It is empirically established that order flow in the financial markets is positively auto-correlated and can serve as an example of a social system with long-range memory. Nevertheless, widely used long-range memory estimators give varying values of the Hurst exponent. We propose the burst and inter-burst duration statistical analysis as one more test of long-range memory and implement it with the limit order book data comparing it with other widely used estimators. This method gives a more reliable evaluation of the Hurst exponent independent of the stock in consideration or time definition used. Results strengthen the expectation that burst and inter-burst duration analysis can serve as a better method to investigate the property of long-range memory.

中文翻译：

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通过突发和突发间持续时间分布进行长距离记忆测试

根据经验确定，金融市场中的订单流是正自相关的，可以作为具有长期记忆的社会系统的一个例子。然而，广泛使用的远程记忆估计器给出了不同的 Hurst 指数值。我们建议将爆发和爆发间持续时间统计分析作为对长期记忆的另一种测试，并通过将其与其他广泛使用的估计器进行比较的限价订单簿数据来实现它。这种方法可以更可靠地评估 Hurst 指数，而不受考虑中的股票或使用的时间定义的影响。结果增强了爆发和爆发间持续时间分析可以作为研究远程记忆特性的更好方法的期望。