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Abstract
NYSE TAQ products provide a comprehensive historical end of day record of all data that was published by the NYSE Group Exchanges' real-time data feeds, including: Depth of book: All bid and offer prices and sizes, Top of book: Information on orders, prices and completed trades, Auction: Details about opening and closing auctions.
Research Area
Financial Markets
Systemic Risk Lab
Keywords
staleness, idle time, liquidity, zero returns, stable convergence, flash crashes, high-frequency traders (hfts), liquidity provision, marketmaking
JEL Classification
G10, G14
Working Paper References
Topic
Fiscal Stability
Consumption
Trading and Pricing
Publication Type
Research Data
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Attribution-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-ShareAlike 4.0 International