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

[spencerg]

I can't help you directly, but have you tried "RSiteSearch.function" in 
the "RSiteSearch" package?  Consider the following: 


library(RSiteSearch)

fcp <- RSiteSearch.function('fractal changepoint')
fcps <- RSiteSearch.function('fractal changepoints')

wcp <- RSiteSearch.function('wavelet changepoint')
wcps <- RSiteSearch.function('wavelet changepoints')
HTML(wcp)


      This sequence returned 1 match for the third query, and HTML(wcp) 
displayed that match in a web browser with a link to, in this case, the 
index page for the "WaveCGH" package. 


      Hope this helps. 
      Spencer Graves 

stvienna wiener wrote:
> 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
> wavelet-variance,
> 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,
> Steve
>
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