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.

本数据集为基于全国最优买卖报价（National Best Bid and Offer）生成的2016年至2019年英伟达（NVDA）股票中间价过程。此外，为剔除市场微观结构噪声（market microstructure noise），该价格过程已按0.1秒间隔进行稀疏观测滤波处理。数据集文件按交易日划分，时间跨度覆盖市场开盘至收盘时段。其中，inter_arrival列用于记录相邻两次中间价变动的时间间隔；type列表示价格变动方向，取值1代表上涨，2代表下跌；mark列用于表征价格变动幅度为最小报价单位（tick size）的倍数。