Fractal Volatility through Variation Index

Version 1.0.0.0 (1,62 ko) par Han
VARINDX calculates the variation index and fractal dimension of a financial time series.
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Mise à jour 31 juil. 2011

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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.

Citation pour cette source

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

Compatibilité avec les versions de MATLAB
Créé avec R2010a
Compatible avec toutes les versions
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Inspiré par : Fractal Volatility of Financial Time Series

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Version Publié le Notes de version
1.0.0.0