High-frequency correlation dynamics: Is the Epps effect a bias? - Julia Code

Julia code to aid reproducibility of Patrick Chang's Master's dissertation titled: "High-frequency correlation dynamics: Is the Epps effect a bias?" Supervised by Tim Gebbie and Etienne Pienaar. <div><br></div><div>Instructions for reproducibility can be found in the README.md document.</div><div><br></div><div>The code contains the various functions used throughout the dissertation and script files to recover the results. Further included are some computed data, plots and GIFs.</div><div><br></div><div>The dissertation ties together and extends the suite of pre-prints written investigating whether the Epps effect is a bias or if correlations in the financial market are an emerging property of the time-scale.</div><div><br></div><div>The work was funded by the South African Statistical Association.</div><div><br></div><div>The datasets used in the dissertation can be found here:</div><div><br></div><div><p><a href="https://doi.org/10.25375/uct.11903442">10.25375/uct.11903442</a></p><p><br></p><p><a href="https://doi.org/10.25375/uct.12315092">10.25375/uct.12315092</a></p></div>