@incollection{statphys23_0393,
	title = {Statistical Physics Approach to High-Frequency Finance},
	address = {Genova, Italy},
	author = {M. Politi and E. Scalas},
	booktitle = {Abstract Book of the XXIII IUPAP International Conference on Statistical Physics},
	editor = {Luciano Pietronero and Vittorio Loreto and Stefano Zapperi},
	month = {9-13 July},
	url = {http://st23.statphys23.org/webservices/abstract/preview_pop.php?ID_PAPER=393},
	year = {2007},
	biburl = {http://www.bibsonomy.org/bibtex/23167c350008eef4a056086daec831755/statphys23},
	abstract = {Based on the continuous-time random walk (CTRW) model for
high-frequency financial data, we present some recent results
on the following issues:

\begin{itemize}

\item We analyze the structure of waiting times between consecutive trades and fit them with Tsallis' $q$-exponentials and Weibull functions. Moreover, we discuss the activity spectrum based on a well-known inverse problem.

\item We define stochastic integrals on CTRWs and we study the (non-Markovian) case of non-exponentially distributed waiting times.

\item We price options written on CTRWs using Martingale methods.

\end{itemize}},
	keywords = {continuous-time econophysics integration option pricing random renewal statphys23 stochastic theory topic-11 walks }
}