/PLN currency pair. Our contribution to the existing literature is twofold. We generalize the Asymmetric ACD model (AACD) of Bauwens … according to the level of order aggressiveness. We show how to simulate from the proposed Multistate Asymmetric ACD model, which …

empirical application of the Asymmetric ACD model for the durations between submissions of market or best limit orders on the …