This jupyter (Python 2) notebook presents:
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Code for the six bias-corrected estimators developed in Dove, Heath and Heaton (2017), Bias-Corrected Estimation of Price Impact in Securities Litigation.
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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
... all of which come with a good free scientific Python distro such as Anaconda or Enthought.