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hurst_stocks Class Reference

Test the rescaled range algorithm on stock returns. More...

#include <hurst_stocks.h>

Inheritance diagram for hurst_stocks::

List of all members.

Public Methods
	hurst_stocks (const char *path)
	~hurst_stocks ()
void	test ()
	Test the rescaled range algorithm on stock returns. More...
Private Methods
	hurst_stocks (const hurst_stocks &rhs)

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Detailed Description

Test the rescaled range algorithm on stock returns.

Definition at line 10 of file hurst_stocks.h.

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Constructor & Destructor Documentation

hurst_stocks::hurst_stocks ( const hurst_stocks & rhs ) [private]

hurst_stocks::hurst_stocks ( const char * path ) [inline]

Definition at line 16 of file hurst_stocks.h. : hurst_test_base( path ) {}

hurst_stocks::~hurst_stocks ( ) [inline]

Definition at line 17 of file hurst_stocks.h. {}

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Member Function Documentation

void hurst_stocks::test ( ) [virtual]

Test the rescaled range algorithm on stock returns. By hacking this code (e.g., uncommenting the commented parts and commenting out others) you can test the rescaled range on either a single stock over a range of n-day returns or you can test against the table of stocks (see the base class hurst_test_base). Sorry for the hackish nature of this code, but it worked for generating tests and the results on the Hurst exponent web page. Reimplemented from hurst_test_base. Definition at line 23 of file hurst_stocks.cpp. Referenced by main(). { const size_t days = 10; // const size_t ReturnSize = 1024; const size_t ReturnSize = 8192; // const size_t DataSize = ReturnSize + days; const size_t DataSize = 8192; // These arrays have to be static to get around some Microsoft // wierdness with large stack allocated arrays. static double data[ DataSize ]; static double returns[ ReturnSize ]; rescaled_range hurst; rescaled_range::hurstInfo info; // // To test a single return period against the table of stocks // uncomment this for loop and assign a single n-day return // period to blockSize. Comment out the enclosed for loop // (see below). // // for (size_t tableEntry = 0; tableEntry < tableSize_; tableEntry++) { // const char *fileName = equityTable_[tableEntry].file(); const char *fileName = "ibm_30year.csv"; size_t n = DataSize; if (ts.getTS( fileName, data, n, yahooTS::Close )) { assert(n == DataSize ); // // Comment out the for loop if you are calculating returns // on a table of stocks and use a fixed return period. // The return period is defined by blockSize. // for (size_t blockSize = 1; blockSize <= 30; blockSize++) { for (size_t i = 0; i < ReturnSize; i++) returns[i] = 0; size_t numReturns; numReturns = blockedLogReturn( data, returns, DataSize, blockSize ); hurst.calc_hurst_est( returns, numReturns, info ); // const char *companyName = equityTable_[tableEntry].name(); const char *companyName = "IBM Corp."; // printf("%2d %7.4f\n", blockSize, sigma ); printf("%2d %7.4f\n", blockSize, info.slope()); } } // for }

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The documentation for this class was generated from the following files:

• hurst_stocks.h
• hurst_stocks.cpp

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