[R-SIG-Finance] Pattern Recognition / Classification in R for Financial Time Series

[stefano iacus]

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.
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.




-----------------------------------
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