Activity spectrum from waiting-time distribution

被引：10

作者：

Politi, Mauro

Scalas, Enrico

机构：

[1] Univ Studi Milano, Dept Phys, I-20133 Milan, Italy

[2] Univ Studi Piemonte Orientale, Dept Adv Sci & Technol, I-15100 Alessandria, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 383卷 / 01期

关键词：

econophysics; exponential distribution; inverse problems;

D O I：

10.1016/j.physa.2007.04.086

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：43 / 48

页数：6

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