DataFiles {ACDm}R Documentation

Time Series Data Sets

Description

The data file transData is the base data used in all of the examples. It is a data.frame with rows representing a single transaction and has the columns 'time', 'price', giving the trade price, and 'volume', giving the number of shares traded for the transaction. The data set is based on real transactions but has been obfuscated by transforming the dates, price and volume, for proprietary reasons. It covers two weeks of nearly 100 000 transactions, recorded with 1 second precision.

The durData data.frame is simply the trade durations formed from transData using the function durData <- computeDurations(transData)

The adjDurData data object is in turn created by adjDurData <- diurnalAdj(durData, aggregation = "all") to add diurnally adjusted durations.

defaultSplineObj is an estimated cubic spline of the diurnal component using the sample data. It is used when simulating from sim_ACD() with the argument diurnalFactor set to TRUE, when no user splineObj is provided.


[Package ACDm version 1.0.4 Index]