The data included for replication of Tayal (2009)[1] was retrieved from Thomson Reuters Datastream Tick History.
Thomson Reuters has generously agreed[2] to allow us to make the data available under the CC-BY-NC license[3]. By accessing and using this data, you agree to be bound by the terms of this license, or to obtain a different license from Thomson Reuters. Any copying or distribution of this data must preserve the license.
The authors extend their thanks to the Thomson Reuters legal team for supporting reproducible science by allowing the distribution of this data under a permissive Creative Commons license.
References:
[1] Tayal, Aditya. 2009. Regime Switching and Technical Trading with Dynamic Bayesian Networks in High-Frequency Stock Markets. University of Waterloo.
[2] Permission was granted in Thomson Reuters Datastream support Case: 06017553 "Process [for] Obtaining Permission to Distribute Data for Research Purposes" (case not publicly accessible, for historical/source reference only).
[3] Creative Commons Attribution-NonCommercial 4.0 International.