深成指、申万行业及个股日频数据集

本数据集面向金融市场量化研究、投资者情绪与行为关联分析等需求而构建。数据源自权威的RESSET金融研究数据库，通过规范化采集与系统化清洗加工而成。核心内容涵盖深证成指、申万一级行业指数及320只深市代表性个股的日频交易数据，包含开盘价、收盘价、最高价、最低价、成交量、成交金额等关键量价指标，以及标准化的证券代码与交易日期元数据。数据时间覆盖完整：深证成指涵盖1991年4月至2025年2月共8260个交易日数据，提供长周期市场基准；行业与个股数据集中于2019年12月至2020年12月关键时段，分别包含6625条行业指数记录与77946条个股记录，形成多层次、可关联的分析体系。通过严格的标准化流程（证券代码6位补零、日期ISO格式化）、异常值清洗（剔除价格逻辑错误、零成交量记录）和质量验证（1%随机抽样回溯比对），本数据集实现了高质量、清洁一致的数据治理目标，为研究市场微观结构、投资者情绪与交易行为的关联度量提供了可靠的基础数据支持。This dataset is developed to support quantitative research on financial markets, correlation analysis between investor sentiment and trading behavior, and other related research needs. The data is sourced from the authoritative RESSET Financial Research Database, and is processed through standardized collection and systematic cleaning. Its core content includes daily trading data of the Shenzhen Component Index, Shenwan First-Class Industry Index, and 320 representative individual stocks listed on the Shenzhen Stock Exchange. The data covers key price-volume indicators such as opening price, closing price, highest price, lowest price, trading volume, and trading amount, as well as metadata including standardized security codes and trading dates. The data has complete time coverage: the Shenzhen Component Index dataset contains 8,260 trading days of data from April 1991 to February 2025, providing a long-term market benchmark; the industry index and individual stock data focus on the critical period from December 2019 to December 2020, with 6,625 industry index records and 77,946 individual stock records respectively, forming a multi-level and interrelatable analytical system. Through strict standardization procedures (6-digit zero-padding for security codes, ISO formatting for dates), outlier cleaning (removing records with price logic errors and zero trading volume), and quality verification (1% random sampling retrospective comparison), this dataset has achieved the goal of high-quality, clean and consistent data governance, providing reliable basic data support for research on market microstructure and the correlation measurement between investor sentiment and trading behavior.

搜集汇总

背景与挑战

背景概述

该数据集基于RESSET金融研究数据库构建，包含深证成指、申万一级行业指数及320只深市代表性个股的日频交易数据，涵盖开盘价、收盘价等关键量价指标。数据时间覆盖长周期，其中深证成指从1991年4月至2025年2月，行业与个股数据集中于2019年12月至2020年12月，经过标准化清洗和质量验证，为金融市场量化研究提供可靠基础。