I have this function to calculate log of returns. It works as expected.
def log_returns(prices):
return np.log(prices / prices.shift(1))
data.apply(lambda x: log_returns(x))
The values returned are very close to pct_change method. Is this expected?
data.pct_change()
It is, for small variations in the natural log are almost equal to percentage change, that's not a code issue.
Since :
log(A/B) = log(A) - log(B)
and in your case, A is equal to some small change e of B.
log(A/B) = log(A) - log(B) = log(B(1+e)) - log(B)
log(A/B) = log(B) + log((1+e)) - log(B) = log(1+e)
For small values of e, meaning that the log is a good approx. around 1
log(1+e) ≈ e
For a more mathy explanation, see this SO post.
See for yourself with this code :
import pandas as pd
import numpy as np
small = np.linspace(0.01, 0.1, 100)
df = pd.DataFrame({"vals" : small})
df["changes"] = df["vals"].pct_change()
df["log div"] = np.log(df["vals"]/df["vals"].shift())
diff_log = np.log(df["vals"]) - np.log(df["vals"].shift())
df["diff log"] = diff_log
diff_log = diff_log[~np.isnan(diff_log)]
log_div = df["log div"].dropna().values
assert(np.allclose(log_div, diff_log))
and df.head(10):
values changes log div diff log
0 0.010000 NaN NaN NaN
1 0.010909 0.090909 0.087011 0.087011
2 0.011818 0.083333 0.080043 0.080043
3 0.012727 0.076923 0.074108 0.074108
4 0.013636 0.071429 0.068993 0.068993
5 0.014545 0.066667 0.064539 0.064539
6 0.015455 0.062500 0.060625 0.060625
7 0.016364 0.058824 0.057158 0.057158
8 0.017273 0.055556 0.054067 0.054067
9 0.018182 0.052632 0.051293 0.051293
Yes, this is indeed not that strange. For a small y, it holds that y ≈ log (1+y). See for more information this Mathematics Exchange post.
A percentage change is calculated as xi+1/xi-1, whereas you calculate log(xi+1/xi). If we thus substitute y for y = xi+1/xi-1, we see the approximation pop up.
Related
I don't even know if something like this is possible, but:
Let us say we have three numbers:
A = 6
B = 7.5
C = 24
I would like to find a few evenly spaced common multiples of these numbers between 0 and 2.
So the requirement is: one_of_these_numbers / common_multiple = an_integer (or almost an integer with a particular tolerance)
For example, a good result would be [0.1 , 0.5 , 1 , 1.5]
I have no idea if this is possible, because one can not iterate through a range of floats, but is there a smart way to do it?
I am using python, but a solution could be represented in any language of your preference.
Thank you for your help!
While I was writing my question, I actually came up with an idea for the solution.
To find common divisors using code, we have to work with integers.
My solution is to multiply all numbers by a factor = 1, 10, 100, ...
so that we can act as if they are integers, find their integer common divisors, and then redivide them by the factor to get a result.
Better explained in code:
a = 6
b = 7.5
c = 24
# Find a few possible divisors between 0 and 2 so that all numbers are divisible
by div.
# We define a function that finds all divisors in a range of numbers, supposing
all numbers are integers.
def find_common_divisors(numbers, range_start, range_end):
results = []
for i in range(range_start + 1, range_end + 1):
if all([e % i == 0 for e in numbers]):
results.append(i)
return results
def main():
nums = [a, b, c]
range_start = 0
range_end = 2
factor = 1
results = [1]
while factor < 11:
nums_i = [e * factor for e in nums]
range_end_i = range_end * factor
results += [e / factor for e in find_common_divisors(nums_i, range_start, range_end_i)]
factor *= 10
print(sorted(set(results)))
if __name__ == '__main__':
main()
For these particular numbers, I get the output:
[0.1, 0.3, 0.5, 1, 1.5]
If we need more results, we can adjust while factor < 11: to a higher number than 11 like 101.
I am curious to see if I made any mistake in my code.
Happy to hear some feedback.
Thank you!
