Software: Stylized Fact Plots for Mid-Price Path Time Series

A Julia package stored in a GitHub repository that plots a set of stylised fact plots for a given mid-price path time series.

There are 6 stylised fact plots that can be generated, either individually or in one 2x3 plot matrix. The stylised fact plots are:

- Mid-price path plot. Line plot of the mid-price over time.

- Log returns. Line plot of the log returns calculated from the mid-price path.

- QQ log returns plot. Quantile-Quantile plot of log returns against a Normal distribution with parameters estimated from the data.

- Order flow auto-correlation. Order direction is inferred using the Tick Rule and the auto-correlation function of the order flow time series is generated.

- Log returns auto-correlation function. The auto-correlation function of the log return time series.

- Absolute log returns auto-correlation function. The auto-correlation function of the absolute log return time series.