Publish Finance1K v1.0.0

Versioned close and volume Parquet panels with public metadata, checksums, and CC BY-NC-SA 4.0 license.

LICENSE

@@ -0,0 +1,2 @@
+Finance1K is licensed under CC BY-NC-SA 4.0.
+https://creativecommons.org/licenses/by-nc-sa/4.0/

README.md

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+---
+license: cc-by-nc-sa-4.0
+task_categories:
+- time-series-forecasting
+language:
+- en
+tags:
+- finance
+- multivariate
+- time-series
+- panel-data
+configs:
+- config_name: close
+  data_files:
+  - split: train
+    path: data/close/train-*.parquet
+  - split: test
+    path: data/close/test-*.parquet
+- config_name: volume
+  data_files:
+  - split: train
+    path: data/volume/train-*.parquet
+  - split: test
+    path: data/volume/test-*.parquet
+---
+
+# Finance1K
+
+Finance1K is a synchronized hourly panel for next-step forecasting across
+1,000 US equities. It contains 28,510 chronological observations from 2015 to
+early 2026 and provides two aligned targets:
+
+- close: hourly close log return, log(close_t / close_t-1);
+- volume: hourly log-volume change, log(volume_t / volume_t-1).
+
+The two configurations use the same timestamps, ticker order, validity mask,
+and chronological split. The first 19,957 rows form the training set and the
+following 8,553 rows form the test set. The paper protocol uses the previous 96
+rows to predict the next row and evaluates every fourth test target.
+
+## Data structure
+
+Each Parquet row is one timestamp and one synchronized cross-section. The
+values and valid fields are fixed-size arrays of length 1,000. Array position j
+matches selection_order j in metadata/tickers.parquet.
+
+| Field | Type | Meaning |
+|---|---|---|
+| row_index | int64 | Global chronological row index |
+| timestamp | int64 | UTC Unix timestamp in seconds |
+| values | float32[1000] | Close or volume target cross-section |
+| valid | bool[1000] | Entry-level validity mask before zero fill |
+| xs_vol | float32 | Cross-sectional population standard deviation |
+| regime | int8 | Calm/stress indicator fitted on training rows |
+| lagged_vol | float32 | Causal 24-row trailing volatility proxy |
+| ceiling_series | float32 | Training-normalized predictability proxy |
+
+The metadata directory records the full schema, exact split boundaries, ticker
+order and volatility buckets, per-panel scalar values, canonical array
+identities, and SHA-256 checksums.
+
+## Loading
+
+The close and volume configurations can be read independently:
+
+    from datasets import load_dataset
+
+    close = load_dataset(
+        "abel-lab/finance1k", "close", revision="v1.0.0"
+    )
+    volume = load_dataset(
+        "abel-lab/finance1k", "volume", revision="v1.0.0"
+    )
+
+The synchronized arrays must remain intact when evaluating cross-sectional
+metrics. Flattening ticker and timestamp axes changes the empirical task.
+
+## Known limitations
+
+The stored timeline is a regular calendar-day hourly grid rather than an
+exchange-session calendar. It includes weekend and market-holiday rows that
+become zero log changes after forward filling. The paper evaluates
+cross-sectional IC on the 1,455 trading-hour targets with nonzero
+cross-sectional spread. The ticker universe also requires long coverage and is
+stratified by volatility bucket. It is designed for predictability and ranking
+experiments and should not be interpreted as a representative market sample.
+
+## License
+
+Finance1K is licensed under the Creative Commons
+Attribution-NonCommercial-ShareAlike 4.0 International license
+(CC BY-NC-SA 4.0).

data/close/test-00000-of-00001.parquet

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+size 20406664

data/close/train-00000-of-00001.parquet

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+size 47213885

data/volume/test-00000-of-00001.parquet

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+size 21673408

data/volume/train-00000-of-00001.parquet

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+size 49207890

metadata/checksums.sha256

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+d3fb1f623e712bdbc480efe631859773a9305bc454af4fe75406f5b9c0296e49  README.md
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+d7f2bbdab97ee96f4b80c467b5d8d112e41e713edff1aff61a43db4c346767d4  metadata/panel_close.json
+a1b5de9a2558c3961376e0badf3bdfd79dd47b74f21934c47f3056181cd419bb  metadata/panel_volume.json
+2a990e2e111a4dcbee217bb150e2891bad423d8c2bc1424f5a3c105ad6bbd3aa  metadata/schema.json
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+765170030e65133ba1cca02b4d38cde5c3b0e4ea46af2ad14905797d7a7291e8  metadata/tickers.parquet

metadata/manifest.json

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+  "context": 96,
+  "dataset": "Finance1K",
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+  "license": "CC-BY-NC-SA-4.0",
+  "repo_id": "abel-lab/finance1k",
+  "revision": "v1.0.0",
+  "shape_per_target": [
+    28510,
+    1000
+  ],
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+  "targets": [
+    "close",
+    "volume"
+  ],
+  "version": "1.0.0"
+}

metadata/panel_close.json

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+      "stop": 19957
+    }
+  },
+  "target": "close",
+  "target_semantics": "log(close_t / close_t-1), an hourly close log return"
+}

metadata/panel_volume.json

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+{
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+    "train": {
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+      "start": 0,
+      "stop": 19957
+    }
+  },
+  "target": "volume",
+  "target_semantics": "log(volume_t / volume_t-1), an hourly log-volume change"
+}

