Learning Quantitative Finance with R

Fast Fourier transformation

Fast Fourier transformation (FFT) is used for calculating the Fourier transform of discrete time series. You need to install the relevant package fft for FFT with the help of the following code:

install.packages('fft') 

Once you install the package, you have to load this into the workspace by using the following code:

library(fft) 

Fast Fourier transform of time series can be calculated using fft, and it accepts real or complex numbers series.

In the following example, dji is a real number time series:

> model<- fft(dji)  

The variable model is a transformed series which basically consists of complex numbers, and the real and imaginary parts can be extracted using the following code:

>rp = Re(model) 
>ip = Im(model) 

The following ...