asharechips - Estimate Holding Cost Distributions for Chinese Equities
Estimates holding-cost distributions of mainland Chinese
A-share equities from daily price, volume, amount and turnover
data. Implements the linear turnover-based cost-distribution
recurrence of Liu and Wang (2018)
<doi:10.1016/j.physa.2017.11.154>, and adds a package-specific
exponential-retention alternative and price-allocation choices.
Provides optional adjustment factors and initial distributions,
offline preparation of 'Tushare' tables, weighted cost
summaries and diagnostics for reproducible sensitivity
analysis.