>\n",
       "      <td>1201.51</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-02</th>\n",
       "      <td>3356.86</td>\n",
       "      <td>1201.51</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-05</th>\n",
       "      <td>3396.12</td>\n",
       "      <td>1218.44</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-06</th>\n",
       "      <td>3361.77</td>\n",
       "      <td>1201.51</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-07</th>\n",
       "      <td>3297.97</td>\n",
       "      <td>1202.51</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            TOEI ANIMATION  IG Port\n",
       "Date                               \n",
       "2015-01-01         3356.86  1201.51\n",
       "2015-01-02         3356.86  1201.51\n",
       "2015-01-05         3396.12  1218.44\n",
       "2015-01-06         3361.77  1201.51\n",
       "2015-01-07         3297.97  1202.51"
      ]
     },
     "execution_count": 1,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.1：株価の取得\n",
    "import os\n",
    "import pandas as pd\n",
    "\n",
    "base_url = (\n",
    "    \"https://raw.githubusercontent.com/practical-jupyter/sample-data/master/anime/\"\n",
    ")\n",
    "anime_stock_price_csv = os.path.join(base_url, \"anime_stock_price.csv\")\n",
    "df = pd.read_csv(anime_stock_price_csv, index_col=0, parse_dates=[\"Date\"])\n",
    "df.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Date\n",
       "2015-01-01         NaN\n",
       "2015-01-02    0.000000\n",
       "2015-01-05    0.011695\n",
       "2015-01-06   -0.010114\n",
       "2015-01-07   -0.018978\n",
       "                ...   \n",
       "2016-12-26    0.001725\n",
       "2016-12-27    0.010326\n",
       "2016-12-28    0.015333\n",
       "2016-12-29    0.013422\n",
       "2016-12-30    0.000000\n",
       "Name: TOEI ANIMATION, dtype: float64"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.2：騰落率\n",
    "pd.options.display.max_rows = 10  # pandasで表示する行数を設定\n",
    "pct_change = df[\"TOEI ANIMATION\"].pct_change()\n",
    "pct_change"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Date\n",
       "2015-01-01    1.000000\n",
       "2015-01-02    1.000000\n",
       "2015-01-05    1.011695\n",
       "2015-01-06    1.001463\n",
       "2015-01-07    0.982457\n",
       "                ...   \n",
       "2016-12-26    1.722833\n",
       "2016-12-27    1.740624\n",
       "2016-12-28    1.767312\n",
       "2016-12-29    1.791034\n",
       "2016-12-30    1.791034\n",
       "Name: TOEI ANIMATION, dtype: float64"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.4：累積リターン\n",
    "cumulative_returns = (pct_change + 1).cumprod()\n",
    "cumulative_returns[0] = 1\n",
    "cumulative_returns"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Date\n",
       "2015-01-01         NaN\n",
       "2015-01-02         NaN\n",
       "2015-01-05         NaN\n",
       "2015-01-06         NaN\n",
       "2015-01-07    3353.916\n",
       "                ...   \n",
       "2016-12-26    5793.260\n",
       "2016-12-27    5799.232\n",
       "2016-12-28    5821.132\n",
       "2016-12-29    5868.912\n",
       "2016-12-30    5916.692\n",
       "Name: TOEI ANIMATION, dtype: float64"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.6：移動平均\n",
    "df[\"TOEI ANIMATION\"].rolling(5).mean()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Date\n",
       "2015-01-01         NaN\n",
       "2015-01-02         NaN\n",
       "2015-01-05         NaN\n",
       "2015-01-06         NaN\n",
       "2015-01-07         NaN\n",
       "                ...   \n",
       "2016-12-26    0.158355\n",
       "2016-12-27    0.163235\n",
       "2016-12-28    0.170891\n",
       "2016-12-29    0.172681\n",
       "2016-12-30    0.151983\n",
       "Name: TOEI ANIMATION, dtype: float64"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.8：20日間のヒストリカルボラティリティ\n",
    "import numpy as np\n",
    "\n",
    "\n",
