stock dataset
A dataset used in the paper "A Causal Perspective of Stock Prediction Models". The dataset is constructed using the training infromation between 2011 and 2024 via signals provided by GUOTAI JUNAN SECURITIES. Alpha191 is a widely used collection of 191 mathematical formulas, known as "alpha factors," used for quantitative stock analysis. Developed by researchers and practitioners, these factors are designed to capture various statistical properties, behavioral patterns, and market trends from financial data.
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Two-year price movements from 01/01/2014 to 01/01/2016 of 88 stocks are selected to target, coming from all the 8 stocks in the Conglomerates sector and the top 10 stocks in capital size in each of the other 8 sectors. The full list of 88 stocks and their companies selected from 9 sectors is available in StockTable, a facsimile of the paper appendix appendix_table_of_target_stocks.pdf.
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