This is the accompanying code to the model developed in Greenwood, Hanson and Liao (2018, RFS).

First version: August 2013

RFS final version: October 2017

Refactored version (for python 3): January 2023

Note: this program is tested on 3.8.5 version of python. The code was refactored from previous version based on Python 2.7. Not all code refactoring might have been tested/completed.

Please cite code as accompanying material to Greenwood, R., Hanson, S.G. and Liao, G.Y., 2018. Asset price dynamics in partially segmented markets. The Review of Financial Studies, 31(9), pp.3307-3343.