Fractal Volatility through Variation Index

版本 1.0.0.0 (1.6 KB) 作者: Han
VARINDX calculates the variation index and fractal dimension of a financial time series.
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更新时间 2011/7/31

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[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.

引用格式

Han (2024). Fractal Volatility through Variation Index (https://www.mathworks.com/matlabcentral/fileexchange/32399-fractal-volatility-through-variation-index), MATLAB Central File Exchange. 检索时间: .

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1.0.0.0