HurstFur - Multi-Scale Hurst Exponents
Signed Hurst exponents across multiple time scales
Function Syntax
=PFR.HurstFur(Security, Periodicity, Interval, MostRecentDate, LeastRecentDate, FillWithHeaders, UseSyntheticPrices, RefreshMode)
Parameters
| Parameter |
Description |
| Security | Bloomberg security |
| Periodicity | Bar scale |
| Interval | Bar interval for MINUTE |
| MostRecentDate | Most recent date |
| LeastRecentDate | Least recent date |
| FillWithHeaders | Label with headers |
| UseSyntheticPrices | Allow synthetic prices |
| RefreshMode | Refresh rate INTERVAL,DAILY,...,FREEZE |
Output Columns
| Column |
Description |
| Output 1 | Security Symbol |
| Output 2 | Run Date/Time |
| Output 3 | Periodicity |
| Output 4 | Interval |
| Output 5 | FurBall Assessment |
| Output 6 | 21 Hurst Exponents at increasing scales |
| Output 7 | Hurst Fur Rank (0-100) |
Note: This function requires Bloomberg Terminal to be running and logged in.