How to calculate Rolling Correlation with pandas?

问题

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!

回答1:

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

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

来源：https://stackoverflow.com/questions/51957186/how-to-calculate-rolling-correlation-with-pandas