Lewen, Guo's repositories
binance-public-data
Details on how to get Binance public data
Language:Python000
ESBias
ReplicationCode for Bias in the effective bid-ask spread (JFE, 2021)
Language:Python000
ITCH
This repository contains three modules, process, itch_summary, and lob. Process.py is the module to work on raw ITCH 5.0 file and convert it to different message types. ITCH_summary and lob are the modules to rebuild the limited order book.
Language:Python000
market_invariance
This repository contains the code for the paper, An investigation of market invariance for the Tokyo Stock Exchange.
Language:Stata000