Create a day-of-week column

Pandas 0.23+

Use pandas.Series.dt.day_name(), since pandas.Timestamp.weekday_name has been deprecated:

import pandas as pd


df = pd.DataFrame({'my_dates':['2015-01-01','2015-01-02','2015-01-03'],'myvals':[1,2,3]})
df['my_dates'] = pd.to_datetime(df['my_dates'])

df['day_of_week'] = df['my_dates'].dt.day_name()

Output:

    my_dates  myvals day_of_week
0 2015-01-01       1    Thursday
1 2015-01-02       2      Friday
2 2015-01-03       3    Saturday

Pandas 0.18.1+

As user jezrael points out below, dt.weekday_name was added in version 0.18.1
Pandas Docs

import pandas as pd

df = pd.DataFrame({'my_dates':['2015-01-01','2015-01-02','2015-01-03'],'myvals':[1,2,3]})
df['my_dates'] = pd.to_datetime(df['my_dates'])
df['day_of_week'] = df['my_dates'].dt.weekday_name

Output:

    my_dates  myvals day_of_week
0 2015-01-01       1    Thursday
1 2015-01-02       2      Friday
2 2015-01-03       3    Saturday

Original Answer:

Use this:

http://pandas.pydata.org/pandas-docs/stable/generated/pandas.Series.dt.dayofweek.html

See this:

Get weekday/day-of-week for Datetime column of DataFrame

If you want a string instead of an integer do something like this:

import pandas as pd

df = pd.DataFrame({'my_dates':['2015-01-01','2015-01-02','2015-01-03'],'myvals':[1,2,3]})
df['my_dates'] = pd.to_datetime(df['my_dates'])
df['day_of_week'] = df['my_dates'].dt.dayofweek

days = {0:'Mon',1:'Tues',2:'Weds',3:'Thurs',4:'Fri',5:'Sat',6:'Sun'}

df['day_of_week'] = df['day_of_week'].apply(lambda x: days[x])

Output:

    my_dates  myvals day_of_week
0 2015-01-01       1       Thurs
1 2015-01-02       2         Fri
2 2015-01-01       3       Thurs