U.S. Securities and Exchange Commission MIDAS Market Information Data Analytics System: An Observation

21 Pages Posted: 7 Oct 2020

Date Written: September 11, 2020

Abstract

The U.S. Securities and Exchange Commission (SEC) rolled out Market Information Data Analytics System (MIDAS) in 2013 which is:

“…the SEC’s implementation of a new system that combines advanced technologies with empirical data to promote better understanding of markets….”

This paper uses available public, peer-re-viewable data, and operational outcomes to assess SEC MIDAS reported public data. These public data and outcomes demonstrate that SEC MIDAS data is incomplete. In particular, transactions effected otherwise than on an exchange and reported though the three FINRA Trade Reporting Facilities (TRFs) are not included in SEC MIDAS data.

SEC MIDAS is expected to be a comprehensive research facility with collected data from self-regulatory organizations, trading venues, and proprietary sources. Essential SEC rule making offices such as the Division of Economic and Risk Analysis (DERA) and Division of Trading and Markets rely on MIDAS data. Both the public and the academic and economic groups have an expectation that MIDAS data and research using MIDAS data promotes empirical understanding of market hypotheses, market behavior, and market regulation.

Keywords: U.S. Securities and Exchange Commission, SEC, Market Information Data Analytics System, MIDAS, Equities, Exchange-Traded Funds, ETFs, Operational Risk, Market Risk, Consolidated Audit Trail, CAT, Consolidated Tape Association, Consolidated Tape

JEL Classification: G12, G24, G38

Suggested Citation

Sommers, Fred, U.S. Securities and Exchange Commission MIDAS Market Information Data Analytics System: An Observation (September 11, 2020). Available at SSRN: https://ssrn.com/abstract=3692464 or http://dx.doi.org/10.2139/ssrn.3692464

Fred Sommers (Contact Author)

OpsRisk Limited ( email )

Toronto, Ontario
Canada

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