Fractal Volatility of Financial Time Series

Versión (2.07 KB) por Han
Calculates the fractal dimension of a financial timeseries through box counting.

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Actualizado 27 Jun 2011

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[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

Uncomment the else construction if you have the parallel computing
toolbox and wish to run the code in parallel (it scales linearly in instances).


Citar como

Han (2023). Fractal Volatility of Financial Time Series (, MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2009b
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux
Más información sobre Fractals en Help Center y MATLAB Answers.

Inspiración para: Fractal Volatility through Variation Index

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