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Generalized Hurst Exponent Temporal Pattern Calculation

version 1.0.1 (1.27 MB) by Ioannis Antoniades
Calculates timeseries of Generalized Hurst Exponents (GHE) and designates Temporal Patterns (TP) based on methodology presented in ref.[1].

20 Downloads

Updated 06 Sep 2021

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This software implements the procedure and algorithm prescribed in
[1]. "The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool", I.P. Antoniades, Giuseppe Brandi, L. Magafas, T.Di Matteo, Physica A, 565 (2021), DOI: 10.1016/j.physa.2020.125561.
to calculate and plot Temporal Patterns (TP) for a pair of Generalized Hurst Exponent timeseries (GHE), H(q), of two different q-values and a respective multi-scaling proxy timeseries. The TP's provide a visual tool to detect scaling changes in timeseries coming from any complex dynamical system with the purpose of characterizing the evolution of the underlying dynamics as well as linking scaling changes to the prediction of future events.
Details for the method and algorithm as well as application to financial timeseries can be found in the article cited above.

Cite As

Ioannis Antoniades, Giuseppe Brandi (2021). Generalized Hurst Exponent Temporal Pattern Calculation (https://www.mathworks.com/matlabcentral/fileexchange/<...>), MATLAB Central File Exchange. Retrieved September 6, 2021.

"The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool", I.P. Antoniades, Giuseppe Brandi, L. Magafas, T.Di Matteo, Physica A, 565 (2021), DOI: 10.1016/j.physa.2020.125561.

MATLAB Release Compatibility
Created with R2021a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Generalized Hurst exponent

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