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Estimation and Simulation of ACD models in MatLab

16 Nov 2007 (Updated 22 May 2009)

Functions and Scripts for Simulation and Estimation of ACD models

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.
Acknowledgements	This submission has inspired the following: Simulate a Hawkes process
Required Products	Statistics Toolbox Optimization Toolbox
MATLAB release	MATLAB 7.2 (R2006a)
Zip File Content
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

Tags for This File
Everyone's Tags	acd models(2), analysis, duration, finance(2), financial econometrics, modeling, point process
Tags I've Applied
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Comments and Ratings (2)
20 Nov 2007	si pal	Very useful. Thanks for sharing the codes.
26 Nov 2007	Zahid Khan	Thank you Marcelo! It was indeed very helpful in understanding those papers.

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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

Tag Activity for this File
Tag	Applied By	Date/Time
finance	Marcelo Perlin	22 Oct 2008 09:35:39
modeling	Marcelo Perlin	22 Oct 2008 09:35:39
analysis	Marcelo Perlin	22 Oct 2008 09:35:39
acd models	Marcelo Perlin	22 Oct 2008 09:35:39
point process	Marcelo Perlin	22 Oct 2008 09:35:39
duration	Marcelo Perlin	22 Oct 2008 09:35:39
financial econometrics	Marcelo Perlin	22 Oct 2008 09:35:39
finance	Greg Bacon	22 May 2009 10:57:46
acd models	Daniel Cuervo	23 Sep 2009 02:54:35

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