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.

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Year of publication:	2007
Authors:	Politi, Mauro ; Scalas, Enrico
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 383.2007, 1, p. 43-48
Publisher:	Elsevier
Subject:	Econophysics \| Exponential distribution \| Inverse problems

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010590856