Replication code and data for "Algorithmic Pricing and Liquidity in Securities Markets"

Replication code and data for the paper "Algorithmic Pricing and Liquidity in Securities Markets". The folder "REPLICATION PACKAGE - CODE ONLY" only includes the codes we used. The figures and tables of the paper can be replicated (with minor discrepancies due to Monte Carlo simulations) by running all the codes. The folder "REPLICATION PACKAGE - CODE AND DATA" includes both the codes we used and the data we simulated and on which the figures are based.