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wave_hurst.cpp

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

#include "wave_hurst.h"
#include "rescaled_range.h"
#include "hurst_spectrum.h"

void wave_hurst::test()
{
  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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