TAQ

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Abstract
NYSE Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues.
Research Area
Financial Markets
Keywords
extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization, network theory, centrality, high frequency data, etfs, financial crises, covid-19, international finance, government communication, social media, twitter, machine learning
JEL Classification
G11, G12, G13, G17, G10, G14, C58
Working Paper References
Topic
Consumption
Saving and Borrowing
Systematic Risk
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