Activity spectrum from waiting-time distribution

Mauro Politi; Enrico Scalas

doi:10.1016/j.physa.2007.04.086

Activity spectrum from waiting-time distribution

Mauro Politi
, Enrico Scalas

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	43-48
Number of pages	6
Journal	Physica A: Statistical Mechanics and its Applications
Volume	383
Issue number	1 SPEC. ISS.
DOIs	https://doi.org/10.1016/j.physa.2007.04.086
Publication status	Published - 1 Sept 2007
Externally published	Yes

Keywords

Econophysics
Exponential distribution
Inverse problems

Access to Document

10.1016/j.physa.2007.04.086

Cite this

@article{5dcd88eac4a8459e9206792ff14ac3b4,

title = "Activity spectrum from waiting-time distribution",

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 = "Econophysics, Exponential distribution, Inverse problems",

author = "Mauro Politi and Enrico Scalas",

note = "Funding Information: E.S. is grateful to Daniel Fulger and Guido Germano for pointing him to the paper by T.J. Kozubowski and S.T. Ratchev. The authors also wish to thank Prof. em. Dr. Rudolf Gorenflo who has critically revised this manuscript. The activity has been partially supported by a grant provided by East Piedmont University (Universit{\`a} del Piemonte Orientale) and by the Italian MIUR project “Dinamica di altissima frequenza dei mercati finanziari.”",

year = "2007",

month = sep,

day = "1",

doi = "10.1016/j.physa.2007.04.086",

language = "English",

volume = "383",

pages = "43--48",

journal = "Physica A: Statistical Mechanics and its Applications",

issn = "0378-4371",

publisher = "Elsevier BV",

number = "1 SPEC. ISS.",

}

TY - JOUR

T1 - Activity spectrum from waiting-time distribution

AU - Politi, Mauro

AU - Scalas, Enrico

N1 - Funding Information: E.S. is grateful to Daniel Fulger and Guido Germano for pointing him to the paper by T.J. Kozubowski and S.T. Ratchev. The authors also wish to thank Prof. em. Dr. Rudolf Gorenflo who has critically revised this manuscript. The activity has been partially supported by a grant provided by East Piedmont University (Università del Piemonte Orientale) and by the Italian MIUR project “Dinamica di altissima frequenza dei mercati finanziari.”

PY - 2007/9/1

Y1 - 2007/9/1

N2 - 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.

AB - 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.

KW - Econophysics

KW - Exponential distribution

KW - Inverse problems

UR - https://www.scopus.com/pages/publications/34347338786

U2 - 10.1016/j.physa.2007.04.086

DO - 10.1016/j.physa.2007.04.086

M3 - Article

SN - 0378-4371

VL - 383

SP - 43

EP - 48

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 1 SPEC. ISS.

ER -

Activity spectrum from waiting-time distribution

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this