tms {RHawkes}

mid-price change times of the AUD/USD exchange rate

Description

A financial data set containing the mid-price changes of the AUD/USD foreign exchange rate during the trading week from 20:00:00 GMT on Sunday 19/07/2015 to 21:00:00 GMT Friday 24/07/2015.

Usage

data(tms)

Format

The format is a list of the arrival times of mid price changes that occur every hour in 121 non-overlapping windows.

Details

Times of arrivals of mid-price changes is listed together in ascending order.

Source

Simulated by a call to the function simHawkes1.

Examples

data(tms)
## number of non over-lapping hourly windows
length(tms)