Benchmark Datasets:
DBOLPS: A Database for On-Line Portfolio Selection
- All the datasets are collected from public domains, and we do not guarantee the correctness of the data.
- Each datasets consists of matrix of n*m, where n is the number of trading days and m is number of assets.
- All data sets are stored in MATLAB file format (.MAT)
- 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 |
