How to Clean Academic TRACE Data

21 Pages Posted: 28 Sep 2019

See all articles by Jens Dick-Nielsen

Jens Dick-Nielsen

Copenhagen Business School - Department of Finance

Thomas K. Poulsen

BI Norwegian Business School

Date Written: September 18, 2019

Abstract

This note updates the data filter from the previous note "How to clean Enhanced TRACE data" to handle the Academic TRACE data. The Academic TRACE data include masked dealer identifiers and allow for improved handling of inter-dealer transactions. We include SAS code for the new filter in the appendix.

Keywords: Academic TRACE data, Error filter, SAS code

JEL Classification: G10, G12

Suggested Citation

Dick-Nielsen, Jens and Poulsen, Thomas K., How to Clean Academic TRACE Data (September 18, 2019). Available at SSRN: https://ssrn.com/abstract=3456082 or http://dx.doi.org/10.2139/ssrn.3456082

Jens Dick-Nielsen

Copenhagen Business School - Department of Finance ( email )

Solbjerg Plads 3
Frederiksberg, DK-2000
Denmark

Thomas K. Poulsen (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

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