The European Financial Data Institute (EUROFIDAI) is a public academic institute funded by the CNRS (French National Center for Scientific Research), the largest research institute in France, and is affiliated to the ESSEC Business School. Its main mission is to develop financial databases for academic researchers in finance.
The EUROFIDAI platform offers two separate databases with detailed financial market information:
This database cover stocks, mutual funds, exchange rates, indices, and corporate events.
This database offers detailed information on trades and orders at the millisecond or microsecond. It covers six markets: LSE, BATS, Chi-X, Xetra, AMF Euronext Paris and Eurex (Derivatives).
EUROFIDAI is the only European academic organization providing this type of data.
EUROFIDAI – Added value for researchers
Empirical research concerning European financial markets is currently hindered by several factors, among which are the high access costs to financial data and the difficulty to obtain verified, complete, coherent and ready to use data. The EUROFIDAI-ESSEC Daily and EUROFIDAI - High Frequency (BEDOFIH) databases offer a solution.
Wide data and geographic range - EUROFIDAI-ESSEC Daily databases
- Data on stocks, mutual funds, indices, exchange rates and corporate events
- Data covering all European (electronic and physical) marketplaces for stocks in addition to Asia-Pacific and Middle-East for mutual funds and corporate events
- Display of all European markets where a stock is quoted, not just the main place
- Report all (principal and secondary) trading lines of an instrument.
- More than 40 years of historical data
High data accuracy - EUROFIDAI-ESSEC Daily databases
- Verified data – Treatment of missing data and anomalies
- Homogeneous data – Permanent and unique EUROFIDAI code to track any security providing « permanent lines » even if the ISIN code changes.
- Data frequency – Daily or monthly; calendar or trading days
- Historical data – Active and inactive instruments for over 40 years
- Continuous verification of data consistency
A unique database - EUROFIDAI - High frequency (BEDOFIH) database
- Wide coverage – 6 markets
- Detailed information - orders, events, trade
- Data accuracy - millisecond or microsecond
- Data structure – day, security, exchange
- Unique flags – HFT identification
EUROFIDAI services - more than data
- Calculation of benchmark indices (Europe, country and sector) as well as factor indices and benchmark portfolios (formed on size, book-to-market and momentum).
- Tailor-made indices upon request
- Computation of liquidity and volatility measures and full order book (on demand) for HF data
- Technical assistance
- Doctoral-level scientific support
- Speed of download (1 Gbps in the frame of the European National Research Networks) and flexibility of data delivery options, incl. cloud computing
- Tailor made services upon request (assistance to download the data, research of very specific data, specific database construction, etc)