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Activity spectrum from waiting-time distribution

In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for tick-by-tick trades. The numerical problem, strictly related with the real inversion of Laplace transforms, is analyzed by using Tikhonov's regularization method. We also analyze these spectra by a rough method using a comb of Dirac's delta functions.
Year of publication:
2008-01
Authors: Politi, Mauro ; Scalas, Enrico
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Physica A 383 (2007) 43-48
Source:
Persistent link: https://www.econbiz.de/10005098688
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