Trading Signatures: investor attention allocation in stock markets

Anonymised data sufficient to reproduce results in article "Trading signatures: investor attention allocation in stock markets" (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3687759).open_code.py - produces the figures exactly as in the article.signatures_open.csv - contains the trading signaturesportfolios_open.csv - contains anonymised information about the securities in the signaturesEach row in both files contain information about the sector of the investor, anonymised investor id, calendar year when the signature was estimated. In signatures_open.csv, the remaining rows indicate, what fraction of all transactions executed in that calendar year were executed with nth security. In portfolios_open.csv, the remaining rows indicate which security was the nth most actively traded security in that year.Due to sensitivity of the data, investor id's in signatures_open.csv and portfolios_open.csv are anonymised independently. It is not possible to match investor signatures and their traded security compositions, however, one can keep track of individual investors signature changes.effort_change.csv - contains information about changes in investor signatures, i.e., change in the length and entropy of the signature, as well as average and total trading intensities.When using this data set, please cite this data source and the original article.