Accurate Multivariate Stock Movement Prediction via Data-Axis Transformer with Multi-Level
Contexts
Jaemin Yoo, Yejun Soun, Yong-chan Park, and U Kang
ACM SIGKDD Conference on Knowledge Discovery and Data Mining (KDD) 2021
[PDF]
[BibTeX]
We provide six datasets that are used in the experiments of the paper. ACL18 and KDD17 are from a previous work and are available in a GitHub repository. On the other hand, we collected and preprocessed the remaining four datasets according to data format of ACL18 and KDD17. The attached data.zip file contains the four datasets.
Name | Country | Stocks | Days | From | To | Download |
---|---|---|---|---|---|---|
ACL18 | US | 87 | 504 | 2014-01-01 | 2015-12-31 | GitHub |
KDD17 | US | 50 | 2,518 | 2007-01-01 | 2016-12-31 | GitHub |
NDX100 | US | 95 | 1,259 | 2013-01-01 | 2017-12-31 | data.zip |
CSI300 | China | 219 | 1,119 | 2015-06-01 | 2019-12-31 | data.zip |
NI225 | Japan | 51 | 856 | 2016-07-01 | 2019-12-31 | data.zip |
FTSE100 | UK | 24 | 1,134 | 2014-01-01 | 2018-06-30 | data.zip |
Please cite our paper if you use the datasets [BibTeX].