论文标题
长距离记忆测试通过爆发和爆发持续时间分布
Long-range memory test by the burst and inter-burst duration distribution
论文作者
论文摘要
从经验上确定，金融市场中的秩序流量是积极的自动相关，并且可以作为具有远距离记忆的社会系统的一个例子。然而，广泛使用的远程内存估计器给出了赫斯特指数的不同值。我们提出了爆发和爆发时间间统计分析，作为远程存储器的另一项测试，并通过限制顺序数据数据与其他广泛使用的估计器进行了比较。此方法使您对赫斯特指数的评估更为可靠，独立于使用的股票或所使用的时间定义。结果加强了爆发和爆发持续时间分析的期望，可以作为研究远程记忆特性的更好方法。
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.
