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Rescaled Range Analysis

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Rating: 2.88/5
Rated by: 16 user(s)
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 Downloads: 246
 Developer: Alexandros Leontitsis | More scripts by this producer
 License(s): Freeware
 Programming Language: Matlab
 Database Support: none
 Platform: Windows/Linux/Mac OS/BSD/Solaris
 Last Updated: 14th of August 2007, 14:19 GMT
 Category: HOME :: Scientific/Engineering :: Financial Modeling and Analysis
 Read user reviews (0) Add a review Refer to friend Subscribe

Rescaled Range Analysis description Download

Accorting to the references the Rescaled Range Analysis can reveal non-periodic cycles time series. It has found many applications on the financial time series, although the underlying theory is not convincing.


This m-file contains the basic algorithm and 4 proposed variations. The estimation of the Hurst exponents is up to the user.


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