OLPS

 

On-Line Portfolio Selection via Machine Learning

Benchmark Datasets:

DBOLPS: A Database for On-Line Portfolio Selection

  1. All the datasets are collected from public domains, and we do not guarantee the correctness of the data.
  2. Each datasets consists of matrix of n*m, where n is the number of trading days and m is number of assets.
  3. All data sets are stored in MATLAB file format (.MAT)
  4. When using the data sets for publishing your reseasrch, you need to cite our data set ("DBOLPS") and our related papers (download the BibTex file of our publications here).

 

Dataset Market Date Dimension Download Detail
NYSE(O) New York Stock Exchange Jul. 3, 1962 ~ Dec. 31, 1984 (daily) 5651 x 36 link detail
NYSE (N1) New York Stock Exchange Jan. 1, 1985 ~ Jun. 30, 2009 (daily) 6179 x 23 link detail
NYSE (N2) New York Stock Exchange Jan. 1, 1985 ~ Jun. 30, 2010 (daily) 6431 x 23 link detail
SP500 Standard & Poor's 500 Jan. 2, 1998 ~ Jan. 31, 2003 (daily) 1276 x 25 link detail
DJA Dow Jones Industrial Average (^DJI) Jan. 14, 2001 ~ Jan. 14, 2003 (daily) 507 x 30 link detail
TSE Toronto Stock Exchange Jan. 4, 1994 ~ Dec. 31, 1998 (daily) 1258 x 88 link detail
MSCI (1) MSCI Global Market indices Sept. 9, 2005 ~ Sept. 7, 2009 (daily) 1042 x 3 link detail
MSCI (2) MSCI World Index Apri. 1, 2006 ~ Mar. 31, 2010 (daily) 1043 x 24 link detail
MSCI (3) MSCI Global Market indices Oct. 17, 2005 ~ Oct. 15, 2010 (daily) 1304 x 4 link detail
STI Singapore Stock Exchange Jan. 1, 2005 ~ Jun. 30, 2010 (daily) 1404 x 22 link detail
DJI (H) Dow Jones Industrial Average (^DJI) Jun. 14, 2011 ~ Jun. 17, 2011 (30 secs) 2779 x 30 link detail
NDX (H) Nasdaq-100 (^NDX) Jun. 14, 2011 ~ Jun. 17, 2011 (30 secs) 2779 x 100 link detail

 



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