hurst指数.m

混沌与分形理论是最新兴起的金融市场理论

%calculate Hurst exponent for Shanghai composite
clear
x=xlsread('index');y=x(:,2);z3=price2ret(y);
n=10:300
[logRS,logERS,V,logn,H,EH,t1,t2]=rsana(z3,n,'Hurst')
figure(1)
plot(z3)
xlabel('time')
figure(2)
plot(logn,logRS,'r-.')
xlabel('log(n)')
ylabel('logRS')
figure(3)
plot(logn,V,'r-.')
xlabel('log(n)')
ylabel('V')