Fractal Volatility through Variation Index

VARINDX calculates the variation index and fractal dimension of a financial time series.

[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.