This jupyter (Python 2) notebook presents:
Code for the six bias-corrected estimators developed in Dove, Heath and Heaton (2017), Bias-Corrected Estimation of Price Impact in Securities Litigation.
Replication code for all figures and tables in the paper.
You can view the notebook with inline graphs and tables here.
Running the notebook requires the packages: pandas, numpy, matplotlib, seaborn, pylab, scipy, math