[R-SIG-Finance] determining local min and local max in a time series...

[Brian G. Peterson]

you can use aggregate and period.apply to get min and max on any
frequency down to 1 second.


On Fri, 2011-12-30 at 15:44 -0700, Chris Waggoner wrote:
> Michael, what timescale are you looking at? If daily low is enough of a
> minimum for you then you can use
> 
> require(quantmod); Lo(my.ohlc.series);
> http://www.quantmod.com/examples/data/#ohlc
> 
> Otherwise, as far as I know you need to use first- and second-order
> differences. and it is no different with time series than any other 1-D
> vector.
> http://tolstoy.newcastle.edu.au/R/help/05/06/6703.html
> 
> 
> On Fri, Dec 30, 2011 at 2:45 PM, Michael <comtech.usa at gmail.com> wrote:
> 
> > Happy holidays all!
> >
> > Could anybody please point me to the functions for local min and local max
> > in a time series?
> >
> > I will be able to write the functions myself in some sort of "for" loop but
> > I wanted to see if there are good packages/functions existing
> > already...and  I am interested to know more elegant solution.
> >
> > Thank you!
> >
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> >
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock