P. Shrikant a doctoral student at IIM-C writes this interesting paper on the topic.
He narrates his experience of setting such a centre at IIMC:
In the US, CRSP and Compustat databases are easily available in most institutions through distributors like Wharton Research Data services. As [Anshuman and Badrinath, 2007] points out, empirical research in Indian financial markets is constrained by the lack of a proper database for financial research. While some financial data is indeed available through the Prowess database developed by the Centre for Monitoring the Indian Economy, the data quality is highly uspect and the data is exceedingly slow to access. Also, intraday data is typically not available in commercial databases.
The development of databases is an important precursor to financial research. There have been several instances where academics have taken the lead in establishing such databases. To cite a few examples, the Center for Research in Security Prices at Chicago was created when a professor was asked by the industry to determine historical stock market return for which they had to create a portfolio, which later on became the CRSP equally and value weighted indexes and the basis for almost all event studies in the US. Empirical market microstructure was born when Bob Wood at the Univ. of Memphis created the ISSM database from intraday trading data.
Ghon Rhee created the PACCAP database at URI which provided a unique competitive advantage for their Ph.D. students.1 IIM Calcutta was the logical place to try to attempt to build and intraday centre, since it already possessed a Trading Lab. The Trading Lab has several dealing workstations which receive a combined price feed for several exchanges through Newswire-18, which aggregates feeds from various exchanges and redistributes them in a common format. Therefore, we already
were receiving ( but not recording ) high-frequency data on Indian financial markets. At the time, the Trading Lab was used to conduct MBA classes and some workshops. Our goals in establishing a data centre were twofold. Firstly, we wanted to build a resource which would further underscore IIM Calcutta’s research leadership amongst Indian schools. Secondly, we sought to impart more of a research orientation to the Trading Lab.
Interesting case..Lots of computer programming was involved to integrate databases and realtime data…