PCEPTG-MSC.zip (172.27 MB)

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

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posted on 24.08.2020 by Patrick Chang, Etienne Pienaar, Tim Gebbie
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.

Instructions for reproducibility can be found in the README.md document.

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.

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.

The work was funded by the South African Statistical Association.

The datasets used in the dissertation can be found here:

Funding

South African Statistical Association

History

Department/Unit

Statistical Sciences

Licence

Exports