Activity spectrum from waiting-time distribution |
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Authors: | Mauro Politi Enrico Scalas |
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Institution: | a Department of Physics, Università degli Studi di Milano, via Celoria 16, 20133 Milano, Italy b Department of Advanced Science and Technology, Università degli Studi del Piemonte Orientale, 15100 Alessandria, Italy |
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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. |
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Keywords: | Econophysics Exponential distribution Inverse problems |
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