Replication Package for “True Liquidity and Fundamental Prices: U.S. Tick Size Pilot”
Description
This dataset contains MATLAB codes, supporting datasets, and replication materials for the paper “True Liquidity and Fundamental Prices: Evidence from the U.S. Tick Size Pilot.” The package includes: (i) simulation code validating the paper’s variational inference (VI) methodology; (ii) VI estimation code using TAQ-level data to estimate latent true prices, true spreads, and related liquidity measures while accounting for price discreteness and rounding effects; and (iii) empirical regression code reproducing the paper’s main tables. The replication package additionally includes custom MATLAB subroutines required to run the estimation procedures and supporting datasets for both equal-weighted and share-weighted empirical specifications. Please refer to the accompanying PDF documentation for detailed descriptions of the codes, variables, datasets, and TAQ licensing restrictions.
Files
Institutions
- University of HoustonTexas, Houston
- Emory UniversityGeorgia, Atlanta