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Long-range memory test by the burst and inter-burst duration distribution

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  • Vygintas Gontis

Abstract

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.

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  • Vygintas Gontis, 2020. "Long-range memory test by the burst and inter-burst duration distribution," Papers 2006.00596, arXiv.org, revised Oct 2020.
    • Handle: RePEc:arx:papers:2006.00596
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    Cited by:

    1. Vygintas Gontis, 2021. "Order flow in the financial markets from the perspective of the Fractional L\'evy stable motion," Papers 2105.02057, arXiv.org, revised Nov 2021.
    2. Rytis Kazakevicius & Aleksejus Kononovicius & Bronislovas Kaulakys & Vygintas Gontis, 2021. "Understanding the nature of the long-range memory phenomenon in socioeconomic systems," Papers 2108.02506, arXiv.org, revised Aug 2021.

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