Datasets
Standard Dataset
Parameter estimation
- Citation Author(s):
- Submitted by:
- Lidong Zhang
- Last updated:
- Thu, 07/06/2023 - 23:33
- DOI:
- 10.21227/jqps-b433
- Data Format:
- License:
37 ViewsAbstract
The datasets are all EXCEL files, and the datasets include daily stock price changes of three listed companies from 2021.1.4 to 2021.12.31 and Shanghai banking borrowing rates from 2021.2.2 to 2021.12.28. The three listed companies are Xiaomi Group, Zijin Mining and Fuwei Film and TV, which are representative in their respective fields. Since most of the numerical simulation parameters are directly given artificially in the existing studies, which is not convincing. Therefore this dataset is used to calculate the parameters of the stochastic interest rate model and the mean reversion stock model as a way to enhance the persuasiveness of the article.
The data set is divided into two parts: Shanghai Interbank Offered Rate and the closing prices of the stocks of three listed companies, both of which are EXCEL files. In the dataset of listed companies, there are stock data of Xiaomi Group, Fuwei Film and Zijin Mining respectively, where the second column is the closing price of the day. In the Shanghai interbank lending rate data set, the first row represents the overnight, 7-day, 14-day, 30-day, 90-day, half-year, nine-month and one-year Shanghai interbank lending rates.
