TAQ for Teaching

Abstract

TAQ stands for the Trade and Quote Database and the time stamps of either second (MTAQ) or millisecond (DTAQ). The research area by using TAQ is called Market Microstructure. Many related findings help us understand how financial markets function. However, almost no instructors have discussed TAQ in their classrooms due to three reasons. First, TAQ’s huge size makes it difficult to process. Second, the price tag for the database is quite high. And finally, no good tool could be used to present the data to our students. In this paper, we discuss a simple way to show students both second-by-second and millisecond-by-millisecond high-frequency data. Students at various business schools, especially at teaching schools, can access sample high-frequency data and conduct some good term projects. For various Business Analytics/Data Analytics programs, the TAQ Database is an ideal database for them to practice dealing with big data.

Keywords: TAQ, Market Microstructure, High-Frequency, R, Data Retrieval

JEL Classification: G10, G12, G14