Retail Trader Sophistication and Stock Market Quality Dataset and Code
This is the replication code and data used in Eaton, Green, Roseman, and Wu "Retail Trader Sophistication and Stock Market Quality: Evidence from Brokerage Outages", forthcoming at the Journal of Financial Economics. For data that is licensed, such as CRSP and TAQ, sample datafiles are used with meaningless numbers.
Steps to reproduce
Change the file path (line 24 of the .py file) to match the destination of the unzipped folder.