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

stvienna wiener stvienna at gmail.com
Wed Jul 15 14:19:54 CEST 2009

Hello Spencer,

thank you for your reply.

I tried to install the package "WaveCGH" today, however I got an error.

> install.packages("WaveCGH")

In getDependencies(pkgs, dependencies, available, lib) :
  package ‘WaveCGH’ is not available

Its somehow strange, because on the R-Website:

It is written:
"Package ‘WaveCGH’ was removed from the CRAN repository."

So I think the possibilities are:
a) the package was remove from CRAN
b) there are some dependencies. But I installed the newest R version!
c) I spelled the package wrong (e.g. small/capital letters )

Do you have maybe an idea?

Currently I am planning to use the following packages:

  library(wmtsa)        #Wavelets
  library(waveslim)     #Wavelet Correlation
  library(brainwaver)   #Wavelet Correlation

  library(QRMlib)       # time series plotting

   library(wavethresh)  # wavelet thresholding
   library(CVThresh)    # wavelet thresholding

Any suggestions welcome ;-)


2009/7/12 spencerg <spencer.graves at prodsyse.com>:
> 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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