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