NASDAQ Nordic 股票市场中高频限价订单市场中价预测基准数据集

本数据集由坦佩雷理工大学信号处理实验室创建，专注于NASDAQ Nordic股票市场中的高频交易数据。数据集包含了五只股票在十天内的约400万个时间序列样本，涵盖了订单提交、交易和取消等事件的详细信息。创建过程中，研究人员从ITCH数据流中提取信息，并进行了数据标准化处理，以确保数据的质量和可用性。该数据集主要用于机器学习方法在中价预测领域的应用，旨在通过分析限价订单簿的动态来识别市场信息优势，从而推动高频交易领域的研究和技术发展。

This dataset was developed by the Signal Processing Laboratory of Tampere University of Technology, focusing on high-frequency trading data from the NASDAQ Nordic stock market. It contains approximately 4 million time-series samples from five stocks over a ten-day period, covering detailed information on events such as order submission, trade execution, and order cancellation. During the development of this dataset, researchers extracted data from the ITCH data stream and conducted data standardization to ensure its quality and usability. This dataset is primarily utilized for applications of machine learning methods in mid-price prediction, aiming to identify market informational advantages by analyzing the dynamics of limit order books, thereby promoting research and technological development in the field of high-frequency trading.