Intraday Indicators by WRDS
收藏DataCite Commons2024-09-09 更新2025-04-16 收录
下载链接：
https://datasets.lib.berkeley.edu/citation?persistentId=doi:10.60503/D3/PQKQRX
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资源简介：
Intraday Indicators by WRDS (IID) contains daily stock market indicators calculated using NYSE TAQ data. At daily frequency, the WRDS IID provides per-stock variables such as liquidity spreads, intraday volatility, Kyle's Lambda, and summaries such as market open to close, volumes and returns, etc. The objective is to facilitate research by overcoming extensive programming time and users’ computational limitations on calculating these indicators using complex TAQ data. Another advantage is the ability to use many of these variables as “right-hand-side” variables. Intraday Indicators by WRDS requires a license to NYSE TAQ data. (Second-timestamped) Intraday Indicators is developed for Monthly TAQ and covers from 1993 to 2014. Millisecond(-timestamped) Intraday Indicators is built on Daily TAQ and starts in 2003. Please view WRDS data terms of service prior to use. To learn more about WRDS at UC Berkeley, visit the Wharton Research Data Services library guide. Visit Wharton Research Data Services to create a login and use the data.
提供机构：
UC Berkeley Library Dataverse
创建时间：
2024-09-09
