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) , 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.