Level-I data for BAC and CVX

Published: 18 April 2018| Version 1 | DOI: 10.17632/dvfty6wdht.1
Contributor:
Sasha Stoikov

Description

This data is 1 month of Level-I quotes for BAC and CVX for the dates 20110301-20110331. The data used in this paper are extracted from the Thomson-Reuters TRTH database. They were provided to me by the Chair of Quantitative Finance at Centrale Supélec, Frederic Abergel.

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Finance, Market Microstructure

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