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      • Valuations: Daily TNA and net flow by fund and fund share class
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Data Center
  • SHoF Data center – a national mission
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  • FinBas
  • Historical Archives
  • NASDAQ HFT
    • Reconstructed Order Book
    • Nordic Market Quality
  • Nordic Compass, SHoF's ESG Database
  • PAtLink
  • Serrano
  • SHoF Fund Data Morningstar
  • News

Nordic Market Quality

Based on the paper "Measuring Financial Market Quality in High-Frequency Data" by Björn Hagströmer, this query will output the trade-based and quote-based market quality measures for the selected instrument across the selected week.

The output will be CSV files.

Access the dataset

If you're at an SSE venue and having trouble accessing data, switch from Eduroam to SSE Guest and report the issue to Student IT Support: sits@hhs.se

Link opens in a new page.

Database available for SSE students and staff, as well as to the Swedish Academic Community through SWAMID.

When using this database, please refer to:

Hagströmer, Björn. “Measuring Financial Market Quality in High-Frequency Data.” Swedish House of Finance Research Data Center. Accessed September 7, 2022. https://data.houseoffinance.se/.

Questions

For further information or questions regarding our datasets, please refer to our support website →

Funded by Nasdaq
Article: Discover the Nordic Market Quality database: Making financial markets research more feasible

Professor Björn Hagströmer has prompted the development of the Nordic Market Quality database (NMQ). In this interview he explains why financial market microstructure research is important for shaping the future of financial markets, and how NMQ can provide masters students and other academics with exciting research and development opportunities in the field.

Read more

Article: The Retail Investment Boom and the Cost of Trading Small Stocks

At first blush, stock trading is dirt cheap. But in addition to the fees presented at the broker’s execution reports, retail traders typically pay the bid-ask spread. For small stocks, this implicit cost is on average more than double the commission fee. This article discusses why small stocks are expensive to trade, what the implications for traders are, and how the market structure can be changed to reduce the costs.

Read more

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    • Objectives
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    • Partners
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    • Annual reports
    • Women in Finance
  • Research
    • Academic Seminars
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    • Research in the spotlight
    • Disclosure policy
  • National PhD program
    • Core courses
    • Mini courses
    • PhD visitor program
    • National PhD conferences
    • PhD Seminars
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    • PhD Placements
  • Outreach
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    • Industry seminars
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    • Data Visualizations
  • Data Center
    • SHoF Data center – a national mission
    • Fama French Factors
    • FinBas
    • Historical Archives
    • NASDAQ HFT
      • Reconstructed Order Book
      • Nordic Market Quality
    • Nordic Compass, SHoF's ESG Database
    • PAtLink
    • Serrano
    • SHoF Fund Data Morningstar
    • News

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