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MTS Time Series

The ICMA Centre works in collaboration with MTS Time Series (the largest electronic bond trading operation in Europe) to provide a new high frequency data source for practitioners and academics conducting in-depth research in time series and market microstructure of mixed income markets and instruments.

A wealth of trading data for a large number of European sovereign bond markets is available to academic researchers and market practitioners. The database includes data on daily cash and repo trading activity and comprehensive high frequency trade and quote data.

Profit through:

  • Enhanced research capabilities through access to the richest source of European government bond tick data
  • Advanced market knowledge and expertise
  • Enriched studies through deep understanding of trends across the European cash and repo markets
  • Enhanced capabilities to build and test trading strategies and models

Features

  • High frequency tick data source for practitioners and academics
  • All data is complete with the relevant volumes and millisecond time stamps
  • Dating from April 2003, the MTS database contains daily cash and repo information and high frequency trade and quote data, for all bonds traded on the MTS System
  • Includes full reference data for each bond
  • Fee data sample available on request

Read Dr. Alfonso Dufour’s paper on the MTS Time Series.