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OpenSourceAP / CrossSection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626
GNU General Public License v2.0
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Faster and easier HF trading costs #53

Closed chenandrewy closed 2 years ago

chenandrewy commented 2 years ago

@velikov-mihail and I updated our HF trading cost code so it just takes an hour to run, provided that one has access to WRDS intraday indicators:

https://github.com/chenandrewy/hf-spreads-all

we should link to this instead of the old code that takes weeks to run.

chenandrewy commented 2 years ago

incorporated now with 29fe27fb6e8646e67421a338c37ffb37cec73fc6