PCIJAPTG-A2XvsJSE.zip (5.17 MB)

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

Download (5.17 MB)
posted on 08.11.2020, 07:43 by Ivan Jericevich, Patrick Chang, Tim 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


South African Statistical Association



Statistical Sciences

Usage metrics

Faculty of Science