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Fractal Volatility through Variation Index

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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.pdf

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

Free download from Shareware Connection - [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.

Publisher: Han | License: Shareware
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 27-05-2013 | Rating: 0 | Title: Fractal Volatility through Variation Index

Author Url: http://www.luckhan.com
Program Info Url: http://www.luckhan.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/32399/1/varIndx.zip

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