nyse-taq
Here are 3 public repositories matching this topic...
Basic Python library for working with the TAQ (US Trade and Quote) dataset
-
Updated
Sep 4, 2018 - Jupyter Notebook
End-to-end Python replication of 'The Value of Information: A Puzzle' (Kadan et. al, 2026). Estimates equilibrium dollar value of private information in US equity markets via discrete quadratic covariation of 1-min NYSE TAQ price changes & signed order flow. Implements CLNV trade signing, Amihud filtering, 2-way FE regressions, & SDF entropy bounds
-
Updated
May 17, 2026 - Jupyter Notebook
Improve this page
Add a description, image, and links to the nyse-taq topic page so that developers can more easily learn about it.
Add this topic to your repo
To associate your repository with the nyse-taq topic, visit your repo's landing page and select "manage topics."