Fractal Volatility of Financial Time Series

Version 1.1.0.0 (2.07 KB) by Han
Calculates the fractal dimension of a financial timeseries through box counting.
1.0
(1)
1.3K Downloads
Updated 27 Jun 2011

View License

[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/fractal-volitility.html

Cite As

Han (2024). Fractal Volatility of Financial Time Series (https://www.mathworks.com/matlabcentral/fileexchange/31951-fractal-volatility-of-financial-time-series), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Fractals in Help Center and MATLAB Answers
Acknowledgements

Inspired: Fractal Volatility through Variation Index

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.1.0.0

Added link to background discussion
1.0.0.0