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)? 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.
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) |