Fractal Volatility of Financial Time Series 1.0

Date Added: June 21, 2013 | Visits: 381

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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 (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/f...volitility.html

Requirements: No special requirements

Platforms: Matlab

Keyword: Background, Computing, Construction, Counting, Instances, Lengthdatalengthdata, Parallel, Rescaled, Uncomment, Values

Users rating: 0/10

License: Shareware

Size: 10 KB

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