Before revision:  We make publicly available normalized representations of high frequency data for five stocks extracted from the NASDAQ Nordic stock market . Furthermore, we define an experimental protocol that can be used in order to evaluate the performance of related research methods.
After revision:  We make publicly available normalized representations of high frequency data for five stocks extracted from the NASDAQ Nordic stock market for a time period of ten consecutive days, leading to a dataset of ~4,000,000 time series samples in total. A day-based anchored cross-validation experimental protocol is also provided that can be used in order to evaluate the performance of related research methods.