plotHistAcd

Plots the mean duration over time at chosen interval length

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

plotHistAcd function

<dl> <dt>durations</dt>
<dd>a data.frame containing the durations and their time stamps.</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

Author

Mean duration plot — plotHistAcd

<dl>

 <dt>durations</dt>
<dd>a data.frame containing the durations and their time stamps.</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>

plotHistAcd: Mean duration plot

Description

Usage

Arguments

Author

Examples