I'm writing a VBScript that sends out a weekly email with client activity. Here is some sample data:
a b c d e f g
2,780 2,667 2,785 1,031 646 2,340 2,410
Since this is email, I don't want a chart with a trend line. I just need a simple function that returns "up", "down" or "stable" (though I doubt it will ever be perfectly stable).
I'm terrible with math so I don't even know where to begin. I've looked at a few other questions for Python or Excel but there's just not enough similarity, or I don't have the knowledge, to apply it to VBS.
My goal would be something as simple as this:
a b c d e f g trend
2,780 2,667 2,785 1,031 646 2,340 2,410 ↘
If there is some delta or percentage or other measurement I could display that would be helpful. I would also probably want to ignore outliers. For instance, the 646 above. Some of our clients are not open on the weekend.
First of all, your data is listed as
a b c d e f g
2,780 2,667 2,785 1,031 646 2,340 2,410
To get a trend line you need to assign a numerical values to the variables a, b, c, ...
To assign numerical values to it, you need to have little bit more info how data are taken. Suppose you took data a on 1st January, you can assign it any value like 0 or 1. Then you took data b ten days later, then you can assign value 10 or 11 to it. Then you took data c thirty days later, then you can assign value 30 or 31 to it. The numerical values of a, b, c, ... must be proportional to the time interval of the data taken to get the more accurate value of the trend line.
If they are taken in regular interval (which is most likely your case), lets say every 7 days, then you can assign it in regular intervals a, b, c, ... ~ 1, 2, 3, ... Beginning point is entirely your choice choose something that makes it very easy. It does not matter on your final calculation.
Then you need to calculate the slope of the linear regression which you can find on this url from which you need to calculate the value of b with the following table.
On first column from row 2 to row 8, I have my values of a,b,c,... which I put 1,2,3, ...
On second column, I have my data.
On third column, I multiplied each cell in first column to corresponding cell in second column.
On fourth column, I squared the value of cell of first column.
On row 10, I added up the values of the above columns.
Finally use the values of row 10.
total_number_of_data*C[10] - A[10]*B[10]
b = -------------------------------------------
total_number_of_data*D[10]-square_of(A[10])
the sign of b determines what you are looking for. If it's positive, then it's up, if it's negative, then it's down, and if it's zero then stable.
This was a huge help! Here it is as a function in python
def trend_value(nums: list):
summed_nums = sum(nums)
multiplied_data = 0
summed_index = 0
squared_index = 0
for index, num in enumerate(nums):
index += 1
multiplied_data += index * num
summed_index += index
squared_index += index**2
numerator = (len(nums) * multiplied_data) - (summed_nums * summed_index)
denominator = (len(nums) * squared_index) - summed_index**2
if denominator != 0:
return numerator/denominator
else:
return 0
val = trend_value([2781, 2667, 2785, 1031, 646, 2340, 2410])
print(val) # -139.5
in python:
def get_trend(numbers):
rows = []
total_numbers = len(numbers)
currentValueNumber = 1
n = 0
while n < len(numbers):
rows.append({'row': currentValueNumber, 'number': numbers[n]})
currentValueNumber += 1
n += 1
sumLines = 0
sumNumbers = 0
sumMix = 0
squareOfs = 0
for k in rows:
sumLines += k['row']
sumNumbers += k['number']
sumMix += k['row']*k['number']
squareOfs += k['row'] ** 2
a = (total_numbers * sumMix) - (sumLines * sumNumbers)
b = (total_numbers * squareOfs) - (sumLines ** 2)
c = a/b
return c
trendValue = get_trend([2781,2667,2785,1031,646,2340,2410])
print(trendValue) # output: -139.5
I know I need to use the extended euclidean algorithm, but I'm not sure exactly what calculations I need to do. I have huge numbers. Thanks
Well, d is chosen such that d * e == 1 modulo (p-1)(q-1), so you could use the Euclidean algorithm for that (finding the modular multiplicative inverse).
If you are not interested in understanding the algorithm, you can just call BigInteger#modInverse directly.
d = e.modInverse(p_1.multiply(q_1))
Given that, p=11, q=7, e =17, n=77, φ (n) = 60 and d=?
