Data · dataset · 2020
Trading Imbalance in Chinese Stock Market - A High-Frequency View
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1.
Description
The series of files named as ‘*_polarity.csv’ in folder ‘polarity’ includes the trading polarities of stocks listed on Shenzhen Stock Exchange from May 4 to July 31 2015. The eight numbers in the filenames specify the dates.
The columns of these dataframes indicate the stock names, while the indices of dataframes indicate the time. The granularity of trading polarity is 1 minute for every stock. These trading polarities are calculated from the serial numbers for buyers and sellers in transactions data.
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The original transactions data is not publicly available due to the company’s license requirement. 2. The files in the 'log_ret' folder cover the log returns of 1646 stocks listed on Shenzhen Stock Exchange from May 4 to July 31 2015. These data are calculated from the intraday price trends data provided by Thomson Reuters’ Tick History.
The original price trends data is not publicly available due to the company’s license requirement. 3. The file named as "stock_market_value.csv" gives the capitalization of stocks in June 31 2015, which is downloaded from Wind Information and we have converted the unit of measure from RMB into a dollar. Due to license requirements of the data companies, all of the above files have converted the names of stocks into integers in a consistent way. 4.
Please cite the following paper: Shan Lu, Jichang Zhao and Huiwen Wang. Trading Imbalance in Chinese Stock Market—A High-Frequency View. Entropy, 2020, 22(8), 897.
Links
Where it is published
- Repository landing page figshare.com/articles/Trading_polarity_the_imbalance_of_buying_and_selling_… ↗
landing page · from DataCite
- DOI doi.org/10.6084/m9.figshare.5835936 ↗
DOI / persistent id · from DataCite
Documentation and papers
- Creative Commons Attribution 4.0 International creativecommons.org/licenses/by/4.0/legalcode ↗
license · from DataCite
- IsSupplementTo 10.3390/e22080897 doi.org/10.3390/e22080897 ↗
publication · from DataCite
Catalogue records · 2
- DataCite API api.datacite.org/dois/10.6084/m9.figshare.5835936 ↗
metadata API · from DataCite
- DataCite Commons commons.datacite.org/doi.org/10.6084/m9.figshare.5835936 ↗
catalogue entry · from DataCite
Topics
- Stated by source
- Economics and business · Mechanical engineering
- Inferred from text
- Econometrics 72%
Related
- Inverse of has versionTrading polarity: the imbalance of buying and selling in stock market
Provenance · 1 source records, 11 field assertions
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| DataCite | 10.6084/m9.figshare.5835936 | 7 d ago | JSON v1 |
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