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wave_hurst Class Reference

Test class for running the wavelet Hurst estimator on a range of n-day returns. More...

#include <wave_hurst.h>

Inheritance diagram for wave_hurst::

List of all members.

Public Methods
	wave_hurst (const char *path)
	~wave_hurst ()
void	test ()
	Run the wavelet Hurst exponent estimation algorithm against a range of returns. More...
Private Methods
	wave_hurst (const wave_hurst &rhs)

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Detailed Description

Test class for running the wavelet Hurst estimator on a range of n-day returns.

Definition at line 11 of file wave_hurst.h.

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Constructor & Destructor Documentation

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

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

Definition at line 17 of file wave_hurst.h. : hurst_test_base( path ) {}

wave_hurst::~wave_hurst ( ) [inline]

Definition at line 18 of file wave_hurst.h. {}

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Member Function Documentation

void wave_hurst::test ( ) [virtual]

Run the wavelet Hurst exponent estimation algorithm against a range of returns. For comparision the rescaled range is also run. Note that the rescaled range algorithm does not necessarily require data with a power of two number of elements. However, wavelet algorithms are limited to a power of two data set. This class mirrors the hurst_stocks class (they are both derived from the same base class). 1-day return 8192 values 2-day return 4096 values 4-day return 2048 values 8-day return 1024 values 16-day return 512 values 32-day return 256 values Reimplemented from hurst_test_base. Definition at line 30 of file wave_hurst.cpp. Referenced by main(). { const size_t ReturnSize = 8192; const size_t DataSize = 8193; // 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 ]; // 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 ); hurst_spectrum::hurstInfo waveInfo; hurst_spectrum wave; rescaled_range rs; rescaled_range::hurstInfo RSInfo; for (size_t blockSize = 1; blockSize <= 32; blockSize = (blockSize << 1)) { for (size_t i = 0; i < ReturnSize; i++) returns[i] = 0; size_t numReturns; numReturns = blockedLogReturn( data, returns, DataSize, blockSize ); wave.calc_hurst_est( returns, numReturns, waveInfo ); rs.calc_hurst_est( returns, numReturns, RSInfo ); double H = fabs( (waveInfo.slope() - 1)/ 2 ); printf("%2d %7.4f\n", blockSize, RSInfo.slope() ); } } // for }

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

• wave_hurst.h
• wave_hurst.cpp

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