How to get high frequency data?

JMR · July 3rd, 2006, 1:34 pm

I have a little complication in my Msc dissertation. I'm working on a topic using HF data, but it also touches a bit on pairs trading and the data (provided by my supervisor) is only suitable for my first part of work, not for the pairs trading bit.Do you know where one can get such data, for pure academic use that is?thank you

nmaughan · July 3rd, 2006, 1:59 pm

Which assets do you need it for?

nmaughan · July 3rd, 2006, 1:59 pm

And at what frequency?

nmaughan · July 3rd, 2006, 4:51 pm

OK, I emailed it to you as per the PM.

player · July 3rd, 2006, 6:50 pm

What does your dissertation cover??

JMR · July 4th, 2006, 2:45 pm

modellling local variance+seasonal variance+conditional variance using a semi parametric garch model. I'm trying to make a liitle bridge between that and trading pairs

cdmurray80 · July 4th, 2006, 6:28 pm

I'm actually also interested in high-frequency equity data if anyone knows any good sources. All I've found is INET(http://www.inetats.com/about/index.asp)which charges $500 i believe

hanman · July 6th, 2006, 6:47 pm

OpenTick has HF data for free, you just pay exchange fees.http://www.opentick.com/

barthezz · April 11th, 2007, 1:57 pm

has anyone experiece with opentick and matlab. is there an API available?Thanks BArthezz