lag

lag(x, obs=1, mode=<LagMode.EXTEND: 'extend'>)[source]

Lag timeseries by a specified number of observations or a relative date

Parameters
  • x (Series) – timeseries of prices

  • obs (Union[Window, int, str]) – number of observations to lag series or relative date e.g. 3d, 2m, 1y

  • mode (LagMode) – whether to extend series index (into the future)

Return type

Series

Returns

date-based time series of return

Usage

Shift the series backwards by a specified number of observations:

\(R_t = X_{t-obs}\)

where \(obs\) is the number of observations to lag series

Examples

Lag series by 2 observations:

>>> prices = generate_series(100)
>>> lagged = lag(prices, 2)

Lag series by 1 year:

>>> prices = generate_series(100)
>>> lagged = lag(prices, '1y')

See also

diff()