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.

1.3K Downloads

Updated 27 Jun 2011

[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 (2026). Fractal Volatility of Financial Time Series (https://www.mathworks.com/matlabcentral/fileexchange/31951-fractal-volatility-of-financial-time-series), MATLAB Central File Exchange. Retrieved February 23, 2026.

MATLAB Release Compatibility

Created with R2009b

Compatible with any release

Platform Compatibility

Windows macOS Linux

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Acknowledgements

Inspired: Fractal Volatility through Variation Index

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Version	Published	Release Notes
1.1.0.0	27 Jun 2011	Added link to background discussion	Download
1.0.0.0	24 Jun 2011		Download