PCIJAPTG-A2XvsJSE.zip (5.17 MB)
Julia code: Comparing the market microstructure between two South African exchanges
softwareposted on 2020-11-08, 07:43 authored by Ivan JericevichIvan Jericevich, Patrick ChangPatrick Chang, Tim GebbieTim Gebbie
Julia code for algorithm verification for the paper titled: "Comparing the market microstructure between two South African exchanges".
Instructions for testing can be found in the README.md document.
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.
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.
The work as funded by the South African Statistical Association.
We are grateful for A2X for providing us with historic data from the A2X exchange.
A partial dataset for verification can be found here: https://figshare.com/articles/dataset/_/13187591