WP305_tradingdata

Abstract

There are four data sets. The first data set contains the trading history of 98,880 randomly drawn investors who hold accounts at a large German online bank from January 2001 until December 2015. 7 Trades are reported on a daily frequency. Overall, the trade file includes more than 20 million records. Each record provides the date of purchase/sale, the purchase/selling price, the volume traded, and the respective fees. The second data set contains investors’ portfolio holdings. It consists of monthly positions for all accounts during the sample period. Each of the approximately 96 million records provide information about the account number, security number, year, month, the position’s market value, and the position’s quantity. Accounts that are closed during the sample period are not replaced. In addition to investor’s trading and holding data, the third data set contains information about investor’s demographics such as age, gender, income, and zip code. The fourth data set contains daily market data (from Thomson Reuters Datastream) of all the securities held or traded by the investors who are part of the first and second data set during the observation period.