Caveat Mercator! The code here is provided "as is." I have
tried to post bug-free versions; however, I am not in the business of
providing free technical support for this code. If there is a glaring
error, please let me know; otherwise, the code should be assumed to be
of beta quality.
Perl script to create subset of NBBO file for estimating prevailing NBBO.
Perl script to create trade dataset from Arca files.
Perl script to create out-of-sample dataset from Arca files.
Perl script to get sectors and industries from Yahoo via Internet Wayback Machine.
Perl script to run the derivative-free optimization (to find delay parameters) and use those in fitting a GLMM in R.
Also nice (and more generally useful) is the scatter/contour plot R code I used to
make some of the plots in this article.
The basic idea is to create a scatterplot; but, in areas where the
point density exceeds visual acuity, to instead show contours of point
density. Thus we can still see some detail inside a "cloud" of
points.