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A current awareness resource for students & faculty members in Business & Economics

SFU-authored article in Quantitative Finance, plus a plug for TAQ data

Published by Mark Bodnar

Congratulations to SFU Economics Prof. Ramazan Gençay and his former PhD student, Stephen Fagan, on their new article in the August 2014 issue of Quantitative Finance!

Xue, Y., Gençay, R., & Fagan, S. (2014). Jump detection with wavelets for high-frequency financial time series. Quantitative Finance, 14(8), 1427-1444. doi:10.1080/14697688.2013.830320

In all honesty, the math in this article was just a bit beyond our abilities.  However, we did notice that the research makes use of NYSE TAQ (Trade & Quote) data, which seems like a wonderful opportunity to remind you all that your SFU Library provides access to...

  • Monthly TAQ data (time stamped to the second): from 1997 to the present
  • Daily TAQ data (time stamped to the millisecond): from Jan. 1 2012 to Dec. 31, 2012 only

Both sets of data are available for SFU researchers via WRDS. Happy researching! – MarkB … on behalf of your Business/Economics Librarian team:

  • Mark Bodnar (Business – Burnaby): mbodnar@sfu.ca
  • Carla Graebner (Economics – Burnaby): cgraebne@sfu.ca
  • Megan Sorenson (Business – Vancouver): megan_sorenson@sfu.ca
  • Andrea Cameron (Business – Surrey): amcamero@sfu.ca