Transactions Data in FX Markets
- Click here for a review of existing
FX data sets in the literature (PDF).
- Click here for the DM/$ transactions
data (direct interdealer) used in "Tests of Microstructural Hypotheses
in the FX Market" (JFE 1995) by R. Lyons
- Click here
for the daily DM/$ and Yen/$ transactions data (direct interdealer)
used in "Order Flow and Exchange Rate Dynamics" (JPE 2002) by
M. Evans and R. Lyons. Note: the “order flow” series is cumulative
order flow, which needs to be first differenced to reproduce the
regression results in Table 1 of the published paper.
- Click here
for a link to access daily transactions data (direct interdealer)
for nine currency pairs against the dollar used in "Informational
Integration and FX Trading " (JIMF 2002) by M. Evans and R. Lyons.
- Click here
for a link that provides access to the five-minute DM/$ transactions
data (direct interdealer) used in "FX Trading and Exchange Rate
Dynamics" (JF 2002) by M. Evans.
- Click here
for a link that provides access to all the raw transactions data
(direct interdealer) for nine currency pairs against the dollar
(used to build the three preceding datasets).
- Click here
for information on ordering one week of 1997 transactions data
(brokered interdealer) from Professor Charles Goodhart at the
Financial Markets Group at the London School of Economics.
- Click here
for information on the NYSE's transaction database called TORQ
(for Trades, Orders, and Quotes), which covers 144 stocks over
three months (Nov. 1990 to Jan. 1991). This information is from
Professor Joel Hasbrouck's website at NYU.
Correspondence
Richard
K. Lyons
Former Dean, Haas School
of Business
U.C. Berkeley
Berkeley, CA
94720-1900
Tel: 510-642-1059, Fax: 510-642-4700
lyons@haas.berkeley.edu.
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Richard K. Lyons
Former Dean, Haas School of Business
U.C. Berkeley
Berkeley, CA 94720-1900
Tel: 510-642-1059
Fax: 510-642-4700
lyons@haas.berkeley.edu
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