metadata/schema.json

@@ -0,0 +1,39 @@
+{
+  "columns": {
+    "ceiling_series": {
+      "dtype": "float32",
+      "semantics": "training-normalized predictability proxy"
+    },
+    "lagged_vol": {
+      "dtype": "float32",
+      "semantics": "causal 24-row trailing cross-sectional volatility"
+    },
+    "regime": {
+      "dtype": "int8",
+      "semantics": "training-threshold calm or stress indicator"
+    },
+    "row_index": {
+      "dtype": "int64",
+      "semantics": "global chronological row index"
+    },
+    "timestamp": {
+      "dtype": "int64",
+      "semantics": "UTC Unix timestamp in seconds"
+    },
+    "valid": {
+      "dtype": "fixed_size_list<bool>[1000]",
+      "semantics": "pre-fill validity mask"
+    },
+    "values": {
+      "dtype": "fixed_size_list<float32>[1000]",
+      "semantics": "target cross-section"
+    },
+    "xs_vol": {
+      "dtype": "float32",
+      "semantics": "cross-sectional population standard deviation"
+    }
+  },
+  "format": "finance1k-hf-parquet-v1",
+  "row_granularity": "one timestamp and one synchronized 1,000-ticker cross-section",
+  "ticker_axis": "values[j] and valid[j] correspond to selection_order j in metadata/tickers.parquet"
+}

metadata/splits.json

@@ -0,0 +1,42 @@
+{
+  "schema_version": "finance1000-split-v1",
+  "indexing": "zero-based, stop indices are end-exclusive",
+  "total_rows": 28510,
+  "train": {
+    "start": 0,
+    "stop": 19957,
+    "rows": 19957,
+    "first_timestamp_utc": "2015-01-02T15:00:00Z",
+    "last_timestamp_utc": "2022-10-22T20:00:00Z"
+  },
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+    "stop": 28510,
+    "rows": 8553,
+    "first_timestamp_utc": "2022-10-23T14:00:00Z",
+    "last_timestamp_utc": "2026-02-25T20:00:00Z"
+  },
+  "window": {
+    "context_rows": 96,
+    "horizon_rows": 1,
+    "first_test_context_start": 19861,
+    "first_test_context_stop": 19957,
+    "first_test_target": 19957
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+  "evaluation": {
+    "target_indices": "range(19957, 28510, 4)",
+    "stride": 4,
+    "count": 2139,
+    "first_target_index": 19957,
+    "last_target_index": 28509
+  },
+  "calendar": {
+    "timezone": "America/New_York converted to UTC",
+    "local_hours_inclusive": "10:00 through 16:00",
+    "frequency": "1 hour",
+    "includes_weekends": true,
+    "includes_market_holidays": true,
+    "warning": "The stored benchmark timeline is a regular calendar-day grid, not an exchange-session calendar. Forward fill therefore creates zero log changes on many non-trading rows."
+  },
+  "policy_warning": "This is the final AAAI chronological 70/30 split. Older foundation scripts with periodic 70/10/20 splits are not part of the locked paper protocol."
+}

metadata/tickers.csv

@@ -0,0 +1,1001 @@
+selection_order,symbol,volatility_bucket
+0,KMB,0
+1,CL,0
+2,VZ,0
+3,PEP,0
+4,KO,0
+5,DUK,0
+6,CMS,0
+7,PG,0
+8,MDLZ,0
+9,D,0
+10,WEC,0
+11,XEL,0
+12,PPL,0
+13,LNT,0
+14,SO,0
+15,BNS,0
+16,JNJ,0
+17,BDX,0
+18,AEP,0
+19,MDT,0
+20,CHD,0
+21,MO,0
+22,MCD,0
+23,HON,0
+24,O,0
+25,TD,0
+26,CLX,0
+27,FE,0
+28,EXC,0
+29,AWK,0
+30,T,0
+31,MRK,0
+32,SLF,0
+33,CPB,0
+34,BMY,0
+35,THG,0
+36,TRP,0
+37,GIB,0
+38,ABT,0
+39,ECL,0
+40,YUM,0
+41,ENB,0
+42,LMT,0
+43,CME,0
+44,HMC,0
+45,CMCSA,0
+46,GD,0
+47,DLB,0
+48,STZ,0
+49,PFE,0
+50,MMM,0
+51,CNP,0
+52,WM,0
+53,NEE,0
+54,BMO,0
+55,PM,0
+56,RY,0
+57,TM,0
+58,CAG,0
+59,AMT,0
+60,ICE,0
+61,HD,0
+62,AON,0
+63,QGEN,0
+64,ADP,0
+65,DGX,0
+66,AMGN,0
+67,SYY,0
+68,UNP,0
+69,TRV,0
+70,CTSH,0
+71,CM,0
+72,CB,0
+73,ALL,0
+74,CSCO,0
+75,LH,0
+76,CHKP,0
+77,AGNC,0
+78,SBUX,0
+79,OTEX,0
+80,SXT,0
+81,RLI,0
+82,V,0
+83,CVS,0
+84,DIS,0
+85,EQIX,0
+86,ACN,0
+87,NLY,0
+88,AFL,0
+89,USB,0
+90,TMO,0
+91,TRI,0
+92,CP,0
+93,GILD,0
+94,WY,0
+95,ZTS,0
+96,NSC,0
+97,XYL,0
+98,WMT,0
+99,EPD,0
+100,MA,1
+101,CVX,1
+102,COST,1
+103,MCO,1
+104,PNC,1
+105,A,1
+106,MNST,1
+107,OHI,1
+108,GPK,1
+109,FAST,1
+110,CBOE,1
+111,MSI,1
+112,EA,1
+113,JBHT,1
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metadata/tickers.parquet

@@ -0,0 +1,3 @@
+version https://git-lfs.github.com/spec/v1
+oid sha256:765170030e65133ba1cca02b4d38cde5c3b0e4ea46af2ad14905797d7a7291e8
+size 8170