Zurich, Jan 2012 - ZurichR Wavelet Analytics

Tobias Setz from the Swiss Federal Institute of Technology in Zurich and the Rmetrics Association is offering a presention about "Wavelet Analytics on Financial Time Series".
ZurichR User Group Meeting, 19 Januar 2012.

The presentation is based on the semster thesis named "Wavelet Analysis on Stochastic Time Series - A visual introduction with an examination of long term financial time series" which was handed in by Tobias Setz in 2011. Basically the thesis covers the following topics:

  • Summarizing the theoretical framework of the dplR library to perform morlet wavelet transformations.
  • Creating artificial time series to get a qualitative feeling on how to interpret the outcome of a wavelet transformation.
  • Creating wavelet transformations and plots using financial time series dating back to the year 1923.
  • Qualitative interpretation of the real time series wavelet plots.

As an example the following picture shows the wavelet plot of the S&P 500 starting on the 31.12.1923 until the 31.12.2010 together with some important historical events:

The full semeter thesis and the presentations about that thesis can be downloaded here.