"PRICE: A New Paradigm for High-Frequency Finance" is a project financed by the Ministry of University and Research within the PRIN 2022 call (award no. 2022C799SX). The PRICE project aims to introduce a novel paradigm for financial price analysis in high-frequency contexts by developing a general reduced-form model for asset prices featuring price staleness. Building on this innovative contribution, several tools will be provided for both measurement and modeling purposes.

The project involves three research units based at the University of Roma “Tor Vergata”, led by Davide Pirino (Project PI), the University of Padova, led by Massimiliano Caporin, and the University of Verona, leaded by Roberto Renò.

One objective of the PRICE project is to make available to the academic community, for research and teaching purposes, a set of realized measures, including both traditional quantities, such as the Realized Variance, and the innovative proposals developed within the project. These freely available time series will contribute to the diffusion of the PRICE project's contributions and foster further research developments.

To this end, the three project coordinators launched the CaPiRe database, a collection of realized variables time series measured for the constituents of the Dow Jones Industrial Average Index, thanks to an agreement with Kibot.com. On this website, you will find details on the measurement of the realized measures, information for downloading the data (hosted within the Data Repository of the Department of Statistical Sciences of the University of Padova), and instructions for acknowledging the data source. Additionally, the website will list all research (working papers or published articles) using the CaPiRe data.

Click Methodology section for details.

News section will report data updates and additions to the database and the research section.