Market Microstructure Research Databases: History and Projections
回顾了证券价格交易数据库的发展历史，这些数据库部分由美国国家科学基金会资助，推动了市场微观结构研究作为金融经济学分支的快速发展，并探讨了证券交易加速增长对实证微观结构研究的影响。
Abstract This article presents a partial history of the development of transactions databases of securities prices. The availability of these databases, which in part were funded by the National Science Foundation, has fueled the rapid growth of market microstructure research as a discipline within financial economics. Furthermore, the article examines the accelerating growth of securities trading and examines the implication of this growth for empirical microstructure research. KEY WORDS: High-frequency dataMarket modelMicrostructure research