Hi I was wondering if there are any good packages in R that would be useful in Time Series Pattern Recognition (3rd party software suggestions are also welcome!) . My search problem description is this: Given a specific 5 day OHLC sequence in a particular stock A, I want to scan through a list of stocks B, C, etc... and return another 5 day OHLC sequence which closely 'matches' my given sequence. The basic brute force algorithm which I'm working on currently is to normalize all 5 day sequences in my search universe and to calculate the differential in HL and return the top N patterns with the lowest differential value. If there are any elegant / intelligent ways to solve my problem, I would love to hear it! Thanks... Rgds Ian
Pattern Recognition / Classification in R for Financial Time Series
3 messages · Ian Seow, Dirk Eddelbuettel, stefano iacus
On 31 October 2008 at 11:17, Ian Seow wrote:
| Hi I was wondering if there are any good packages in R that would be
| useful in Time Series Pattern Recognition (3rd party software
| suggestions are also welcome!) .
Well, one could remember this:
Zeileis' Law: For any given open question in R, start with
the Task Views page at http://cran.r-project.org/web/views/
Now, I just made that law up, but seriously -- look at at least the Machine
Learning one.
Dirk
Three out of two people have difficulties with fractions.
Hi all, we have recently developed a new dissimilarity measure which works under the assumption that the underlying data follow a discretely observed diffusion process The paper is still under review, so the R code is not yet released, but I can share the code with the ones interested. here is the reference De Gregorio, A., Iacus, S.M. (2008) Clustering of discretely observed diffusion processes. Available at http://arxiv.org/abs/0809.3902 stefano
On 31/ott/08, at 04:47, Dirk Eddelbuettel wrote:
On 31 October 2008 at 11:17, Ian Seow wrote:
| Hi I was wondering if there are any good packages in R that would be
| useful in Time Series Pattern Recognition (3rd party software
| suggestions are also welcome!) .
Well, one could remember this:
Zeileis' Law: For any given open question in R, start with
the Task Views page at http://cran.r-project.org/web/views/
Now, I just made that law up, but seriously -- look at at least the
Machine
Learning one.
Dirk
--
Three out of two people have difficulties with fractions.
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----------------------------------- Stefano M. Iacus Department of Economics, Business and Statistics University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 http://www.economia.unimi.it/iacus ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html