[R-SIG-Finance] Inhomogeneous Time Series Operator

Brian G. Peterson brian at braverock.com
Thu Feb 10 14:58:22 CET 2011

On 02/10/2011 12:42 AM, Jiwon Kim wrote:
> Hello everyone,
> I'm wondering if operators for irregulary-spaced time series are available.
> Examples are those inhomogenous operators introduced in "Operators on
> *inhomogeneous
> time series*<http://www.bilokon.co.uk/archive/academic/papers/finance/Zumbach2000.pdf>"
> by G. Zumbach et. al.
> It seems that all of those operators are included in S+FinMetrics for
> S-Plus, but cannot find any resources for R.
> I was thinking of reading S+FinMetrics implementation, but I don't have an
> access to S-Plus so don't know how I should proceed.
> If no package is yet available, it would be nice to get some advice from you
> experts where I should start.

It seems from a quick glance at the paper that all the metrics are 
calculated not directly over irregular time series but rather some other 
period is chosen to make them regular so that more traditional methods 
may be applied.

xts has very good support for high frequency irregular series.

period.apply and to.period should allow you to homogenize (regularize) 
the series in any way that is appropriate to your needs.

Most of the technical indicators (including EMA, used heavily by the 
paper) are in the TTR package.

The kernel estimators look pretty simple, and proceed from the above. 
there are also many kernel functions available in various R packages. I 
didn't read the paper closely enough, nor did I search on places like 
r-seek or RSiteSearch , for the specific kernel estimator used by the 
authors of the paper.


    - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

More information about the R-SIG-Finance mailing list