    "def historical_volatility(x):\n",
    "    logreturns = np.diff(np.log(x))  # 対数収益率\n",
    "    return np.sqrt(365 * logreturns.var())\n",
    "\n",
    "\n",
    "df[\"TOEI ANIMATION\"].rolling(20).apply(historical_volatility)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "DatetimeIndex(['2017-01-01 00:00:00', '2017-01-01 01:00:00',\n",
       "               '2017-01-01 02:00:00', '2017-01-01 03:00:00',\n",
       "               '2017-01-01 04:00:00', '2017-01-01 05:00:00',\n",
       "               '2017-01-01 06:00:00', '2017-01-01 07:00:00',\n",
       "               '2017-01-01 08:00:00', '2017-01-01 09:00:00',\n",
       "               ...\n",
       "               '2017-01-31 15:00:00', '2017-01-31 16:00:00',\n",
       "               '2017-01-31 17:00:00', '2017-01-31 18:00:00',\n",
       "               '2017-01-31 19:00:00', '2017-01-31 20:00:00',\n",
       "               '2017-01-31 21:00:00', '2017-01-31 22:00:00',\n",
       "               '2017-01-31 23:00:00', '2017-02-01 00:00:00'],\n",
       "              dtype='datetime64[ns]', length=745, freq='H')"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.10：DatetimeIndexの作成\n",
    "ix = pd.date_range(\"2017-01\", \"2017-02\", freq=\"1H\")\n",
    "ix"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "2017-01-01 00:00:00      0\n",
       "2017-01-01 01:00:00      1\n",
       "2017-01-01 02:00:00      2\n",
       "2017-01-01 03:00:00      3\n",
       "2017-01-01 04:00:00      4\n",
       "                      ... \n",
       "2017-01-31 20:00:00    740\n",
       "2017-01-31 21:00:00    741\n",
       "2017-01-31 22:00:00    742\n",
       "2017-01-31 23:00:00    743\n",
       "2017-02-01 00:00:00    744\n",
       "Freq: H, dtype: int64"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.12：DatetimeIndexを使用したSeries\n",
    "time_series = pd.Series(np.arange(len(ix)), index=ix)\n",
    "time_series"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "TOEI ANIMATION    5699.74\n",
       "IG Port            822.66\n",
       "Name: 2016-01-04 00:00:00, dtype: float64"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.14：インデクサにdatetime型の値を指定\n",
    "from datetime import datetime\n",
    "\n",
    "df.loc[datetime(2016, 1, 4)]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "TOEI ANIMATION    5699.74\n",
       "IG Port            822.66\n",
       "Name: 2016-01-04 00:00:00, dtype: float64"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.16：インデクサに日付形式の文字列を指定①\n",
    "df.loc[\"2016-01-04\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "TOEI ANIMATION    5699.74\n",
       "IG Port            822.66\n",
       "Name: 2016-01-04 00:00:00, dtype: float64"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.17：インデクサに日付形式の文字列を指定②\n",
    "df.loc[\"Jan-04-2016\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "            TOEI ANIMATION  IG Port\n",
      "Date                               \n",
      "2015-01-01         3356.86  1201.51\n",
      "2015-01-02         3356.86  1201.51\n",
      "2015-01-05         3396.12  1218.44\n",
      "2015-01-06         3361.77  1201.51\n",
      "2015-01-07         3297.97  1202.51\n"
     ]
    }
   ],
   "source": [
    "# リスト3.9.18：年を指定した抽出\n",
    "print(df.loc[\"2015\"].head())"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "            TOEI ANIMATION  IG Port\n",
      "Date                               \n",
      "2016-05-02         4703.29   933.34\n",
      "2016-05-03         4703.29   933.34\n",
      "2016-05-04         4703.29   933.34\n",
      "2016-05-05         4703.29   933.34\n",
      "2016-05-06         4678.41   953.28\n"
     ]
    }
   ],
   "source": [
    "# リスト3.9.20：月を指定した抽出\n",
    "print(df.loc[\"2016-05\"].head())"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "            TOEI ANIMATION  IG Port\n",
      "Date                               \n",
      "2015-12-01         5947.13   910.41\n",
      "2015-12-02         5917.44   896.45\n",
