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Data for modelling duration in fixed income and equity futures markets

University of Tasmania, Australia
Dungey, Mardi (Has point of contact, Aggregated by)
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ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rfr_id=info%3Asid%2FANDS&rft_id=http://vivo.utas.edu.au/vivo/individual/n27652&rft.title=Data for modelling duration in fixed income and equity futures markets&rft.identifier=http://vivo.utas.edu.au/vivo/individual/n27652&rft.publisher=University of Tasmania, Australia&rft.description=The data are supplied commercially and format may change over time. The Chicago Mercantile Exchange dataset consisted of csv files containing columns of tick times with associated trade prices. The Cantor Fitzgerald database was available in ASCII format, comma delimited with varying numbers of fields over the time frame. The data were cleaned to extract the time stamp of trades and transaction price. Thomson Datastream is a large provider of economic and financial data available by commercial subscription&rft.creator=Dungey, Mardi&rft.date=2015&rft_subject=commercial financial data&rft_subject=Finance&rft_subject=COMMERCE, MANAGEMENT, TOURISM AND SERVICES&rft_subject=BANKING, FINANCE AND INVESTMENT&rft_subject=Financial Econometrics&rft.type=dataset&rft.language=English Access the data

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University of Tasmania

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Please contact the creators for access to the data. Data are collated from a number of commercially available datasets:  (i) the Chicago Mercantile Exchange Datamine Historical data series http://www.cmegroup.com/  (ii) Cantor Fitzgerald eSpeed trade database available for purchase directly from Cantor Fitzgerald (iii) Macroeconomic news expectations and announcements data extracted from Bloomberg databases which are available by commercial subscription

Copyright is held by Chicago Mercantile Exchange, Cantor Fitzgerald, and Bloomberg

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The data are supplied commercially and format may change over time. The Chicago Mercantile Exchange dataset consisted of csv files containing columns of tick times with associated trade prices. The Cantor Fitzgerald database was available in ASCII format, comma delimited with varying numbers of fields over the time frame. The data were cleaned to extract the time stamp of trades and transaction price. Thomson Datastream is a large provider of economic and financial data available by commercial subscription

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Subjects
Banking, Finance and Investment | Commerce, Management, Tourism and Services | Finance | Financial Econometrics | commercial financial data |

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