相关数据集
AAPL 11/7/2022 - Nasdaq TotalView ITCH
This dataset captures detailed trading activity for Apple Inc. on Nasdaq, documenting all limit orders across ten price levels for both bids and asks, complete with precise nanosecond timestamps.
Figshare2024-07-03 更新150
Quantifying the High-Frequency Trading "Arms Race"
We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as latency arbitrage. The key difference between message data and widely-familiar limit order book d
NBER2021-07-01 更新120
Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System
This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot for
NBER2006-08-01 更新140
Replication Data for: Order Book Queue Hawkes-Markovian Modeling
Replication Data for: Order Book Queue Hawkes-Markovian Modeling. Manuscript available at https://arxiv.org/abs/2107.09629.
NIAID Data Ecosystem60
