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Feb 13th, 2018
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  1. import numpy as np
  2. import pandas as pd
  3. import scipy.stats as ss
  4.  
  5. def create_combined_vector(assessment_file):
  6.  
  7. comb_df = pd.read_csv(assessment_file)
  8.  
  9. # Seperate out vectors
  10. days = [0 for i in range(len(comb_df.values))]
  11. trend = comb_df['trend'].values
  12. close = comb_df['adjusted_close'].values
  13.  
  14. # Resize and normalize
  15. days = days[1:]
  16. trend = ss.zscore(trend[1:])
  17. close = ss.zscore(np.diff(close))
  18.  
  19. return (trend, close, days)
  20.  
  21. # Generate combined vecotr ready for ingestion by the
  22. # Granger Causality function (days used for later graph)
  23. (trend, close, days) = create_combined_vector(filename)
  24. combined_vector = []
  25. for i in range(len(trend)):
  26. combined_vector.append((trend[i], close[i]))
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