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Provides tools for autoregressive conditional duration (ACD, Engle and Russell, 1998) models. Functions to create trade, price, or volume durations from transaction data, perform diurnal adjustments, fit various ACD models, and test them.
| Version: | 1.1.0 |
| Depends: | R (≥ 3.0.2) |
| Imports: | broom, dplyr, ggplot2, graphics, numDeriv, plyr, Rcpp, Rsolnp, zoo |
| LinkingTo: | Rcpp (≥ 0.12.10) |
| Suggests: | optimx, rgl |
| Published: | 2025-07-16 |
| DOI: | 10.32614/CRAN.package.ACDm |
| Author: | Markus Belfrage [aut, cre] |
| Maintainer: | Markus Belfrage <markus.belfrage at gmail.com> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| CRAN checks: | ACDm results |
| Reference manual: | ACDm.html ACDm.pdf |
| Package source: | ACDm_1.1.0.tar.gz |
| Windows binaries: | r-devel: ACDm_1.0.4.3.zip, r-release: ACDm_1.0.4.3.zip, r-oldrel: ACDm_1.0.4.3.zip |
| macOS binaries: | r-release (arm64): ACDm_1.0.4.3.tgz, r-oldrel (arm64): ACDm_1.0.4.3.tgz, r-release (x86_64): ACDm_1.1.0.tgz, r-oldrel (x86_64): ACDm_1.1.0.tgz |
| Old sources: | ACDm archive |
| Reverse imports: | eNchange |
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These binaries (installable software) and packages are in development.
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