Activity spectrum from waiting-time distribution

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

References in corpus (3)

• Fractional Calculus: Integral and Differential Equations of Fractional Order
• Waiting times between orders and trades in double-auction markets
• Mixtures of compound Poisson processes as models of tick-by-tick financial data

Cited by in corpus (6)

• A Gillespie algorithm for non-Markovian stochastic processes
• Scaling in the distribution of intertrade durations of Chinese stocks
• Detrended fluctuation analysis of intertrade durations
• Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
• Theory of earthquakes interevent times applied to financial markets
• Transition in the Waiting-Time Distribution of Price-Change Events in a Global Socioeconomic System