美国证券交易委员会MIDAS市场信息数据分析系统:一个观察

SPGMI: Capital IQ Data (Topic) Pub Date : 2020-09-11 DOI:10.2139/ssrn.3692464

Fred Sommers

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引用次数: 0

摘要

美国证券交易委员会(SEC)于2013年推出了市场信息数据分析系统(MIDAS)，该系统是:“…SEC实施的一种将先进技术与经验数据相结合的新系统，以促进对市场的更好理解....”。本文使用可用的公共，同行可审查的数据和操作结果来评估SEC MIDAS报告的公共数据。这些公开数据和结果表明，SEC MIDAS数据是不完整的。特别是，在交易所以外发生的交易，并通过三个FINRA交易报告工具(trf)报告，不包括在SEC MIDAS数据中。SEC MIDAS预计将成为一个综合研究设施，收集来自自律组织、交易场所和专有来源的数据。重要的SEC规则制定部门，如经济和风险分析部门(DERA)和交易和市场部门依赖MIDAS数据。公众、学术和经济团体都期望MIDAS数据和使用MIDAS数据的研究促进对市场假设、市场行为和市场监管的实证理解。

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U.S. Securities and Exchange Commission MIDAS Market Information Data Analytics System: An Observation

The U.S. Securities and Exchange Commission (SEC) rolled out Market Information Data Analytics System (MIDAS) in 2013 which is:

“…the SEC’s implementation of a new system that combines advanced technologies with empirical data to promote better understanding of markets….”

This paper uses available public, peer-re-viewable data, and operational outcomes to assess SEC MIDAS reported public data. These public data and outcomes demonstrate that SEC MIDAS data is incomplete. In particular, transactions effected otherwise than on an exchange and reported though the three FINRA Trade Reporting Facilities (TRFs) are not included in SEC MIDAS data.

SEC MIDAS is expected to be a comprehensive research facility with collected data from self-regulatory organizations, trading venues, and proprietary sources. Essential SEC rule making offices such as the Division of Economic and Risk Analysis (DERA) and Division of Trading and Markets rely on MIDAS data. Both the public and the academic and economic groups have an expectation that MIDAS data and research using MIDAS data promotes empirical understanding of market hypotheses, market behavior, and market regulation.

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SPGMI: Capital IQ Data (Topic)

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