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Implied Volatility Realized Volatility Systemic Risk Indicator
Systemic risk indicator based on implied and realized volatility measures -
Evolutionary dynamics in financial markets with heterogeneous strategies and ...
The dataset used in the paper is a simulation of a financial market with heterogeneous investment strategies and risk tolerance. -
Significant Trading-Strategy Evaluation (STSE)
The dataset used in this paper is a collection of autonomous trading strategies, including moving average convergence/divergence (MACD), moving average (MAMA), moving average... -
Equity Trades Dataset
Dataset of 11,762,646 trades on 45 equities -
Budapest Stock Exchange Dataset
Dataset of 24,964,980 trades made through the Budapest Stock Exchange between 2 January 2008 and 31 December 2008 -
Equity Market Dataset
The dataset used in the paper is an equity market dataset, which contains daily prices and trading volumes of approximately 3,600 stocks between 2009 and 2018. -
Maximum Likelihood Estimation for a Markov-Modulated Jump-Diffusion Model
The dataset is used to estimate the parameters of a Markov-Modulated Jump-Diffusion Model (MMJDM) for stock prices. -
Trader-Company Method: A Metaheuristic for Interpretable Stock Price Prediction
US stock prices listed on Standard & Poor’s 500 (S&P 500) Stock Index and UK stock prices from the London Stock Exchange (LSE) -
Merton Jump Diffusion Synthetic Data
The dataset used in this paper is a collection of synthetic market data generated via a Merton jump diffusion. -
Geometric Brownian Motion Synthetic Data
The dataset used in this paper is a collection of synthetic market data generated via a geometric Brownian motion. -
SPY Index Log-Returns
The dataset used in this paper is a collection of one-hourly log-returns rS associated to the SPY index from 2005-01-03 to 2020-12-31. -
Regime-Switching Geometric Brownian Motion Process
The dataset used in this paper is a regime-switching geometric Brownian motion process with two distinct regimes (bullish and bearish markets) with parameter values for each... -
Convexity adjustments `a la malliavin` dataset
The dataset used in the paper is the Convexity adjustments a la malliavin dataset, which contains the convexity adjustments of financial instruments. -
Stochastic Volatility for Factor HJM Framework dataset
The dataset used in the paper is the Stochastic Volatility for Factor HJM Framework dataset, which contains the prices of financial instruments. -
SOFR futures contracts dataset
The dataset used in the paper is the SOFR futures contracts dataset, which contains the prices of SOFR futures contracts.
