2026-10-14T14:40:20Z https://data.mendeley.com/oai

oai:data.mendeley.com/3g4mhdp899.1 2023-10-16T06:06:45Z

Marszałek, Adam WSELOB-2017: The year-long database of limit order books for the five biggest companies listed on the Warsaw Stock Exchange Mendeley Data This dataset containing raw data from the five largest companies listed on the Warsaw Stock Exchange (WSE) in 2017. 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. Finance Financial Time Series Analysis Stock Exchange Deep Learning High-Frequency Data Dataset doi:10.17632/3g4mhdp899.1 oai:data.mendeley.com/3g4mhdp899.1 Creative Commons Attribution 4.0 International http://creativecommons.org/licenses/by/4.0 https://data.mendeley.com/datasets/3g4mhdp899 2023-10-16T06:06:45Z