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Activity spectrum from waiting-time distribution

journal contribution
posted on 2023-06-08, 18:25 authored by Mauro Politi, Enrico Scalas
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.

History

Publication status

  • Published

Journal

Physica A Statistical Mechanics and its Applications

ISSN

0378-4371

Publisher

Elsevier

Issue

1

Volume

383

Page range

43-48

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-26

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