Abstract
In Chapter 1, we reviewed basic concepts in theoretical and applied market microstructure and detailed the trading mechanisms used in several key exchanges As stated in the introduction, our empirical work focuses on tick-by-tick data for stocks traded on the NYSE. In this chapter, we start by describing the intraday database that is available from this exchange (see Section 2). The Trade And Quote database, also called TAQ database, provides intraday information on the price and quote processes for stocks traded on the NYSE and NASDAQ-AMEX. Although databases featuring financial information have been around for a long time, databases providing intraday information to the general public have only been available since the early nineties. Today, most stock exchanges make available to the general academic community the (more or less) complete record of their intraday activity. The release of this kind of information has given rise to a substantial amount of empirical research conducted on the trading mechanisms, the intraday characteristics of the markets (liquidity, volatility), and the price formation process. While intraday databases provide researchers with a substantial amount of valuable information, we also highlight some of the potential problems that arise when dealing with these databases due to the specific nature of these data.
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