The high-frequency data used in the paper come from the Trades and Quotation (TAQ) database. The data contains time-stamped quotations of Citicorp stock traded at the NYSE over the period from 20th February to 23rd February 2001.
In the study, 30-second bid and ask quote changes are constructed from the irregularly-spaced quote data. The study covers observations recorded from 9:35 EST until 16:00 EST.
The data contains 3080 rows and eight columns - in order:
1. year 2. month 3. day 4. time in number of seconds after the 9:35 EST 5. best ask quote 6. best bid quote 7. 30-second change of the ask quote in number of ticks 8. 30-second change of the bid quote in number of ticks.
data(tqdata)