Fractal Volatility through Variation Index 1.0

Date Added: September 02, 2013 | Visits: 284

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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.pdfThe variation index method is much more efficient than box counting.

Requirements: No special requirements

Platforms: Matlab

Keyword: Actual, Counting, Datapoints, Efficient, Minimum, Recommended, Results, Sigma, Units

Users rating: 0/10

License: Shareware

Size: 10 KB

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