#include

#include
#include
#include
#include

<fstream>
<iostream>
<math.h>
<time.h>
<vector>

using namespace std;

class Plot {
public:
double x;
double y;
};
vector<Plot> graph;
int main(int argc, char *argv[]) {
double datapoint;
vector<double> data;
vector<double>::iterator it1;
vector<double>::iterator it2;
vector<double> array1;
vector<double> array2;
double Mean;
int NoOfDataPoints;
int NoOfPlottedPoints;
int PlottedPointNo;
int NoOfPeriods;
int PeriodNo;
int n;
int i,j;
int m;
const double logten = log(10);
double R, totalR;
double S, totalS;
double RS;
double Summ, SumSquared;
double Maxi, Mini;
double Sumx, Sumy, Sumxy, Sumxx;
double H;
clock_t init, final;
char * inputfilename;
char * outputfilename;
if (argc == 2 or argc == 3) {
inputfilename = argv[1];
if (argc == 2) {
char * appendage = "-hurst";
outputfilename = (char*) malloc((strlen(argv[1]) + strle
n(appendage) + 1)*sizeof(char));
if (outputfilename == NULL) {
cout << "Problem with memory allocation." << end
l;
system("PAUSE");
return -1;
}
strcpy(outputfilename, argv[1]);
strcat(outputfilename, appendage);
}
if (argc == 3) {
if (strcmp(argv[1], argv[2]) == 0) {
cout << "Filenames must be distinct." << endl;

system("PAUSE");
return -1;
}
outputfilename = (char*) malloc((strlen(argv[2]) + 1)*si
zeof(char));
if (outputfilename == NULL) {
cout << "Problem with memory allocation." << end
l;
system("PAUSE");
return -1;
}
strcpy(outputfilename, argv[2]);
}
ifstream inputfile(inputfilename);
if (!inputfile) {
cout << "Failed to open input file." << endl;
system("PAUSE");
return -1;
}
while (inputfile >> datapoint)
data.push_back(datapoint);
//Get total number of data points
NoOfDataPoints = data.size();
if (NoOfDataPoints > 3) {
init=clock();
ofstream outputfile(outputfilename);
if (!outputfile) {
cout << "Failed to open output file." << endl;
system("PAUSE");
return -1;
}
outputfile << "Number of data points: " << NoOfDataPoint
s << endl;
NoOfPlottedPoints = NoOfDataPoints - 2;
graph.resize(NoOfPlottedPoints);
//Begin main loop
for (n = 3; n <= NoOfDataPoints; n++) {
totalR = 0;
totalS = 0;
NoOfPeriods = NoOfDataPoints - n + 1;
for (PeriodNo = 0; PeriodNo < NoOfPeriods; Perio
dNo++) {
cout << ".";
array1.clear();
array2.clear();
for (i = 0; i<n; i++)
array1.push_back(data[PeriodNo +
i]);
for (i = 0; i<n; i++)
array2.push_back(0);
Summ = 0;
SumSquared = 0;
for(it1=array1.begin(); it1!=array1.end(
); it1++) {
Summ = Summ + *it1;
SumSquared = SumSquared + (*it1)
* (*it1);
}
Mean = Summ / n;
//S = sqrt((SumSquared - (Summ * Summ) /

n) / (n - 1));
S = sqrt((SumSquared - (Summ * Summ) / n
) / n);
for(it1=array1.begin(); it1!=array1.end(
); ++it1)
*it1 = *it1 - Mean;
for(int i2=0; i2 < n; ++i2)
for(int i1=0; i1 < i2; ++i1)
array2[i2] = array2[i2]
+ array1[i1];
Maxi = array2[0];
Mini = array2[0];
for(it2=array2.begin(); it2!=array2.end(
); ++it2) {
if (*it2 > Maxi)
Maxi = *it2;
if (*it2 < Mini)
Mini = *it2;
}
R = Maxi - Mini;
totalR = totalR + R;
totalS = totalS + S;
}
cout << endl;
R = totalR / NoOfPeriods;
S = totalS / NoOfPeriods;
RS = R / S;
PlottedPointNo = n - 3;
graph[PlottedPointNo].x = (log(n)) / logten;
graph[PlottedPointNo].y = (log(RS)) / logten;
}
Sumx = 0;
Sumy = 0;
Sumxy = 0;
Sumxx = 0;
for (i = 0; i < NoOfPlottedPoints; i++) {
Sumx = Sumx + graph[i].x;
Sumy = Sumy + graph[i].y;
Sumxy = Sumxy + (graph[i].x) * (graph[i].y);
Sumxx = Sumxx + (graph[i].x) * (graph[i].x);
}
outputfile << endl;
outputfile << "Log(time) Log(R/S)" << endl;
for (i = 0; i < NoOfPlottedPoints; i++)
outputfile << graph[i].x << " " << graph[i].y <<
endl;
//Calculate Hurst coefficient
H = (Sumxy - ((Sumx * Sumy) / NoOfPlottedPoints)) / (Sum
xx - ((Sumx * Sumx) / NoOfPlottedPoints));
outputfile << endl;
cout << "H = " << H << endl;
outputfile << "H = " << H << endl;
final=clock()-init;
cout << "Time taken: " << (double)final / ((double)CLOCK
S_PER_SEC) << " seconds" << endl;
outputfile << endl;
outputfile << "Time taken: " << (double)final / ((double
)CLOCKS_PER_SEC) << " seconds" << endl;
outputfile.close();
free(outputfilename);

}
else {
cout << "Number of data points: " << NoOfDataPoints << e
ndl;
cout << "The calculation requires at least 4 data points
." << endl;
}
inputfile.close();
}
else
cout << "Usage: hurst inputfilename (outputfilename)" << endl;
system("PAUSE");
}