[R-SIG-Finance] Curvature related question

[Eric Zivot]

You might want to look at the following paper which describes some simple
algorithms for determining turning points in business cycles.
Ez

http://www.eabcn.org/research/documents/Harding_Pagan.pdf

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Vorlow
Constantinos
Sent: Tuesday, April 07, 2009 6:10 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Curvature related question

Hello...

Is there a quick and easy way to determine how curvature changes (along
time) on a smoothed version (or trend) of a time series?

i.e.

in the following code, I wan to check (possibly vith a combination of
rollapply function, where the peaks and troughs are on the idx variable
-and, IF they are peaks or troughs- which is a 15 day moving average of
the SP500 index...

    library(tseries)
    SP500 <- get.hist.quote("^GSPC", start = "2006-01-01", quote =
"Close")
    idx1 <- rollapply(SP500, 15, align="right", function(x) mean(x))

Have experimented a bit with the derivatives functions but I can't make
it really work properly... The fact that the sequences are also  zoo
objects and I would like to retain their time stamp properties
complicates things for my code...

If there is a better and faster way (possibly finding a local max or
min), I would appreciate some pointers. 

Thanks in advance,

Costas

 


P Think before you print.

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