Hugging Face's logo

Datasets:
paperswithbacktest
/
Stocks-Yearly-TransactionCostParams

Tasks:
Tabular Regression
Modalities:
Tabular
Text
Formats:
parquet
Languages:
English
Size:
100K - 1M
Libraries:
Datasets
pandas
Polars
License:
Dataset card Data Studio Files
xet
 Community
Dataset Viewer
Auto-converted to Parquet Duplicate
symbol
stringlengths
1
9
year
int64
2k
2.03k
price
float64
0
741k
lambda_bps
float64
-226,785,139.22
2.14B
⌀
spread_bps
float64
0
167M
A
2,003
25.637487
7.353411
9.2772
A
2,004
26.887927
6.416689
8.0975
A
2,005
27.065598
2.770698
6.6561
A
2,006
33.791773
3.660215
5.6763
A
2,007
35.910644
5.89167
4.4579
A
2,008
30.148041
6.440001
5.5059
A
2,009
21.846996
11.532419
5.5973
A
2,010
32.508166
6.087773
3.5407
A
2,011
41.377838
6.164318
3.2311
A
2,012
39.955371
4.831966
3.9446
A
2,013
46.785335
1.845754
2.866
A
2,014
54.108802
0.987165
3.5702
A
2,015
39.59509
1.179259
3.2034
A
2,016
43.362089
4.304668
3.2631
A
2,017
59.316502
3.82389
2.9959
A
2,018
67.206386
1.728246
2.4675
A
2,019
75.175365
1.549641
2.6626
A
2,020
92.511791
3.979087
3.7676
A
2,021
144.684472
1.152342
3.5179
A
2,022
132.942649
1.842818
4.4532
A
2,023
127.977853
1.334225
4.2233
A
2,024
137.720038
1.017163
7.201
A
2,025
127.595951
2.572011
7.5649
A
2,026
127.279768
2.647491
8.2506
A.WD
2,014
38.926048
-40.607649
49.3214
AA
2,003
31.649664
4.078626
6.2532
AA
2,004
32.997569
5.035576
5.6826
AA
2,005
28.012353
4.334312
5.3913
AA
2,006
30.206065
3.986872
4.9266
AA
2,007
36.470408
2.10848
3.123
AA
2,008
28.640248
7.985477
4.9047
AA
2,009
10.824456
8.7088
9.8985
AA
2,010
12.775835
4.596636
7.8934
AA
2,011
13.953227
5.095239
7.474
AA
2,012
9.137805
6.62662
11.0012
AA
2,013
8.594868
4.566124
11.693
AA
2,014
14.449169
3.690442
7.1167
AA
2,015
11.676103
4.997593
8.969
AA
2,016
14.103068
7.833286
9.3472
AA
2,017
38.306354
5.753009
4.7448
AA
2,018
44.252403
6.023462
3.6613
AA
2,019
23.703879
8.422642
3.8458
AA
2,020
13.4
40.715233
18.6741
AA
2,021
38.663572
13.017971
4.4161
AA
2,022
56.749186
12.083303
5.5458
AA
2,023
35.694606
12.013698
4.3648
AA
2,024
35.97216
12.277045
5.3855
AA
2,025
33.54882
9.248697
6.852
AA
2,026
60.59656
4.69514
8.442
AAA
2,003
60.625031
null
71.1286
AAA
2,004
58.798532
null
56.0229
AAA
2,005
57.793676
54.358113
36.5089
AAA
2,006
57.383169
3.70518
40.7783
AAA
2,007
62.676922
121.001346
25.8952
AAA
2,020
24.991252
61.650759
8.3412
AAA
2,021
25.037909
null
8.6563
AAA
2,022
24.537744
0
13.1977
AAA
2,023
24.69692
null
18.7946
AAA
2,024
25.098403
7.18462
16.099
AAA
2,025
25.005448
10.915616
15.1306
AAA
2,026
24.97422
95.481059
19.1134
AAAA
2,025
26.56341
20.664995
17.0308
AAAA
2,026
28.936181
-48.166408
13.2636
AAAC
2,025
20.042397
null
2.8992
AAAC
2,026
20.052488
null
6.8316
AAAD
2,026
49.90398
null
39.2795
AAAP
2,015
27.564766
742.401371
182.15
AAAP
2,016
32.112481
56.40468
143.0327
AAAP
2,017
49.596371
0.62634
49.2708
AAAP
2,018
81.739124
0.472892
13.5435
AAAP
2,026
25.271403
null
20.5498
AAAU
2,018
12.178564
31.767109
12.402
AAAU
2,019
13.918764
28.755021
12.1051
AAAU
2,020
17.678878
10.405462
13.4862
AAAU
2,021
17.88881
1.115637
3.9495
AAAU
2,022
17.887783
0.256708
3.448
AAAU
2,023
19.263026
4.070763
3.4612
AAAU
2,024
23.652645
4.969391
3.0954
AAAU
2,025
34.070749
3.25476
5.4269
AAAU
2,026
45.125712
5.437655
4.5451
AAB.WS
2,006
6.368684
12,124.133882
115.8574
AAB.WS
2,007
4.094137
null
294.7314
AAB.WS
2,008
7.061679
null
218.0295
AABA
2,017
64.683363
0.247733
2.9098
AABA
2,018
70.591874
0.013025
3.8807
AABA
2,019
67.771899
0.086017
2.4324
AABC
2,003
13.226398
null
427.9518
AABC
2,004
13.856265
null
400.6378
AABC
2,005
15.759095
133.214138
250.5431
AABC
2,006
18.680947
null
186.9566
AAC
2,003
0.568931
1,871.950989
199.1286
AAC
2,004
0.658962
1,215.943965
182.4986
AAC
2,005
0.480156
2,913.067105
235.4732
AAC
2,006
0.307878
1,340.756811
334.458
AAC
2,007
0.19342
8,801.199708
404.8949
AAC
2,008
0.088137
16,005.434448
478.9214
AAC
2,009
0.420082
9,779.281967
449.3352
AAC
2,010
3.1456
8,258.260093
260.9063
AAC
2,011
9.692271
0
100.0155
AAC
2,012
10.002516
null
110.19
End of preview. Expand in Data Studio

Stocks Yearly Transaction Cost Params

Measured trading-cost parameters for US stocks, one row per symbol and year.

Columns

  • symbol: the ticker.
  • year: calendar year the parameters were measured over.
  • price: the year's average session VWAP.
  • spread_bps: the full quoted spread in basis points. A round trip crosses half of it on each side. Measured from NBBO quotes where that feed exists, and from Roll (1984) on trades otherwise.
  • lambda_bps: Kyle's slope, basis points of price move per $1M of net flow. Only meaningful against a declared notional.

Why it exists

Estimating a spread from daily closes does not work for liquid names: the signal is the lag-1 autocovariance of returns, the noise is several times larger, and the estimator collapses to zero. Measured on 9 060 US names with 240+ sessions in 2024, a Roll estimate on daily bars returned exactly zero for 54.7 % of names priced above $50, and 32 bp for the rest against 12 bp measured here.

Caveats

  • Spreads are per year: they moved by an order of magnitude across the 2001 decimalisation, so using one vintage for a multi-decade backtest is wrong.
  • lambda_bps is measured as price * contracts, not dollar notional, for futures. Applying a contract multiplier is only needed to compare instruments.
  • Rows with no measurable spread are not published, so a lookup that misses is genuinely uncovered rather than covered-but-null.
Downloads last month
72
Number of rows:
245,800
Total file size:
6.5 MB