Activity spectrum from waiting-time distribution

Mauro Politi and Enrico Scalas

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 43-48

Abstract: 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.

Keywords: Econophysics; Exponential distribution; Inverse problems (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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Working Paper: Activity spectrum from waiting-time distribution (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:43-48

DOI: 10.1016/j.physa.2007.04.086

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