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nyse-taq
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Basic Python library for working with the TAQ (US Trade and Quote) dataset
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Updated
Sep 4, 2018 - Jupyter Notebook
End-to-end Python replication of 'The Value of Information: A Puzzle' (Kadan et. al, 2026). Estimates equilibrium dollar value of private information in US equity markets via discrete quadratic covariation of 1-min NYSE TAQ price changes & signed order flow. Implements CLNV trade signing, Amihud filtering, 2-way FE regressions, & SDF entropy bounds
python mathematical-finance market-microstructure panel-regression event-study financial-econometrics fama-french crsp compustat replication-study nyse-taq information-asymmetry order-flow linearmodels empirical-asset-pricing trade-classification price-impact stochastic-discount-factor quadratic-covariation kyle-back-equilibrium
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Updated
May 17, 2026 - Jupyter Notebook
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