Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform: Dataset
datasetposted on 25.08.2020 by Patrick Chang, Tim Gebbie, Etienne Pienaar
Datasets usually provide raw data for analysis. This raw data often comes in spreadsheet form, but can be any collection of data, on which analysis can be performed.
Dataset to aid reproducibility for the paper: Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform.
Data consists of Trade and Quote data for 10 equities from the Johannesburg Stock Exchange. The data has been processed to contain only the Automated Trade (AT) types. Furthermore, trades with the same time-stamp has been aggregated to using a volume weighted average so that there is only one trade per time-stamp. Missing data is indicated with NaN's.
DOI for the code: 10.25375/uct.11929290