Fractal Volatility of Financial Time Series
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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
Free download from Shareware Connection - [DIMENSION STANDARD_DEV] = fractalvol(DATA) calculates the fractal dimension of the 1 dimensional random walk, DATA
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 06-06-2013 | Rating: 0 | Title: Fractal Volatility of Financial Time Series
Author Url: http://www.luckhan.com
Program Info Url: http://www.luckhan.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/31951/2/fractalvol.zip
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