Data · dataset · 2024
Intraday Indicators by WRDS
Listed in UC Berkeley Library Dataverse
Intraday Indicators by WRDS (IID) contains daily stock market indicators calculated using NYSE TAQ data.
Description
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.
Read the rest (2 more)
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.
Links
Where it is published
- Dataverse dataset page datasets.lib.berkeley.edu/dataset.xhtml?persistentId=doi%3A10.60503%2FD3%2FPQKQRX ↗
landing page · from datasets lib berkeley edu
- DOI doi.org/10.60503/d3/pqkqrx ↗
DOI / persistent id · from datasets lib berkeley edu
Catalogue records · 1
- Dataverse API datasets.lib.berkeley.edu/api/datasets/:persistentId/?persistentId=doi%3A10.60503%2FD3%2… ↗
metadata API · from datasets lib berkeley edu
Topics
- Stated by source
- Business and Management
- From keywords
- Economics & Finance
Provenance · 1 source records, 8 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| UC Berkeley Library Dataverse | doi:10.60503/D3/PQKQRX | 11 d ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| concepts[field].dataverse_subject:business-and-management | source · datasets lib berkeley edu | connector:datasets_lib_berkeley_edu@1.0.0 | /subjects |
| concepts[field].local:field:economics-finance | mapping · datasets lib berkeley edu | connector:datasets_lib_berkeley_edu@1.0.0 | /subjects |
| created_date | source · datasets lib berkeley edu | connector:datasets_lib_berkeley_edu@1.0.0 | |
| description | source · datasets lib berkeley edu | connector:datasets_lib_berkeley_edu@1.0.0 | /description |
| publication_date | source · datasets lib berkeley edu | connector:datasets_lib_berkeley_edu@1.0.0 | |
| title | source · datasets lib berkeley edu | connector:datasets_lib_berkeley_edu@1.0.0 | /name |
| updated_date | source · datasets lib berkeley edu | connector:datasets_lib_berkeley_edu@1.0.0 | |
| version_label | source · datasets lib berkeley edu | connector:datasets_lib_berkeley_edu@1.0.0 |