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  • Swedish House of Finance
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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
  • Terms and conditions
  • Academic advisory group
  • 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

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 →

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