10.25375/uct.12315167.v2
Patrick Chang
Patrick
Chang
Etienne Pienaar
Etienne
Pienaar
Tim Gebbie
Tim
Gebbie
Using the Epps effect to detect discrete data generating processes: Julia Code
University of Cape Town
2020
Epps effect
Hawkes process
Statistics
2020-05-20 18:36:15
Software
https://zivahub.uct.ac.za/articles/software/Using_the_Epps_effect_to_detect_discrete_data_generating_processes_Julia_Code/12315167
Julia 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.<div><br></div><div>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.</div><div><br></div><div>The research focuses on empirically determining if correlations are an emerging property in high frequency finance.</div><div><br></div><div>The work was funded by the South African Statistical Association.</div><div><br></div><div>DOI for the code: <a rel="noreferrer noopener" target="_blank">10.25375/uct.12315167</a></div><div><a rel="noreferrer noopener" target="_blank"><br></a></div>