Activity spectrum from waiting-time distribution
arXiv:0801.3043 · doi:10.1016/j.physa.2007.04.086
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.
8 pages, 5 figures