What is the most efficient way to get log returns in numpy

 ̄綄美尐妖づ 提交于 2019-12-06 16:42:15
f_logR = lambda ri, rf: np.log(rf) - np.log(ri)
logR = np.asarray([f_logR(ar[i], rf) for i,rf in enumerate(ar[1:])])

is equivalent to

logR = np.diff(np.log(ar))

np.log takes the log of every value in ar, and np.diff takes the difference between every consecutive pair of values.

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