Pandas converting row with unix timestamp (in milliseconds) to datetime

You can do this as a post processing step using to_datetime and passing arg unit='ms':

In [5]:
df['UNIXTIME'] = pd.to_datetime(df['UNIXTIME'], unit='ms')
df

Out[5]:
   RUN                UNIXTIME  VALUE
0    1 2015-11-10 13:05:02.320     10
1    2 2015-11-10 13:05:02.364     20
2    3 2015-11-10 13:05:22.364     42

I use the @EdChum solution, but I add the timezone management:

df['UNIXTIME']=pd.DatetimeIndex(pd.to_datetime(pd['UNIXTIME'], unit='ms'))\
                 .tz_localize('UTC' )\
                 .tz_convert('America/New_York')

the tz_localize indicates that timestamp should be considered as regarding 'UTC', then the tz_convert actually moves the date/time to the correct timezone (in this case `America/New_York').

Note that it has been converted to a DatetimeIndex because the tz_ methods works only on the index of the series. Since Pandas 0.15 one can use .dt:

df['UNIXTIME']=pd.to_datetime(df['UNIXTIME'], unit='ms')\
                 .dt.tz_localize('UTC' )\
                 .dt.tz_convert('America/New_York')