Using the Epps effect to detect discrete data generating processes: Julia Code

Julia Pro code to aid reproducibility of the paper: Using the Epps effect to detect discrete data generating processes. Detailed steps for reproducibility can be found in the READ.me document.<div><br></div><div>The code include several functions, scripts and test cases. Included are also the resulting plots for the paper and pre-computed results to speed up reproducibility.</div><div><br></div><div>The research focuses on empirically determining if correlations are an emerging property in high frequency finance.</div><div><br></div><div>The work was funded by the South African Statistical Association.</div><div><br></div><div>DOI for the code: <a rel="noreferrer noopener" target="_blank">10.25375/uct.12315167</a></div><div><a rel="noreferrer noopener" target="_blank"><br></a></div>