├── .gitignore ├── .readthedocs.yml ├── CITATION.md ├── README.md ├── docs ├── Makefile └── source │ ├── 01_taq_responses_physical.rst │ ├── 02_taq_physical_shift.rst │ ├── 03_taq_responses_physical_shift.rst │ ├── 04_taq_responses_trade.rst │ ├── 05_taq_trade_shift.rst │ ├── 06_taq_responses_trade_shift.rst │ ├── 07_taq_responses_activity.rst │ ├── 08_taq_responses_physical_short_long.rst │ ├── 09_taq_avg_spread.rst │ ├── 10_taq_avg_responses_physical.rst │ ├── 11_taq_statistics.rst │ ├── conf.py │ └── index.rst ├── paper ├── algorithms │ ├── 03_response_implementation.py │ ├── 04_shift.py │ ├── 05_short_long.py │ └── 06_spread_impact.py ├── financial_response_spread_year_paper │ ├── 2020_11_05.pdf │ ├── 2021_02_22.pdf │ ├── Henao-Londono_et_al-2021-The_European_Physical_Journal_B.pdf │ ├── bib.bib │ ├── cover letter.odt │ ├── e-proof.pdf │ ├── figures │ │ ├── 02_relation_trades_quotes_time_scale.png │ │ ├── 02_relation_trades_quotes_trade_scale.png │ │ ├── 02_return_contributions.png │ │ ├── 03_response_comparison_2008_GSi_CMEj.png │ │ ├── 03_responses_physical_scale_2008.png │ │ ├── 03_responses_trade_scale_2008.png │ │ ├── 04_shift_physical_RIG_APA.png │ │ ├── 04_shift_responses_physical.png │ │ ├── 04_shift_responses_trade.png │ │ ├── 04_shift_trade_RIG_APA.png │ │ ├── 05_short_long_GOOG_MA.png │ │ ├── 05_tau_short_long.png │ │ └── 06_spread_impact_2008.png │ ├── graphical_abstract.png │ ├── main.tex │ ├── publishing_agreement.pdf │ ├── response revised manuscript.odt │ ├── response revised manuscript.pdf │ ├── sections │ │ ├── 01_title.tex │ │ ├── 02_abstract.tex │ │ ├── 03_introduction.tex │ │ ├── 04_data.tex │ │ ├── 05_response_definitions.tex │ │ ├── 06_response_implementations.tex │ │ ├── 07_time_shift.tex │ │ ├── 08_short_long.tex │ │ ├── 09_spread_impact.tex │ │ ├── 10_conclusion.tex │ │ ├── 11_paper_contributions.tex │ │ └── 12_appendix_A.tex │ ├── setup │ │ ├── hyphenations.tex │ │ └── preamble.tex │ ├── svepj.clo │ └── svjour.cls ├── paper_figures.svg ├── references_text.md └── tables_stocks.lyx ├── project ├── dissmissed │ ├── taq_responses_event_trades_minute │ │ └── taq_algorithms │ │ │ ├── __init__.py │ │ │ ├── taq_data_analysis_responses_event_trades_minute.py │ │ │ ├── taq_data_main_responses_event_trades_minute.py │ │ │ ├── taq_data_plot_responses_event_trades_minute.py │ │ │ └── taq_data_tools_responses_event_trades_minute.py │ └── taq_responses_time_trades_minute │ │ └── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_responses_time_trades_minute.py │ │ ├── taq_data_main_responses_time_trades_minute.py │ │ ├── taq_data_plot_responses_time_trades_minute.py │ │ └── taq_data_tools_responses_time_trades_minute.py ├── itch_trade_classification │ ├── c++_implementation │ │ ├── filter_test_tradesign_corr.cpp │ │ ├── filter_test_tradesign_ori.cpp │ │ ├── func.hpp │ │ └── signprob.cpp │ ├── data │ │ ├── itch_trade_classification_physical_20080107_AAPL_corr.txt │ │ ├── itch_trade_classification_physical_20080602_AAPL_corr.txt │ │ ├── itch_trade_classification_physical_20080602_AAPL_ori.txt │ │ ├── itch_trade_classification_trade_20080107_AAPL_corr.txt │ │ ├── itch_trade_classification_trade_20080602_AAPL_corr.txt │ │ └── itch_trade_classification_trade_20080602_AAPL_ori.txt │ ├── itch_algorithms │ │ ├── __init__.py │ │ ├── itch_trade_sign_classification_exp.ipynb │ │ └── itch_trade_sign_classification_test.py │ └── stats_trade_sign_classification.csv ├── taq_avg_responses_physical │ └── taq_algorithms │ │ ├── __init__.py │ │ ├── stocks.txt │ │ ├── stocks_all.txt │ │ ├── taq_data_analysis_avg_responses_physical.py │ │ ├── taq_data_main_avg_responses_physical.py │ │ ├── taq_data_plot_avg_responses_physical.py │ │ └── taq_data_tools_avg_responses_physical.py ├── taq_avg_spread │ ├── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_avg_spread.py │ │ ├── taq_data_main_avg_spread.py │ │ └── taq_data_tools_avg_spread.py │ ├── taq_avg_spread_2008.csv │ └── taq_avg_spread_2008_all.csv ├── taq_intermediate_results │ └── taq_algorithms │ │ ├── taq_data_plot_responses_time_shift.py │ │ ├── taq_heat_map_responses_time_shift.py │ │ ├── taq_response_Ejd_Njd.py │ │ ├── taq_response_comparison.py │ │ ├── taq_time_shift_plot.py │ │ ├── taq_weights.py │ │ └── weight_AAPL.pickle ├── taq_physical_shift │ └── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_physical_shift.py │ │ ├── taq_data_main_physical_shift.py │ │ ├── taq_data_plot_physical_shift.py │ │ └── taq_data_tools_physical_shift.py ├── taq_responses_activity │ └── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_responses_activity.py │ │ ├── taq_data_main_responses_activity.py │ │ ├── taq_data_plot_responses_activity.py │ │ └── taq_data_tools_responses_activity.py ├── taq_responses_physical │ ├── taq_algorithms │ │ ├── TAQ_extraction.sh │ │ ├── __init__.py │ │ ├── taq_data_analysis_responses_physical.py │ │ ├── taq_data_main_responses_physical.py │ │ ├── taq_data_plot_responses_physical.py │ │ └── taq_data_tools_responses_physical.py │ └── taq_comparison_intermediate_results │ │ ├── analysis │ │ ├── paper_results_accuracy.ipynb │ │ └── returns_comparison.ipynb │ │ └── data │ │ ├── AAPL_AAPL_2008_RDC_L=1000.txt │ │ ├── AAPL_CVX_2008_RDC_L=1000.txt │ │ ├── AAPL_GS_2008_RDC_L=1000.txt │ │ ├── AAPL_JPM_2008_RDC_L=1000.txt │ │ ├── AAPL_MSFT_2008_RDC_L=1000.txt │ │ ├── AAPL_XOM_2008_RDC_L=1000.txt │ │ ├── FilterTestInfo_20080107_AAPL.txt │ │ ├── FilterTestInfo_20080602_AAPL.txt │ │ ├── GS_GS_2008_RDC_L=1000.txt │ │ ├── GS_JPM_2008_RDC_L=1000.txt │ │ ├── MSFT_AAPL_2008_RDC_L=1000.txt │ │ ├── MSFT_MSFT_2008_RDC_L=1000.txt │ │ ├── XOM_CVX_2008_RDC_L=1000.txt │ │ ├── XOM_XOM_2008_RDC_L=1000.txt │ │ ├── midpoint_physical_scale_AAPL.txt │ │ ├── midpoint_physical_scale_MSFT.txt │ │ ├── midpoint_trade_scale_AAPL.txt │ │ ├── midpoint_trade_scale_MSFT.txt │ │ ├── trade_signs_physical_scale_AAPL.txt │ │ ├── trade_signs_physical_scale_MSFT.txt │ │ ├── trade_signs_trade_scale_AAPL.txt │ │ ├── trade_signs_trade_scale_MSFT.txt │ │ ├── transactions_20080107_AAPL.txt │ │ └── transactions_20080602_AAPL.txt ├── taq_responses_physical_shift │ └── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_responses_physical_shift.py │ │ ├── taq_data_main_responses_physical_shift.py │ │ ├── taq_data_plot_responses_physical_shift.py │ │ └── taq_data_tools_responses_physical_shift.py ├── taq_responses_physical_short_long │ └── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_responses_physical_short_long.py │ │ ├── taq_data_main_responses_physical_short_long.py │ │ ├── taq_data_plot_responses_physical_short_long.py │ │ └── taq_data_tools_responses_physical_short_long.py ├── taq_responses_trade │ └── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_responses_trade.py │ │ ├── taq_data_main_responses_trade.py │ │ ├── taq_data_plot_responses_trade.py │ │ └── taq_data_tools_responses_trade.py ├── taq_responses_trade_shift │ └── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_responses_trade_shift.py │ │ ├── taq_data_main_responses_trade_shift.py │ │ ├── taq_data_plot_responses_trade_shift.py │ │ └── taq_data_tools_responses_trade_shift.py ├── taq_statistics │ ├── taq_algorithms │ │ ├── __init__.py │ │ ├── taq_data_analysis_statistics.py │ │ ├── taq_data_main_statistics.py │ │ └── taq_data_tools_statistics.py │ ├── taq_midpoint_year_statistics_data_sectors.csv │ └── taq_quotes_trades_year_statistics_data_sectors.csv └── taq_trade_shift │ └── taq_algorithms │ ├── __init__.py │ ├── taq_data_analysis_trade_shift.py │ ├── taq_data_main_trade_shift.py │ ├── taq_data_plot_trade_shift.py │ └── taq_data_tools_trade_shift.py └── requirements.txt /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/juanhenao21/financial_response_spread_year/HEAD/.gitignore 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