Activity spectrum from waiting-time distribution

Politi, Mauro and Scalas, Enrico (2007) Activity spectrum from waiting-time distribution. Physica A Statistical Mechanics and its Applications, 383 (1). pp. 43-48. ISSN 0378-4371

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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.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0276 Mathematical statistics
Q Science > QA Mathematics > QA0297 Numerical analysis
Depositing User: Enrico Scalas
Date Deposited: 26 Sep 2014 08:31
Last Modified: 26 Sep 2014 08:31
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