ACDm: Tools for Autoregressive Conditional Duration Models

Markus Belfrage

ACDm: Tools for Autoregressive Conditional Duration Models

Statistics, Helsinki

Research output: Non-textual form › Software › Scientific

Abstract

Package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.

Original language	English
Publication status	Published - 16.07.2015
MoE publication type	I2 ICT software

Keywords

113 Computer and information sciences

Access to Document

https://cran.r-project.org/web/packages/ACDm/Licence: Unspecified

OpenUrl availability

Full text

Cite this

@misc{93d73d930fca46f3bea222a138686bff,

title = "ACDm: Tools for Autoregressive Conditional Duration Models",

abstract = "Package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.",

keywords = "113 Computer and information sciences",

author = "Markus Belfrage",

year = "2015",

month = jul,

day = "16",

language = "English",

}

TY - ADVS

T1 - ACDm: Tools for Autoregressive Conditional Duration Models

AU - Belfrage, Markus

PY - 2015/7/16

Y1 - 2015/7/16

N2 - Package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.

AB - Package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.

KW - 113 Computer and information sciences

UR - https://cran.r-project.org/web/packages/ACDm/

M3 - Software

ER -

ACDm: Tools for Autoregressive Conditional Duration Models

Abstract

Keywords

Access to Document

OpenUrl availability

Other files and links

Fingerprint

Trade durations in the ultra-high frequency stock market

Cite this

ACDm: Tools for Autoregressive Conditional Duration Models

Abstract

Keywords

Access to Document

OpenUrl availability

Other files and links

Fingerprint

Projects

Trade durations in the ultra-high frequency stock market

Cite this