NBBO_NVDA

The mid price process of NVDA from 2016 to 2019 based on National Best Bid and Offer prices. In addition, the price process is filtered (sparsely observed) by 0.1-seconds to remove market microstructure noise. The files are divided daily. Time lines is from the openning of the market to closing. The inter_arrival column is for the inter arrival between mid price changes. The type column represents the direction, 1 for up and 2 for down. The mark column represent that the size of movement is how many times of the minmum tick size.

本数据集包含基于全美最优买卖报价（National Best Bid and Offer）的英伟达（NVDA）2016年至2019年中间价过程。此外，该价格序列以0.1秒为间隔进行抽样（稀疏观测）以剔除市场微观结构噪声。数据文件按日拆分存储，单文件的时间覆盖对应交易日的开盘至收盘时段。其中inter_arrival列用于记录相邻两次中间价变动的时间间隔；type列代表价格变动方向，1表示上涨，2表示下跌；mark列表示价格变动幅度为最小报价单位（tick size）的倍数。