  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.
