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arXiv · 2006.00596

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

Vygintas Gontis
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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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BibTeXRIS

Vygintas Gontis. 2020-10-01. Long-range memory test by the burst and inter-burst duration distribution. https://doi.org/10.1088/1742-5468%2Fabb4db

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