AGLJ.J 5 days of 1-minute mid-price bar test data
Published: 15 April 2019| Version 1 | DOI: 10.17632/nt8nw28h7c.1
Contributors:
Tim Gebbie, Donovan PlattDescription
1 week of 1-minute mid-price bar data for Anglo American PLC prepared from TRTH transaction data over the period beginning at 9:10 on 1 November 2013 and ending at 16:50 on 5 November 2013. There are 2300 data points, equivalent to 5 days * (480 1-minutes bars - 20 1-minutes bars). The data has been used in several ABM calibration projects as a standard test set. The data is provided as a CSV file and full precision MAT file (as a MATLAB workspace).
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Categories
Econophysics, Agent-Based Modeling, Statistical Finance