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 - http://www.scopus.com/inward/record.url?scp=34347338786&partnerID=8YFLogxK
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 -