%0 Book Section %1 statphys23_0393 %A Politi, M. %A Scalas, E. %B Abstract Book of the XXIII IUPAP International Conference on Statistical Physics %C Genova, Italy %D 2007 %E Pietronero, Luciano %E Loreto, Vittorio %E Zapperi, Stefano %K continuous-time econophysics integration option pricing random renewal statphys23 stochastic theory topic-11 walks %T Statistical Physics Approach to High-Frequency Finance %U http://st23.statphys23.org/webservices/abstract/preview_pop.php?ID_PAPER=393 %X Based on the continuous-time random walk (CTRW) model for high-frequency financial data, we present some recent results on the following issues: itemize 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. We define stochastic integrals on CTRWs and we study the (non-Markovian) case of non-exponentially distributed waiting times. We price options written on CTRWs using Martingale methods. itemize

@incollection{statphys23_0393, 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}}, added-at = {2007-06-20T10:16:09.000+0200}, address = {Genova, Italy}, author = {Politi, M. and Scalas, E.}, biburl = {https://www.bibsonomy.org/bibtex/23167c350008eef4a056086daec831755/statphys23}, booktitle = {Abstract Book of the XXIII IUPAP International Conference on Statistical Physics}, editor = {Pietronero, Luciano and Loreto, Vittorio and Zapperi, Stefano}, interhash = {5d2dc444ef6f668f7707a51a8f0bc43b}, intrahash = {3167c350008eef4a056086daec831755}, keywords = {continuous-time econophysics integration option pricing random renewal statphys23 stochastic theory topic-11 walks}, month = {9-13 July}, timestamp = {2007-06-20T10:16:19.000+0200}, title = {Statistical Physics Approach to High-Frequency Finance}, url = {http://st23.statphys23.org/webservices/abstract/preview_pop.php?ID_PAPER=393}, year = 2007 }