gs_quant.timeseries.algebra.smooth_spikes

smooth_spikes(x, threshold)[source]

Smooth out the spikes of a series. If a point is larger/smaller than (1 +/- threshold) times both neighbors, replace it with the average of those neighbours. Note: the first and last points in the input series are dropped.

Parameters
  • x (Series) – timeseries

  • threshold (float) – minimum increment to trigger filter

Return type

Series

Returns

smoothed timeseries

Usage

Returns series where values that exceed the threshold relative to both neighbors are replaced.

Examples

Generate price series and smooth spikes over a threshold of 0.5.

>>> prices = generate_series(100)
>>> smooth_spikes(prices, 0.5)

See also

exponential_moving_average()