      "2015-12-03         5917.44   893.46\n",
      "2015-12-04         5867.97   888.47\n",
      "2015-12-07         5917.44   892.46\n",
      "...                    ...      ...\n",
      "2016-01-25         5452.36   704.99\n",
      "2016-01-26         5491.94   702.00\n",
      "2016-01-27         5521.63   721.94\n",
      "2016-01-28         5679.95   733.91\n",
      "2016-01-29         5670.06   739.89\n",
      "\n",
      "[44 rows x 2 columns]\n"
     ]
    }
   ],
   "source": [
    "# リスト3.9.22：年月でスライス\n",
    "print(df.loc[\"2015-12\":\"2016-01\"])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "2017-01-01 09:00:00      9\n",
       "2017-01-02 09:00:00     33\n",
       "2017-01-03 09:00:00     57\n",
       "2017-01-04 09:00:00     81\n",
       "2017-01-05 09:00:00    105\n",
       "                      ... \n",
       "2017-01-27 09:00:00    633\n",
       "2017-01-28 09:00:00    657\n",
       "2017-01-29 09:00:00    681\n",
       "2017-01-30 09:00:00    705\n",
       "2017-01-31 09:00:00    729\n",
       "Freq: 24H, dtype: int64"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.24：9時のデータを抽出\n",
    "from datetime import time\n",
    "\n",
    "time_series.loc[time(9, 0)]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "2017-01-01 09:00:00      9\n",
       "2017-01-01 10:00:00     10\n",
       "2017-01-01 11:00:00     11\n",
       "2017-01-01 12:00:00     12\n",
       "2017-01-02 09:00:00     33\n",
       "                      ... \n",
       "2017-01-30 12:00:00    708\n",
       "2017-01-31 09:00:00    729\n",
       "2017-01-31 10:00:00    730\n",
       "2017-01-31 11:00:00    731\n",
       "2017-01-31 12:00:00    732\n",
       "dtype: int64"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.26：9時から12時のデータを抽出\n",
    "time_series.between_time(time(9, 0), time(12, 0))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Date\n",
       "2015-01-31    3647.080000\n",
       "2015-02-28    3612.302500\n",
       "2015-03-31    3625.770455\n",
       "2015-04-30    3477.555455\n",
       "2015-05-31    3653.990476\n",
       "Freq: M, Name: TOEI ANIMATION, dtype: float64"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.28：月次の株価の平均値\n",
    "df[\"TOEI ANIMATION\"].resample(\"M\").mean().head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2015-01-04</th>\n",
       "      <td>3356.86</td>\n",
       "      <td>3356.86</td>\n",
       "      <td>3356.86</td>\n",
       "      <td>3356.86</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-11</th>\n",
       "      <td>3396.12</td>\n",
       "      <td>3513.90</td>\n",
       "      <td>3297.97</td>\n",
       "      <td>3513.90</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-18</th>\n",
       "      <td>3513.90</td>\n",
       "      <td>3872.16</td>\n",
       "      <td>3435.38</td>\n",
       "      <td>3872.16</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-25</th>\n",
       "      <td>3877.07</td>\n",
       "      <td>3877.07</td>\n",
       "      <td>3739.66</td>\n",
       "      <td>3739.66</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-02-01</th>\n",
       "      <td>3774.01</td>\n",
       "      <td>3965.41</td>\n",
       "      <td>3774.01</td>\n",
       "      <td>3965.41</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "               open     high      low    close\n",
       "Date                                          \n",
       "2015-01-04  3356.86  3356.86  3356.86  3356.86\n",
       "2015-01-11  3396.12  3513.90  3297.97  3513.90\n",
       "2015-01-18  3513.90  3872.16  3435.38  3872.16\n",
       "2015-01-25  3877.07  3877.07  3739.66  3739.66\n",
       "2015-02-01  3774.01  3965.41  3774.01  3965.41"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# リスト3.9.30：日次の終値を週足に変換\n",
    "df[\"TOEI ANIMATION\"].resample(\"W\").ohlc().head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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