Fractal Volatility through Variation Index

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

Description

   [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.

Acknowledgements

The author wishes to acknowledge the following in the creation of this submission:
Fractal Volatility of Financial Time Series

• MATLAB release: MATLAB 7.10 (2010a)