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Realized Opportunity Cost
The dataset contains information about the realized opportunity cost (ROC) of using F1 instead of F2. -
Scaling of ineļ¬ciencies in the U.S. equity markets
The dataset contains quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from direct feeds. -
Ancerno Dataset
The Ancerno dataset, a proprietary database containing trades of institutional investors, covering about 10,000 execution tickets per day. -
Equity Factor Crowding
The dataset used in the study of equity factor crowding, including anonymous market data, metaorder data, and Equity Factor trading signals. -
Immediate price impact of a stock and its warrant
The dataset contains the detail transaction records when marketable orders match the orders at the opposite of limit order book.
