Generalized Hurst Exponent Temporal Pattern Calculation

Calculates timeseries of Generalized Hurst Exponents (GHE) and designates Temporal Patterns (TP) based on methodology presented in ref.[1].

Version 1.0.1 (1.27 MB)
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6 Sep 2021
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Cite As

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.

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1.0.1

minor changes in description
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1.0.0

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