Data · dataset · 2023
WSELOB-2017: The year-long database of limit order books for the five biggest companies listed on the Warsaw Stock Exchange
Listed in Teesside University Research Data Repository
This dataset containing raw data from the five largest companies listed on the Warsaw Stock Exchange (WSE) in 2017.
Description
The comprehensive data, including the limit order book and trades associated with these companies, were obtained as historical binary messages from the WSE trading platform. To make this data more accessible for research purposes, we converted the raw binary messages into numerical and text data and stored it in the user-friendly HDF5 data format.
Researchers and scholars will find this dataset valuable for various applications, including microstructure market analysis, liquidity risk measurement, high-frequency time series prediction, and automated trading.
Links
Where it is published
- DOI doi.org/10.17632/3g4mhdp899.1 ↗
DOI / persistent id · from researchdata tees ac uk
Catalogue records · 1
- OAI-PMH record data.mendeley.com/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai%3Adata… ↗
metadata API · from researchdata tees ac uk
Topics
- From keywords
- Computer Science & AI · Deep learning · Earth & Environmental Science · Economics & Finance · Engineering · Finance · Humanities · Life Sciences · Social Science
- Inferred from text
- Text 75%
Provenance · 1 source records, 15 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| Teesside University Research Data Repository | oai:data.mendeley.com/3g4mhdp899.1 | 11 d ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| access_level | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].anzsrc:field:350202 | mapping · researchdata tees ac uk | vocabulary-mapper@1.0.0 | keywords['Finance'] |
| concepts[field].anzsrc:field:461103 | mapping · researchdata tees ac uk | vocabulary-mapper@1.0.0 | keywords['Deep Learning'] |
| concepts[field].local:field:computer-science-ai | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:earth-environmental | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:economics-finance | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:engineering | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:humanities | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:life-sciences | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:social-science | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[modality].local:modality:text | enrichment · researchdata tees ac uk | keyword-concept-rules@1.0.0 | title+description (75%) |
| description | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/description |
| license | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/rights |
| publication_date | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| title | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/title |