Julia code: Comparing the market microstructure between two South African exchanges

Julia code for algorithm verification for the paper titled: "Comparing the market microstructure between two South African exchanges".<div><div><div><br></div><div>Instructions for testing can be found in the README.md document.</div><div><br></div><div>The code contains data cleaning scripts which should be used before running the analysis scripts. Further included are the plots made using the full data set.</div><div><br></div><div>The paper compares stylised facts of the same security between the two exchanges and also compares the immediate price impact and cost of trading between the two exchanges.</div></div></div><div><br></div><div>The work as funded by the South African Statistical Association.</div><div><br></div><div>We are grateful for A2X for providing us with historic data from the A2X exchange. </div><div><br></div><div>A partial dataset for verification can be found here: https://figshare.com/articles/dataset/_/13187591</div>