Fractal Volatility through Variation Index

Version 1.0.0.0 (1.62 KB) by Han
VARINDX calculates the variation index and fractal dimension of a financial time series.
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Updated 31 Jul 2011

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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.

Cite As

Han (2024). Fractal Volatility through Variation Index (https://www.mathworks.com/matlabcentral/fileexchange/32399-fractal-volatility-through-variation-index), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
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Acknowledgements

Inspired by: Fractal Volatility of Financial Time Series

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Version Published Release Notes
1.0.0.0