Hurst Exponent
workflow.run_hurst_exponentHurst exponent via rescaled-range (R/S) analysis: is this return/price series trending/persistent (H>0.5, a move tends to be followed by a move in the same direction), mean-reverting/anti-persistent (H<0.5), or consistent with a random walk (H~0.5)? Edge cases: at least 32 values; min_window a whole number of at least 4 (default 8); a series too short to give at least 3 window sizes at that min_window is an error. Takes returns, not price levels. Not covered: confidence intervals for H, bias correction for short samples, other estimators (DFA, wavelets). R/S estimates are noisy on short series and H near 0.5 is not a verdict. Use when user asks "is this asset trending or mean-reverting?" or "does this series show long-range dependence?". Takes a return series, not raw price levels. Returns: hurst, interpretation (trending/mean_reverting/random_walk), window_sizes, rs_values.
Tool call template
Replace each placeholder with a value matching the input schema. Only required parameters are included; add optional parameters as needed.
{
"id": 1,
"jsonrpc": "2.0",
"method": "tools/call",
"params": {
"arguments": {
"values": "<values>"
},
"name": "workflow.run_hurst_exponent"
}
}Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| values | Yes | Return series (not raw price levels) | |
| min_window | No | Smallest R/S analysis window size (default 8) |