Predicting the past with the truncated Lévy flight

Intraday spot exchange rate data of fifteen currencies against the US dollar transacted on foreign exchange markets to demonstrate our method. There are 32,308,882 tick-by-tick bid prices with a millisecond timestamp. We thank Tick Data, LLC (www.tickdata.com) for providing the data.

本数据集收录了15种货币兑美元的外汇市场日内即期汇率交易数据，用于验证我们提出的研究方法。数据集中共包含32,308,882条逐笔买入报价（bid price）数据，所有数据均带有毫秒级时间戳。我们感谢Tick Data, LLC（官网：www.tickdata.com）为本研究提供该数据集。