| File Information |
| Description |
This submission includes functions and scripts for the estimation and simulation of ACD (autoregressive conditional duration) models.
The zip file includes:
- Scripts and functions for Estimation of an ACD(q,p) model with exponential or weibull distribution
- Scripts and functions for Simulation of an ACD(q,p) model with exponential or weibull distribution
- Scripts for cool plots/movies of weibull, burr and generalized gamma distributions.
- Scripts and functions for visualizing the log likelihood space of the model (the figure showed at file submission)
References:
ENGLE, R, RUSSEL. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica, Vol. 66, N. 5, pp 1127-1162, 1998.
DUFOUR, A., ENGLE, R. The ACD Model: Predictability of the Time between Consecutive Trades. ICMA – Discussion Papers in Finance, n. 5, 2000.
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| Acknowledgements |
This submission has inspired the following:
Simulate a Hawkes process
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| Required Products |
Statistics Toolbox
Optimization Toolbox
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| MATLAB release |
MATLAB 7.2 (R2006a)
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| Zip File Content |
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| Other Files |
ACD_Models_FEX/ACD Estimation and Simulation/data.txt, ACD_Models_FEX/ACD Estimation and Simulation/Example_Data.mat, ACD_Models_FEX/ACD Estimation and Simulation/Example_Script_ACD_1_1_Fit.m, ACD_Models_FEX/ACD Estimation and Simulation/Example_Script_ACD_1_1_Fit_with_Indep.m, ACD_Models_FEX/ACD Estimation and Simulation/Example_Script_ACD_1_1_Simul.m, ACD_Models_FEX/ACD Estimation and Simulation/Example_Script_ACD_1_1_Simul_and_Fit.m, ACD_Models_FEX/ACD Estimation and Simulation/Example_Script_ACD_2_2_Fit.m, ACD_Models_FEX/ACD Estimation and Simulation/Example_Script_ACD_2_2_Simul.m, ACD_Models_FEX/ACD Estimation and Simulation/Example_Script_ACD_2_2_Simul_and_Fit.m, ACD_Models_FEX/ACD Estimation and Simulation/Example_Script_ACD_Likelihood_Plot.m, ACD_Models_FEX/ACD Estimation and Simulation/mFiles_ACD/ACD_Fit.m, ACD_Models_FEX/ACD Estimation and Simulation/mFiles_ACD/ACD_Lik.m, ACD_Models_FEX/ACD Estimation and Simulation/mFiles_ACD/ACD_Simul.m, ACD_Models_FEX/ACD Estimation and Simulation/mFiles_ACD/confuneq.m, ACD_Models_FEX/ACD Estimation and Simulation/mFiles_ACD/getvarMatrix_ACD.m, ACD_Models_FEX/ACD Estimation and Simulation/mFiles_ACD/plotLikelihoodFunct.m, ACD_Models_FEX/Cool Plots/Distribution Plots/Plot_Dist3d_BURR_MOVIE.m, ACD_Models_FEX/Cool Plots/Distribution Plots/Plot_Dist3d_GGAMMA_MOVIE.m, ACD_Models_FEX/Cool Plots/Distribution Plots/Plot_Dist3d_WEIBULL.m, license.txt
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| Comments and Ratings (2) |
| 20 Nov 2007 |
si pal
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| 26 Nov 2007 |
Zahid Khan
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| Updates |
| 19 Nov 2007 |
* Added error checking lines and also a few other things |
| 06 Dec 2007 |
*Fixed a bug at ACD_Fit when p~=q |
| 10 Dec 2007 |
Vectorization of likelihood function. In my tests I got speed improvement over 80% when comparing to unvectorized version, which is quite impressive... |
| 10 Dec 2007 |
Changed subject of code (from "general" to "financial modeling") |
| 11 Aug 2008 |
Added standard error calculation |
| 15 Aug 2008 |
Added the possibility of adding independent variables in the model. |
| 22 May 2009 |
Fixed bug in screen output |
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