Thursday, March 3, 2011

Microstructure

Why did the finance researcher avoid microstructure research at all costs?


It's too TAQy.
Posted by poetrik econometrik at 10:21 AM

1 comment:

  1. poetrik econometrikMarch 3, 2011 at 10:23 AM

    Microstructure research analyzes transactions-level data, which is voluminous and notoriously tedious to work with. This transactions-level data is stored in a database called TAQ (Trade and Quote) [pronounced 'tack'].

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