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

Full text not available from this repository.

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.

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
URI:	http://sro.sussex.ac.uk/id/eprint/50268

📧 Request an update