plotDescTrans

Plots (1) the price over time, (2) volume traded over time for a given interval, and (3) number of transactions over time for a given interval.

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.

Markus Belfrage

ACDm

Tools for Autoregressive Conditional Duration Models

plotDescTrans function

<dl> <dt>trans</dt>
<dd>a data.frame with the column 'time', 'price', and 'volume'. Currently only works if all of those are available.</dd> <dt>windowunit</dt>
<dd>the unit of the time interval. One of "secs", "mins", "hours", or "days".</dd> <dt>window</dt>
<dd>a positive integer giving the length of the interval.</dd></dl>

Arguments

Transactions plots — plotDescTrans

<dl>

 <dt>trans</dt>
<dd>a data.frame with the column 'time', 'price', and 'volume'. Currently only works if all of those are available.</dd>

 <dt>windowunit</dt>
<dd>the unit of the time interval. One of "secs", "mins", "hours", or "days".</dd>

 <dt>window</dt>
<dd>a positive integer giving the length of the interval.</dd>

</dl>

plotDescTrans: Transactions plots

Description

Usage

Arguments

Examples