CRAN

ACDm 1.0.3

Tools for Autoregressive Conditional Duration Models

Released Dec 3, 2015 by Markus Belfrage

Dependencies

dplyr 0.4.3 Rsolnp 1.15 zoo 1.7-12 ggplot2 1.0.1 plyr 1.8.3

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.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>ACDm</artifactId>
    <version>1.0.3-b41</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:ACDm')

Test Results

This package was last tested against Renjin 0.8.2500 on Oct 27, 2017.

• acdFit-examples
• acf_acd-examples
• diurnalAdj-examples
• plotHistAcd-examples
• plotRollMeanAcd-examples
• qqplotAcd-examples
• sim_ACD-examples
• testRmACD-examples
• testSTACD-examples
• testTVACD-examples

Source

View GitHub Mirror

Release History

• 1.0.3
• 1.0.2