tag:blogger.com,1999:blog-107568321062020427.post5031119327653236157..comments2024-04-02T06:01:56.313-07:00Comments on Intelligent Trading: Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEURIntelligent Tradinghttp://www.blogger.com/profile/17765336450326139518noreply@blogger.comBlogger9125tag:blogger.com,1999:blog-107568321062020427.post-84840349245816903072010-11-19T18:01:41.612-08:002010-11-19T18:01:41.612-08:00Hello,
Both axis are related to time. The x-axis i...Hello,<br />Both axis are related to time. The x-axis is local time, the y-axis is periodicity strength corresponding to the localized time.<br /><br />ITIntelligent Tradinghttps://www.blogger.com/profile/17765336450326139518noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-27911090099035628432010-11-16T04:58:52.794-08:002010-11-16T04:58:52.794-08:00Hello
What's the meaning of the x axis?Hello<br /><br />What's the meaning of the x axis?skanhttps://www.blogger.com/profile/03631114761711061847noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-85700478738001582132010-11-16T04:42:15.994-08:002010-11-16T04:42:15.994-08:00Hello
The y axis is the period
What's the mea...Hello<br /><br />The y axis is the period<br />What's the meaning of the x axis?<br /><br />cheersskanhttps://www.blogger.com/profile/03631114761711061847noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-16778551335071712362010-08-03T11:27:47.728-07:002010-08-03T11:27:47.728-07:00Hi anton,
First: thanks for addressing which post...Hi anton,<br /><br />First: thanks for addressing which post. Blogger doesn't tell me the specific post for which a comment addresses, so sometimes I have to go digging through to figure it out.<br /><br />Regarding the hand explanation, it's too complicated to explain in a single comment. <br />However, Matlab (like most spectral software tools) spits out the y axis in the frequency domain, which is what I'm guessing you are encountering. <br /><br />What I have (days) on the y-axis is simply the inverse of the frequency measurement (freq=1/Time). You could try to alter the axis range in the matlab code to reflect that, or simply manually invert the frequency scale levels to get to days. One reason I liked this package it that it did the work for me=)<br /><br />Hope that helps,<br />ITIntelligent Tradinghttps://www.blogger.com/profile/17765336450326139518noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-67518998198997176532010-08-03T10:43:47.411-07:002010-08-03T10:43:47.411-07:00Dear IT
Can you explain how to get the pretty pic...Dear IT<br /><br />Can you explain how to get the pretty picture (spectogram) "by hand"? I'm using Matlab (for many years) instead of R, and when I use the built-in function, it spits out some picture that doesn't make any sense. <br />I don't need the actual code, but a few hints what to do, to get the same/similar picture as you did. <br />Thanks in advance.<br /><br />Cheers<br /><br />AntonUnknownhttps://www.blogger.com/profile/03372403954820265539noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-74522039312657089992010-05-01T21:37:10.000-07:002010-05-01T21:37:10.000-07:00Thanks DD,
I may not always include scripts or co...Thanks DD,<br /><br />I may not always include scripts or code as<br />1) Most of the work can be repeated from past posts and is superfluous (all signal synthesis was covered in past, quantmod/ttr examples can be lifted from prior posts). Sort of forces readers to do some research and really learn it, however, if anyone is stuck just drop a comment and I'll do my best to help.<br />2) I often sort of write scripts on the fly, unedited, and post as I move along, so that they may not come out very clean or organized.Intelligent Tradinghttps://www.blogger.com/profile/17765336450326139518noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-67585024036671154552010-05-01T09:26:48.676-07:002010-05-01T09:26:48.676-07:00Nice...
Its always so much more fun to follow alo...Nice...<br /><br />Its always so much more fun to follow along with actual code and data...<br /><br />Keep up the nice work!!!<br /><br />Cordially,<br /><br />-Digital Dude-<br /><br />"I can never stand still. I must explore and experiment. I am never satisfied with my work. I resent the limitations of my own imagination." -Walt Disney-Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-36400159118530051862010-04-29T12:26:41.847-07:002010-04-29T12:26:41.847-07:00Thanks for the feedback and recs. I'll take a ...Thanks for the feedback and recs. I'll take a look at the other packages.Intelligent Tradinghttps://www.blogger.com/profile/17765336450326139518noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-58787132541801767562010-04-29T11:11:29.485-07:002010-04-29T11:11:29.485-07:00Nice post. I just wanted to make you aware of oth...Nice post. I just wanted to make you aware of other packages in R that perform wavelet analysis. For the continuous wavelet transform (CWT), I would recommend <a href="http://cran.r-project.org/web/packages/Rwave/index.html" rel="nofollow">Rwave</a> which is an implementation of Swave from <em>Practical Time-Frequency Analysis: Gabor and Wavelet Transforms with an Implementation in S</em>, by Rene Carmona, Wen L. Hwang and Bruno Torresani, Academic Press, 1998. For the discrete wavelet transform (DWT), I would recommend <a href="http://cran.r-project.org/web/packages/waveslim/index.html" rel="nofollow">waveslim</a> which was used to analyze all the data from <em><a href="http://www2.imperial.ac.uk/~bwhitche/book/" rel="nofollow">An Introduction to Wavelets and Other Filtering Methods in Finance and Economics"</a></em> by Gencay, Selcuk and Whitcher, Academic Press, 2001.Anonymoushttps://www.blogger.com/profile/12511295653932239187noreply@blogger.com