Fractal Volatility of Financial Time Series

버전 1.1.0.0 (2.07 KB) 작성자: Han
Calculates the fractal dimension of a financial timeseries through box counting.
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업데이트 날짜: 2011/6/27

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[DIMENSION STANDARD_DEV] = fractalvol(DATA) calculates the fractal dimension of the 1 dimensional random walk, DATA. DATA is assumed to be a function of its indices.
Finds fractal volatility by embedding in the unit square and box
counting. Y axis will be rescaled values of DATA, x axis is
(1:length(DATA))/length(DATA).

Uncomment the else construction if you have the parallel computing
toolbox and wish to run the code in parallel (it scales linearly in instances).

Background:
http://hanwangquant.blogspot.com/2011/04/fractal-volitility.html

인용 양식

Han (2024). Fractal Volatility of Financial Time Series (https://www.mathworks.com/matlabcentral/fileexchange/31951-fractal-volatility-of-financial-time-series), MATLAB Central File Exchange. 검색 날짜: .

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도움

도움 준 파일: Fractal Volatility through Variation Index

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버전 게시됨 릴리스 정보
1.1.0.0

Added link to background discussion
1.0.0.0