First substitute values from the formula:-
ed mod φ (n) =1
17 d mod 60 = 1
The next step: – take the totient of n, which is 60 to your left hand side and [e] to your right hand side.
60 = 17
3rd step: – ask how many times 17 goes to 60. That is 3.5….. Ignore the remainder and take 3.
60 = 3(17)
Step 4: – now you need to balance this equation 60 = 3(17) such that left hand side equals to right hand side. How?
60 = 3(17) + 9 <== if you multiply 3 by 17 you get 51 then plus 9, that is 60. Which means both sides are now equal.
Step 5: – Now take 17 to your left hand side and 9 to your right hand side.
17 = 9
Step 6:- ask how many times 9 goes to 17. That is 1.8…….
17 = 1(9)
Step 7:- Step 4: – now you need to balance this 17 = 1(9)
17 = 1(9) + 8 <== if you multiply 1 by 9 you get 9 then plus 8, that is 17. Which means both sides are now equal.
Step 8:- again take 9 to your left hand side and 8 to your right hand side.
9 = 1(8)
9 = 1(8) + 1 <== once you reached +1 to balance your equation, you may stop and start doing back substitution.
Step A:-Last equation in step 8 which is 9 = 1(8) + 1 can be written as follows:
1.= 9 – 1(8)
Step B:-We know what is (8) by simple saying 8 = 17 – 1(9) from step 7. Now we can re-write step A as:-
1=9 -1(17 – 1(9)) <== here since 9=1(9) we can re-write as:-
1=1(9)-1(17) +1(9) <== group similar terms. In this case you add 1(9) with 1(9) – that is 2(9).
1=2(9)-1(17)
Step C: – We know what is (9) by simple saying 9 = 60 – 3(17) from step 4. Now we can re-write step B as:-
1=2(60-3(17) -1(17)
1=2(60)-6(17) -1(17) <== group similar terms. In this case you add 6(17) with 1(17) – that is 7(17).
1=2(60)-7(17) <== at this stage we can stop, nothing more to substitute, therefore take the value next 17. That is 7. Subtract it with the totient.
60-7=d
Then therefore the value of d= 53.
I just want to augment the Sidudozo's answer and clarify some important points.
First of all, what should we pass to Extended Euclidean Algorthim to compute d ?
Remember that ed mod φ(n) = 1 and cgd(e, φ(n)) = 1.
Knowing that the Extended Euclidean Algorthim is based on the formula cgd(a,b) = as + bt, hence cgd(e, φ(n)) = es + φ(n)t = 1, where d should be equal to s + φ(n) in order to satisfy the
ed mod φ(n) = 1 condition.
So, given the e=17 and φ(n)=60 (borrowed from the Sidudozo's answer), we substitute the corresponding values in the formula mentioned above:
cgd(e, φ(n)) = es + φ(n)t = 1 ⇔ 17s + 60t = 1.
At the end of the Sidudozo's answer we obtain s = -7. Thus d = s + φ(n) ⇔ d = -7 + 60 ⇒ d = 53.
Let's verify the results. The condition was ed mod φ(n) = 1.
Look 17 * 53 mod 60 = 1. Correct!
The approved answer by Thilo is incorrect as it uses Euler's totient function instead of Carmichael's totient function to find d. While the original method of RSA key generation uses Euler's function, d is typically derived using Carmichael's function instead for reasons I won't get into. The math needed to find the private exponent d given p q and e without any fancy notation would be as follows:
d = e^-1*mod(((p-1)/GCD(p-1,q-1))(q-1))
Why is this? Because d is defined in the relationship
de = 1*mod(λ(n))
Where λ(n) is Carmichael's function which is
λ(n)=lcm(p-1,q-1)
Which can be expanded to
λ(n)=((p-1)/GCD(p-1,q-1))(q-1)
So inserting this into the original expression that defines d we get
de = 1*mod(((p-1)/GCD(p-1,q-1))(q-1))
And just rearrange that to the final formula
d = e^-1*mod(((p-1)/GCD(p-1,q-1))(q-1))
More related information can be found here.
