Activity spectrum from waiting-time distribution

Mauro Politi and Enrico Scalas

Papers from arXiv.org

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.

Date: 2008-01
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Published in Physica A 383 (2007) 43-48

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Journal Article: Activity spectrum from waiting-time distribution (2007)
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