hurst 程序.docx

hurst机构都在用，很神秘很多人都想知道股市Hurst指数变化，但是股软没有这个功能，我自己找了一个hurst的函数工具，写了一个计算股市的，比较简单，可以实现对股市的hurst指数计算，发到这里共享一下，供抛砖引玉，希望理想的高手多多指点，这个程序有些问题，算出来的指数会大于1，我暂时没有办法，请高手多多指教。使用的时候，注意参数n的调节，n大了曲线会比较平滑，i是开始计算日r=x(3000:end,2);意思是取数据文件的第二列的大盘指数，从3000行开始。999999.txt是数据文件，可以从通达信导出程序在matlab2009下执行没有问题，别的不敢保证附图可以这么看，hurst指数小于0.7时，行情将发生反转，逐渐增加时今天的行情对明天的行情影响增加，小于是反之，数据截止到昨天。n取的是10，也就是10天的移动hurst指数。代码:%%clear;tic;x=load(999999.txt);r=x(3000:end,2);%r=zscore(r);qishu=length(r);n=12;i=100;h=zeros(qishu-1,1);for i=i-n:qishu;data=reshape(r(i-n+1:i,1),1,n);%rs=polyfit(log10(i-n:i),RSana(r,i-n:i,Hurst,1),1);rs=hurst_exponent(data);h(i,1)=rs(:,1);%h(i,1)=hurst_exponent(data);endsubplot(2,1,1); plot(h(100:end,1))grid on;title(HURST指数)subplot(2,1,2); plot(r(100:end,1))title(上证指数)hold on;grid on;toc;以下的代码请保存为hurst_exponent.m%Hurst 指数的计算% The Hurst exponent%--------------------------------------------------------------------------% The first 20 lines of code are a small test driver.% You can delete or comment out this part when you are done validating the% function to your satisfaction.%% Bill Davidson, quellen@% 13 Nov 2005% function []=hurst_exponent()% disp(testing Hurst calculation);%?% % n=100;% % data=rand(1,n);% load gx.txt% for n=1:967;%? ???data(1,n)=sum(gx(n,2:7));% end% %data=reshape(data,1,967);% plot(data);%?% hurst=estimate_hurst_exponent(data);%?% [s,err]=sprintf(Hurst exponent = %.2f,hurst);disp(s);%--------------------------------------------------------------------------% This function does dispersional analysis on a data series, then does a% Matlabpolyfit to a log-log plot to estimate the Hurst exponent of the% series.%% This algorithm is far faster than a full-blown implementation of Hursts% algorithm.??I got the idea from a 2000 PhD dissertation by Hendrik J% Blok, and I make no guarantees whatsoever about the rigor of this approach% or the accuracy of results.??Use it at your own risk.%% Bill Davidson% 21 Oct 2003function [hurst] = hurst_exponent(data0)? ?% data setdata=data0;? ?? ?