Pseudo data and regressions code for "When Large Traders Create Noise", in the folder "/R/". Mathematica code for "When Large Traders Create Noise", in the folder "/Mathematica/".
Steps to reproduce
To reproduce the R regressions, make sure that the data files "info_pseudo.dta" and "KLD_compustat_pseudo.dta" are in the same folder with the R code "GK_analysis_clean_JFE.R" . Then, execute all lines of the code in"GK_analysis_clean_JFE.R" To reproduce the graphs, simply execute all cells in the corresponding mathematica files ("clean wl n plot.nb" for Figure 2 and "I_FPE_plot .nb" for Figure 3)