Fractal Volatility through Variation Index

Versione 1.0.0.0 (1,62 KB) da Han
VARINDX calculates the variation index and fractal dimension of a financial time series.
5.0
(3)
580 download
Aggiornato 31 lug 2011

Visualizza la licenza

[VINDX FRACDIM V_SIGMA COVERSIZE] = varIndx(LOW,HIGH)

LOW is a column vector of the lowest price in the bar (second, minute,
etc).
HIGH is a column vector of the highest price in the bar.

VINDX is the variation index of the data.
FRACDIM is the fractal dimension of the data.
V_SIGMA is the variation with interval size sigma.
SIGMA is the actual interval size. Units of sigma is index.

A minimum of 128 datapoints are recommended for best results.

Implements method outlined in this paper: http://spkurdyumov.narod.ru/Dubovikov1.pdf

The variation index method is much more efficient than box counting.

Cita come

Han (2025). Fractal Volatility through Variation Index (https://it.mathworks.com/matlabcentral/fileexchange/32399-fractal-volatility-through-variation-index), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2010a
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Financial Toolbox in Help Center e MATLAB Answers
Tag Aggiungi tag
Riconoscimenti

Ispirato da: Fractal Volatility of Financial Time Series

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Versione Pubblicato Note della release
1.0.0.0