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Measurement of Dispersion
Coefficient of Variation
Stock Price High-Low Range COV
AAPL (2015-1-1 to 2017-1-1): 0.582
XNET (2015-1-1 to 2017-1-1): 0.803
The dataset of Two Sigma Competition is a h5 file. It can be read into a 1,710,756 rows x 111 columns pandas dataframe.
All datapoints are identified by two attributes combined: id + timestamp, both of which are not unique. Id is a financial security and timestamp indicates the time of quote (Y).
In the dataset there are 1424 different ids and 1813 different timestamps. In general, the data point is sampled in a fixed timestamp interval of 750.