Politi, Mauro; Scalas, Enrico - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 43-48
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...