tms: mid-price change times of the AUD/USD exchange rate
In RHawkes: Renewal Hawkes Process
tms R Documentation
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)
RHawkes documentation built on May 5, 2022, 5:06 p.m.
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| tms | R Documentation |
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)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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