Fractal Volatility of Financial Time Series

版本 1.1.0.0 (2.1 KB) 作者: Han
Calculates the fractal dimension of a financial timeseries through box counting.
1.0
(1)
1.3K 次下载
更新时间 2011/6/27

查看许可证

[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

引用格式

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. 检索时间: .

MATLAB 版本兼容性
创建方式 R2009b
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Fractals 的更多信息

Community Treasure Hunt

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

Start Hunting!

版本 已发布 发行说明
1.1.0.0

Added link to background discussion
1.0.0.0