Generalized Hurst Exponent Temporal Pattern Calculation
Version 1.0.1 (1,27 MB) von
Ioannis Antoniades
Calculates timeseries of Generalized Hurst Exponents (GHE) and designates Temporal Patterns (TP) based on methodology presented in ref.[1].
This software implements the procedure and algorithm prescribed in
[1]. "The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool", I.P. Antoniades, Giuseppe Brandi, L. Magafas, T.Di Matteo, Physica A, 565 (2021), DOI: 10.1016/j.physa.2020.125561.
to calculate and plot Temporal Patterns (TP) for a pair of Generalized Hurst Exponent timeseries (GHE), H(q), of two different q-values and a respective multi-scaling proxy timeseries. The TP's provide a visual tool to detect scaling changes in timeseries coming from any complex dynamical system with the purpose of characterizing the evolution of the underlying dynamics as well as linking scaling changes to the prediction of future events.
Details for the method and algorithm as well as application to financial timeseries can be found in the article cited above.
Zitieren als
Ioannis Antoniades, Giuseppe Brandi (2021). Generalized Hurst Exponent Temporal Pattern Calculation (https://www.mathworks.com/matlabcentral/fileexchange/<...>), MATLAB Central File Exchange. Retrieved September 6, 2021.
"The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool", I.P. Antoniades, Giuseppe Brandi, L. Magafas, T.Di Matteo, Physica A, 565 (2021), DOI: 10.1016/j.physa.2020.125561.
Kompatibilität der MATLAB-Version
Erstellt mit
R2021a
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Inspiriert von: Generalized Hurst exponent
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SOFTRELEASE
Version | Veröffentlicht | Versionshinweise | |
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1.0.1 | minor changes in description |
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1.0.0 |