R help - Jun 2008 - Fourier Transform

Hello All,

I wanted to perform a fourier transform on high frequency financial data. I
have searched and have not found much on this topic for R. I was wondering
if anyone has used any libraries for it or have come across any papers I may
read.

Many Thanks,

Neil Gupta

	[[alternative HTML version deleted]]

If you want power spectral density then spec.pgram() and a wrapper to this
spectrum should do the trick (MASS which is a part of R base I think)
add the argument log="no" if you don't want to see the power on a
log scale
also remember that the smoothed periodogram is a consitent estimator of the
spectral density and this is achieved with
spansthe spans argument needs odd integer arguments and it is better to use two
(this uses modified daniell smoothers) (MASS4)

fft is the fast fourier transform, but I haven't been able to figure out how
to use this for filtering along with ifft

if your data has changing properties over time it may be useful to look into
wavelet analysis (wmtsa and the accompanying book, sowas and the
accompanying dissertation)

Shumway et al. time series methods with applications in R (or something
close to this) is a good book also

hope this helps

Stephen



On Thu, Jun 5, 2008 at 10:21 AM, Neil Gupta <neil.gup@gmail.com> wrote:
> Hello All,
>
> I wanted to perform a fourier transform on high frequency financial data. I
> have searched and have not found much on this topic for R. I was wondering
> if anyone has used any libraries for it or have come across any papers I
> may
> read.
>
> Many Thanks,
>
> Neil Gupta
>
>        [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>


-- 
Let's not spend our time and resources thinking about things that are so
little or so large that all they really do for us is puff us up and make us
feel like gods. We are mammals, and have not exhausted the annoying little
problems of being mammals.

-K. Mullis

	[[alternative HTML version deleted]]

-----Original Message-----
From: r-help-bounces at r-project.org on behalf of Neil Gupta
Sent: Thu 6/5/2008 15:21
To: R-help at r-project.org
Subject: [R] Fourier Transform
 
Hello All,

I wanted to perform a fourier transform on high frequency financial data. I
have searched and have not found much on this topic for R. I was wondering
if anyone has used any libraries for it or have come across any papers I may
read.

Many Thanks,

Neil Gupta




Dear Neil,
I'm not sure this can be of any help, but here it is anyway.

Given a real function, sample it:

------------------------------
## Sampled density (N points)
sample_rho <- function(rho,N)
{
 xS <- seq(0,1,length=N+1)[1:N]
 yS <- rho(xS)
 xSyS <- list(xS,yS)
 return(xSyS)
}
------------------------------

Then use these sampled values to perform Fourier transform:

------------------------------
xS <- sample_rho(rho,N)[[1]]
yS <- sample_rho(rho,N)[[2]]
F_complex <- fft(yS)/length(yS)
F <- Mod(F_complex)
f <- Arg(F_complex)
F[1] <- Re(F_complex[1])
f[1] <- 0
------------------------------

I have used these and other similar lines when writing an educational paper on
Fourier transforms and aliasing:

J. Foadi - "A simple approach to Fourier aliasing" - Eur J Phys 28
(2007) 551-561


My best regards,

James


Dr James Foadi PhD
Membrane Protein Laboratory (MPL)
Diamond Light Source Ltd
Diamond House
Harewell Science and Innovation Campus
Chilton, Didcot
Oxfordshire OX11 0DE

Email    :  james.foadi at diamond.ac.uk
Alt Email:  j.foadi at imperial.ac.uk
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