I have been playing around with autoregressive conditional duration (ACD) models and I have a nicely working R based implementation using real high frequency data (trades only data).

However, what's the point with modelling duration between trades? Or even volume durations?

Any idea how this stuff could be used in practice? I would like to make a Master's thesis out of this.


1 Answer 1


If you haven't already, I would check out Nikolaus Hautsch's book: Modelling Irregularly Spaced Financial Data [1]. I have just started reading it, but it looks like he devotes a good portion of the book to going through real world applications of ACD models.

I work at a market maker and spend a bit of my time analyzing our liquidity, so I thought it could be worth looking at ACD models. Would you mind sharing your R code, btw?

[1] http://www.amazon.com/Modelling-Irregularly-Spaced-Financial-Data/dp/3540211349


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