paperswithbacktest/Stocks-Yearly-TransactionCostParams

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… See the full description on the dataset page: https://huggingface.co/datasets/paperswithbacktest/Stocks-Yearly-TransactionCostParams

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