Fractal Volatility through Variation Index
[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 (2024). Fractal Volatility through Variation Index (https://www.mathworks.com/matlabcentral/fileexchange/32399-fractal-volatility-through-variation-index), MATLAB Central File Exchange. Récupéré le .
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Inspiré par : Fractal Volatility of Financial Time Series
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