Signal processing / fundamental frequencies in R

Discussion in 'Automated Trading' started by garchbrooks, Mar 9, 2010.

  1. I'm trying to get R to show me the frequency domain plot of a set of stock prices. Trying a few of these functions, but can't quite get it to look like what I'd see on an oscilloscope if I were doing some electrical engineering work. :) Can anyone help me out?

    So say I have high frequency oscillations around a main, low-frequency oscillation, and I want to remove the low-frequency oscillation so I can examine localized price movements -- does anyone know the best way to do this in R?
  2. The real R experts live over at Wilmott. Try posting there if not already.
  3. There are many approaches.

    Look into time series package and holt winters decomposition for starters.

    An even faster approach to do what you want is diff(x), where x is the time series of interest. That will give you only a high frequency stationary signal.