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Financial Data Databases

About this database

Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), the Nasdaq National Market System (NMS), and all other U.S. equity exchanges.

TAQ is the primary database for intraday market research. With TAQ, a researcher can perform such analyses as daily volatility estimation, probability of informed trading, short-term impact of breaking news, back-testing of intraday trading strategies, and assessment of programmed trading protocols.