How to calculate Rolling Correlation with pandas?

python pandas dataframe correlation
Arthur Coimbra picture Arthur Coimbra · Aug 21, 2018 · Viewed 12.6k times · Source

I understand how to calculate a rolling sum, std or average. Example:

df['MA10'] = df['Asset1'].rolling(10).mean()

But I don't understand the syntax to calculate the rolling correlation between two dataframes columns: df['Asset1'] and df['Asset2']

The documentation doesn't provide any example regarding the correlation.

https://pandas.pydata.org/pandas-docs/stable/generated/pandas.DataFrame.rolling.html

Any insights?

Thanks!

Answer

chrisaycock picture chrisaycock · Aug 22, 2018

It's in there, even if hidden a bit:

df['Asset1'].rolling(10).corr(df['Asset2'])

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