How to calculate Rolling Correlation with pandas?

Question

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.

Any insights?

Thanks!

chrisaycock · Accepted Answer · 2020-05-14T21:38:44.280

30

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

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

edited May 14 '20 at 21:38

answered Aug 21 '18 at 22:03

chrisaycock

1 Answers1