  In a previous analysis the problem of "zero-inflated" time data (caused by
high frequency trading in the electronic order book) was handled by
left-truncating the inter-arrival times. We demonstrated, using rigorous
statistical methods, that the Weibull distribution describes the corresponding
stochastic dynamics for all inter-arrival time differences except in the region
near zero. However, since the truncated Weibull distribution was not able to
describe the huge "zero-inflated" probability mass in the neighbourhood of zero
(making up approximately 50\% of the data for limit orders), it became clear
that the entire probability distribution is a mixture distribution of which the
Weibull distribution is a significant part. Here we use a censored EM algorithm
to analyse data for the difference of the arrival times of market orders, which
usually have a much lower percentage of zero inflation, for four selected
stocks trading on the London Stock Exchange.
