[R-SIG-Finance] financial series: waveslim, brainwaver, wavetresh and fractal
stvienna at gmail.com
Thu Jul 9 17:00:12 CEST 2009
Greetings to all!
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
(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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