PCEPTG-EC.zip (7.86 MB)
Using the Epps effect to detect discrete data generating processes: Julia Code
Version 3 2020-08-25, 18:05
Version 2 2020-05-20, 18:36
Version 1 2020-05-20, 17:41
software
posted on 2020-08-25, 18:05 authored by Patrick ChangPatrick Chang, Tim GebbieTim Gebbie, Etienne PienaarEtienne PienaarJulia Pro code to aid reproducibility of the paper: Using the Epps effect to detect discrete data generating processes. Detailed steps for reproducibility can be found in the READ.me document.
The code include several functions, scripts and test cases. Included are also the resulting plots for the paper and pre-computed results to speed up reproducibility.
The research focuses on empirically determining if correlations are an emerging property in high frequency finance.
The work was funded by the South African Statistical Association.
DOI for the code: 10.25375/uct.12315167
