Activity spectrum from waiting-time distribution

Details Activity spectrum from waiting-time distribution Activity spectrum from waiting-time distribution

2008-01-19

arxiv.org/abs/0801.3043v1

Physica A 383 (2007) 43-48

Economy

Quantitative Finance

Trading and Market Microstructure

8 pages, 5 figures

Scientific paper

10.1016/j.physa.2007.04.086

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.

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