[R-SIG-Finance] financial series: waveslim, brainwaver, wavetresh and fractal

stvienna wiener stvienna at gmail.com
Thu Jul 9 17:00:12 CEST 2009

Greetings to all!

# Short-Version
I am looking for advanced R packages similar to "waveslim",
"brainwaver", "wavethresh", "fractal", etc.
in order to analyze financial times series (e.g. stock prices).

Currently I am writing code to show/demonstrate the use of wavelets
and fractal dimension
to analyze financial time series (its a school project for my master
degree in CS).

The purpose is, for example, to find a correlation between IBM stock
prices and the dow jones index. Or to find a changepoint in
stock prices, correlating to unusual events e.g Yahoo stock prices in 2008 while
there was an acquisition attempt.

I have been using the "brainwaver" package to calculate correlations
of us stock prices to the dow jones.
It seems to work, but I am not 100% sure. (could provide so code but
its just fragments at the moment)

So my questions at the moment would be:
1)  Is there a specific R package that would be interesting and
helpful that I missed?
2)  Is there a package to find "changepoints" in time series with
wavelets or fractal-approach?
I know there is a function in "waveslim" to find a changepoint in the
but I could not yet get it working.
If not is there a way by other methods e.g. bayesian interference?

As references I was looking at the task views of finance, econometrics
and time series.

As well as the following to very helpful books (aside of the standard
wavelet literature):

(2001) An Introduction to Wavelets and Other Filtering Methods in
Finance and Economics.
Wavelet Methods in Statistics with R [ would be looking for a newer
reference ... .. ]
(2008) Wavelet Methods in Statistics with R

THANK you very much for any help or pointers!!

With the best regards to all,

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