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Activity spectrum from waiting-time distribution
journal contribution
posted on 2023-06-08, 18:25 authored by Mauro Politi, Enrico ScalasIn 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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Publication status
- Published
Journal
Physica A Statistical Mechanics and its ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
1Volume
383Page range
43-48Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-26Usage metrics
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