Here's the code for it, in python:
def inverse(a, n):
t, newt = 0, 1
r, newr = n, a
while newr:
quotient = r // newr # floor division
t, newt = newt, t - quotient * newt
r, newr = newr, r - quotient * newr
if r > 1:
return None # there's no solution
if t < 0:
t = t + n
return t
inverse(17, 60) # returns 53
adapted from pseudocode found in wiki: https://en.wikipedia.org/wiki/Extended_Euclidean_algorithm#Pseudocode
Simply use this formula,
d = (1+K(phi))/e. (Very useful when e and phi are small numbers)
Lets say, e = 3 and phi = 40
we assume K = 0, 1, 2... until your d value is not a decimal
assume K = 0, then
d = (1+0(40))/3 = 0. (if it is a decimal increase the K value, don't bother finding the exact value of the decimal)
assume K = 2, then
d = (1+2(40)/3) = 81/3 = 27
d = 27.
Assuming K will become exponentially easy with practice.
Taken the values p=7, q=11 and e=17.
then the value of n=p*q=77 and f(n)=(p-1)(q-1)=60.
Therefore, our public key pair is,(e,n)=(7,77)
Now for calvulating the value of d we have the constraint,
e*d == 1 mod (f(n)), [here "==" represents the **congruent symbol**].
17*d == 1 mod 60
(17*53)*d == 53 mod 60, [7*53=901, which gives modulus value 1]
1*d == 53 mod 60
hence,this gives the value of d=53.
Therefore our private key pair will be, (d,n)=(53,77).
Hope this help. Thank you!
I am embarrassed to ask such question; but I haven't use math for a long time I can not recall many concepts learned many years ago.
In the url http://www.javadev.org/files/Ranking.pdf, an example is used for illustrate the page rank mechanism. The relation between page A, B, and C is A links to B and C, B links to C, and C links to A. So the PageRank equation is as below
Equation A)
PR(A) = 0.5 + 0.5 PR(C)
PR(B) = 0.5 + 0.5 (PR(A) / 2)
PR(C) = 0.5 + 0.5 (PR(A) / 2 + PR(B))
and it comes up with the result
Result B)
PR(A) = 14/13 = 1.07692308
PR(B) = 10/13 = 0.76923077
PR(C) = 15/13 = 1.15384615
My question is how Result B is derived from Equation A?
I try e.g. replacing PR(C) in equation PR(A)
PR(A) = 0.5 + 0.5 (0.5 + 0.5 (PR(A) / 2 + PR(B)))
this seems to end up with an infinite loop. So I am confused how it can derive the result e.g. PR(A) value is 1.07692308?
Appologize for such stupid question.
I appreciate any advice.
Not a stupid question, you're just rusty.
Take your equation and multiply by 16 (not really necessary, but it makes things look nicer):
16 PR(A) = 12 + 2 PR(A) + 4 PR(B)
Now subtract 2 PR(A) from both sides:
14 PR(A) = 12 + 4 PR(B)
Now replace PR(B), using the second part of "equation A":
14 PR(A) = 12 + 2 + PR(A)
13 PR(A) = 14
PR(A) = 14/13
And the others follow the same way. If you find that an equation winds up being the same on both sides (X = X), it probably means that you did the same substitution twice; just back up and try again. With a little practice you'll get the hang of it.
I am looking for a solution:
A= {0,1,2,3,4};
F(x) = 3x - 1 (mod5)
Could you help me to find the inverse. I am struggling with this as it seems to be not to be onto or 1to1.
Thank you for your help.
x = 2y + 2, where y = F(x)
-> 3x - 1 = 3(2y+2) - 1 = 6y + 5 = y (mod 5)
edit: if you want this to be evaluated for the list of principal values mod 5 [0,1,2,3,4], just evaluate 2y+2 for each of these, and what you get is [2,4,1,3,0]. Which, if you plug back into 3x-1, you get [0,1,2,3,4] as expected.