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Market Microstructure Research Databases: History and Projections

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  • Wood, Robert A

Abstract

This article presents a partial history of the development of transactions databases of securities prices. The availability of these databases, which in part were funded by the National Science Foundation, has fueled the rapid growth of market microstructure research as a discipline within financial economics. Furthermore, the article examines the accelerating growth of securities trading and examines the implication of this growth for empirical microstructure research.

Suggested Citation

  • Wood, Robert A, 2000. "Market Microstructure Research Databases: History and Projections," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 140-145, April.
    • Handle: RePEc:bes:jnlbes:v:18:y:2000:i:2:p:140-45
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    Cited by:

    1. Henryk Gurgul & Robert Syrek, 2017. "Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 87-102.
    2. Han Lin Shang & Kaiying Ji, 2023. "Forecasting intraday financial time series with sieve bootstrapping and dynamic updating," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1973-1988, December.
    3. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
    4. McCulloch Robert E. & Tsay Ruey S., 2001. "Nonlinearity in High-Frequency Financial Data and Hierarchical Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-18, April.

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