Activity spectrum from waiting-time distribution
Trading and Market Microstructure
2009-11-13 v1 Data Analysis, Statistics and Probability
Physics and Society
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.
Keywords
Cite
@article{arxiv.0801.3043,
title = {Activity spectrum from waiting-time distribution},
author = {Mauro Politi and Enrico Scalas},
journal= {arXiv preprint arXiv:0801.3043},
year = {2009}
}
Comments
8 pages, 5 figures