Cross Correlation Function

crosscorr.py

def crosscorr(datax, datay, lag=0):
    """ Lag-N cross correlation. 
    Calculates cross correlations using pandas functionality that can be used in a list comprehension. 
    
    Parameters
    ----------
    lag : int, default 0
    datax, datay : pandas.Series objects of equal length

    Returns
    ----------
    crosscorr : float
    
    Examples
    ----------
    rs = [crosscorr(d1,d2, lag) for lag in range(-60,61)]
    
    """
    return datax.corr(datay.shift(lag))