68 datasets found

The dataset used in the paper is a collection of 11 risk factors concerning the US equity market, spanning 29 years at daily frequency.

The dataset used in the paper is a simulation of a financial market with heterogeneous investment strategies and risk tolerance.

The dataset is used to study the properties of the Hawkes process, a self-exciting point process that models the dynamics of financial prices.

The dataset is used to study the properties of the volatility process, including the fat-tails and time-reversal asymmetry.

The dataset is used to study the properties of the Quadratic Hawkes process, a generalization of the Hawkes process that includes quadratic feedback effects.

The dataset used in this paper is a collection of autonomous trading strategies, including moving average convergence/divergence (MACD), moving average (MAMA), moving average...

The dataset contains quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from direct feeds.

The dataset used in the paper to calculate the cost of capital.

The dataset is composed of daily returns of 266 among largest banks and insurance companies in the world and the components of the S&P 100 index.

The dataset used in this study is a collection of option contract price data, containing historical end-of-day option chains for each stock.

The dataset used in this study is a collection of stock price data, containing historical end-of-day adjusted closing prices for each stock.

The dataset used in this study is a stock universe of 165 US stocks, diversified across 11 traditional stock market sectors.

The dataset used in this paper is the CRSP US Stock database, which contains end-of-day and month-end prices for NYSE, NYSE MKT, NASDAQ, and Arca Exchanges.

The dataset used in this paper is the Center for Research in Securities Prices (CRSP) database sampled between January 1963 and December 2018.

The dataset contains the detail transaction records when marketable orders match the orders at the opposite of limit order book.

The dataset used in this study is a collection of Twitter data, containing all relevant tweets published for each stock.

The dataset used in the paper is a sequence of financial markets with underlying assets (S(n))n∈N that are converging weakly to S.

The dataset used in this paper is the CRSP SP500 market value-weighted stock market index.

The dataset used in this paper is the CRSP Value-Weighted and CRSP Equal-Weighted stock market indexes.

The dataset used in this paper is a time series of monthly excess returns and volatility from 1927 to 2019.