Activity spectrum from waiting-time distribution


الملخص بالإنكليزية

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 Tikhonovs regularization method. We also analyze these spectra by a rough method using a comb of Diracs delta functions.

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