Below is an except from the press release of a project I am involved in, and which I think that people here on Wilmott.com might find interesting. I'd be happy to answer any questions that you might have.Lund University, Sweden, has in collaboration with the Scandinavian informationprovider SIX, built an ultra-high frequency database of the Scandinavian markets,named STORQ. Currently, the database records all trades, quotes, and order bookactivities for the Swedish OMX group of stocks, the Norwegian Main list, andexchange traded derivatives of those. In addition, it records interest rates, majorcross rates to the Swedish and the Norwegian Krona, as well as full-text marketreports. In the near future, the equivalent information from the Danish and Finnishmarkets will also be stored in the database.SIX Marketing Manager Fredrik Koch, says “By participating in the project, wecontribute to the development of a better understanding of the financial markets. Inthe future, we hope to transform this new knowledge into improved efficiency andpredictabilit when trading in financial instruments.”Professor of Econometrics, David Edgerton says that much development of thisresearch area in Scandinavia has been hampered due to scarce access to high-frequency data. He believes that the STORQ database will provide the neededempirical foundation for a Scandinavian research focus.Anders Stromberg, project manager and initiator, says that this newly gainedaccess to ultra-high frequenc data will support the taught curriculum at theUniversity with local empirical research knowledge, which will make graduateseven more competitive within High Frequenc Finance area.

I'm interested. Is it possible that I have access to your data?

Well unfortunately, unless you enroll as a student or become a researcher there you won't have access to this data. However, there is a possiblity that we, the development team, can cooperate with external parties on some specific projects (for instance developing tools and models for this kind of data). Also I'm sure Lund University would be interested in joint research projects.