英文标题：
《Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data
with Machine Learning Methods》
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作者：
Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj,
Alexandros Iosifidis
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最新提交年份：
2020
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英文摘要：
Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the information edge. This paper describes the first publicly available benchmark dataset of high-frequency limit order markets for mid-price prediction. We extracted normalized data representations of time series data for five stocks from the NASDAQ Nordic stock market for a time period of ten consecutive days, leading to a dataset of ~4,000,000 time series samples in total. A day-based anchored cross-validation experimental protocol is also provided that can be used as a benchmark for comparing the performance of state-of-the-art methodologies. Performance of baseline approaches are also provided to facilitate experimental comparisons. We expect that such a large-scale dataset can serve as a testbed for devising novel solutions of expert systems for high-frequency limit order book data analysis.
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中文摘要：
管理高频金融市场中的指标预测是一项具有挑战性的任务。一种有效的方法是通过监控限额订单簿的动态来识别信息边缘。本文描述了第一个公开的用于中期价格预测的高频限价订单市场基准数据集。我们从NASDAQ Nordic股票市场连续十天提取了五只股票的时间序列数据的标准化数据表示，得到了总计约4000000个时间序列样本的数据集。还提供了一个基于日的锚定交叉验证实验协议，可作为比较最先进方法性能的基准。还提供了基线方法的性能，以便于进行实验比较。我们期望这样一个大规模的数据集可以作为设计高频限购簿数据分析专家系统新解决方案的测试平台。
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分类信息：

一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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