Logarithmic returns in pandas dataframe

Question

Python pandas has a pct_change function which I use to calculate the returns for stock prices in a dataframe:

ndf[\'Return\']= ndf[\'TypicalPrice\'].pct_chan         


        

Answer 1

Single line, and only calculating logs once. First convert to log-space, then take the 1-period diff.

    np.diff(np.log(df.price))

In earlier versions of numpy:

    np.log(df.price)).diff()