This repository contains the R code for the empirical study presented in the article "Nonparametric estimation for trawl processes: Theory and Applications" by Orimar Sauri (Aalborg University) and Almut Veraart (Imperial College London).
The file "EmpiricalStudy-Rev1.R" contains the code used in the empirical study of the first revision of the article (version from 2024). The data used in the analysis has been obtained from LOBSTER, see https://lobsterdata.com/, and is not publically available.
The file "EmpiricalStudy-ForArticle-Rcode.R" reproduces all the empirical results from the first version of the article (version from 2022).
We would like to thank the Center for Research in Econometric Analysis of Time Series (CREATES) at Aarhus University, Denmark, for providing the dataset used in the first version of the article and Mikkel Bennedsen for preprocessing, cleaning and subsampling the high-frequency data for the first version of the article.