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hurst_stocks.cpp

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#include <assert.h>
#include <stdio.h>

#include "hurst_stocks.h"
#include "rescaled_range.h"


void hurst_stocks::test()
{
  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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